芝加哥商品交易所观点:美国国债强劲上扬的背后原因是什么?

2019/06/05 09:13
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译者  王为

Interpreting the U.S. Bond Rally

By Bluford Putnam 

The US has had an extended and very impressive rally in the prices U.S. Treasury securities.  The 10-year U.S. Treasury has seen its yield move from a recent high of 3.23% in early October 2018, down to 2.22% at the end of May 2019.  One of the most important questions is whether the Treasury rally is signaling that a US recession is imminent.  While we see U.S. real GDP decelerating into the second half of 2019, we do not yet see the US moving into an actual recession in the near future.  If that read is correct, then what is driving the U.S. bond market rally.  Well, there are a variety of interpretations as to why this move occurred.

美国国债市场经历了持续且引人注目的上涨行情。10年期美国国债的收益率从2018年10月初创下的3.23%的近期高点回落至2019年5月末的2.22%。最关键的一个问题是美国国债的大涨是否意味着经济衰退就在眼前。虽然我们预期美国GDP的实际增速会在2019年下半年出现减速,但美国经济在短期内陷入实质性衰退的可能性并不大。如果这一看法是正确的,那么是什么因素引发了美国国债市场的升势呢?以下是关于美国国债上涨原因的几个说法。

Figure 1: US Treasury 10-Year Note Yield

Let’s examine a multiplicity of forces impacting the market.  (1) Subdued path of inflation.  (2) Influence of Germany and Japan government bond yields.   (3) Lose-Lose trade war yet lack of panic in U.S. equities.  (4) The unusually twisted shape of the U.S. yield curve.

先看一下影响市场走势的因素都有什么:(1)通胀增速陷入低迷;(2) 德国和日本国债收益率所带来的影响;(3)贸易战双输的可能性未对美国股市产生影响;(4)美国国债收益率曲线出现非同寻常的扭曲形态

Subdued Path of Inflation

陷入低迷的通胀增速

U.S. inflation is subdued.  Persistently subdued inflation works to lower inflation expectations as well as increase the confidence that inflation risk will remain low for an extended period of time.  What this means is that the spread between the U.S. 10-Year Treasury yield and the historical core (excluding food and energy) inflation rate tends to narrow as more and more market participants accept the narrative that inflation will remain subdued for a long time.

国通胀增速欲振乏力,持续低迷的通胀增速导致对通胀的预期处于低位,并导致市场上有越来越多的人认为美国的通胀风险将长期表现疲弱。这就意味着10年期美国国债的收益率与不含食品和能源价格走势的核心通胀率之间的利差趋向于收窄,因越来越多的市场人士接受了美国的通胀增速将长期提振乏力的观点。

Figure 2: US PCE Inflation Excluding Food and Energy

There are a several reasons that inflation has been subdued since the mid-1990s.First, prudential regulation has increasingly focused on mitigating systematic financial risk through tight capital requirements for financial enterprises. The result has been that central bank monetary policy, from zero rates to quantitative easing, does not lead to increased consumer and business lending, and so economic growth is not stimulated, inflation is not encouraged – only asset prices rise and volatility dampened.Secondly, financial firms are much more proficient in their interest rate risk management than they were in 1970s or 1980s before interest rate futures were widely used.  Improved interest rate risk management in the 1990s and 2000s has meant that for a given small change in short-term interest rates, there is virtually no meaningful impact on financial firms’ earnings, and behavior is not changed. Third, the Internet Age has brought amazing transparency to prices.  Consumers can comparison shop on their smart phones, and this has shifted pricing power away from businesses and constrained inflation pressures. Fourth, while the era of globalization may now be going in reverse with the escalating US-China trade war, there is little question that trade growth and globalization has served to keep a lid on consumer prices for decades.  The bottom line, though, is that at every month inflation remains subdued, it provides fuel for lower government bond yields.

1990年代以来,美国通胀低迷的原因有以下几个。第一,愈加审慎监管规定越来越强调通过提高金融机构的实需资本门槛来消除系统性的金融风险。结果是央行的货币政策虽然从零利率走向量化宽松,但并未导致消费者和企业的借款金额大增,没有过多刺激经济的增长,因此没有引发通胀增速失控,知识资产价格出现上扬和金融资产的波动率长期处于低位。其次,与1970和1980年代利率期货尚未得到广泛运用的情况相比,如今的金融机构在对利率风险进行管理方面更得心应手,因此利率水平的波动对金融机构的盈利状况并未产生影响,因此金融机构的经营没有什么变化。第三,在互联网时代,价格的变动更加透明。消费者用手机即可货比三家,导致商家丧失了对商品的定价权并有效压制了通胀上涨的压力。第四,随着中美贸易争端升级,全球化的大趋势可能会出现逆转,贸易总量的增长和全球化的日益加深使消费品的价格在长达数十年里跌多涨少。但最关键的一点是,由于每个月的通胀增速均持续低迷,国债的收益率因此而走低。

Influence of German and Japanese Government Bonds

来自德国和日本国债收益率的影响

The Bank of Japan is the king of quantitative easing.  Expanding its purchases of Japanese Government Bonds (JGBs) dramatically since 2013, it has anchored JGB yields near zero.   The European Central Bank (ECB), initially in the aftermath of the Great Recession of 2008-2009, chose to make emergency liquidity loans to the financial sector rather than purchase assets.  This policy changed in 2015, as the ECB embraced quantitative easing, which help drive German Bund yields to converge with JGBs.

在量化宽松的力度方面,日本银行堪称王中王。自2013年起,日本银行即大举扩大购进日本国债的规模,并将日本国债的收益率锚定在零。面对2008-2009年金融危机后的一片惨景,欧洲央行选择的是为金融机构提供紧急流动性贷款而不是买入金融资产。这一立场在2015年发生改变,欧洲央行转而推行量化宽松,并推动10年期德国国债的收益率水平与10年期日本国债合流。

Figure 3: 10-Year Government Bond Yields

By contrast, the U.S. Federal Reserve (Fed) was early to quantitative easing and massive asset purchases, but in 2018 the Fed switched gears and started to reduce the size of its balance sheet – quantitative tightening (QT).   We expect the Fed to end its balance sheet shrinkage in 2H/2019.  Moreover, even as the Fed’s balance sheet has shrunk, the Fed has been very careful not to shrink its holdings of longer-term U.S. Treasury securities, even as it allowed its short-term Treasuries and mortgage-backed security holdings to shrink. Thus, the shift to QT had virtually no impact on the long-term Treasury market.

与此相反的是,美联储开启量化宽松以及大规模买进资产的时点要更早一些,但在2018年联储改弦更张了,改走削减资产负债规模的道路,即量化紧缩。我们预期联储将在2019年下半年结束缩表。此外,即使联储的资产负债规模遭到削减,但联储还是非常谨慎地维持其长期美国国债的持仓量,而是减持其短期美国国债和按揭质押债券的持仓量。因此,联储货币政策立场转向量化紧缩实际上并未对长期美国国债市场的行情产生影响。

Figure 4: Composition of Federal Reserve Assets

Still, the reality for global fixed income market participants is that U.S. 10-Year Treasuries offer 2.2% more yield than similar maturity German and Japanese bonds, and the exchange rate risk has been relatively modest among the U.S. dollar, euro, and Japanese yen.  Even with a little FX risk, there is a natural and powerful competitive pull from German and Japanese bond markets toward lower U.S. Treasury yields.

全球固定收益市场中的人士所面临的情况是,10年期美国国债2.2%的收益率比同期限德国国债和日本国债的收益率要高,而且美元、欧元和日元之间的汇率风险相对较温和。即使汇率风险不高,但利差的存在很自然地会导致资金从低收益率的德国国债和日本国债市场大量流往美国国债市场,从而拉低美国国债的收益率水平。

Escalating Trade War and U.S. Equities

贸易战的升级对美国股市的影响

There is no question that the US-China trade war has entered a new and escalated phase.  Both sides are dug into to what increasingly looks like a lose-lose situation for global economic growth.  The recent trade war developments have halted the upward momentum in U.S. equities.  There has been selling pressure among stocks impacted by the trade war, as well as defensive moves into high-dividend stocks.  What there has not been, at least through the end of May, is any signs of panic selling.  Markets have been orderly and a repeat of the rapid stock price deterioration of Q4/2018 has not occurred.  Our interpretation is that equities are appropriately re-pricing risks associated with the companies most impacted by an escalating trade war, but equity markets are not shifting to a focus on an imminent recession.  We do note that the Q4/2018 near-20% decline in U.S. equities convinced the Fed to stop its lock-step path to higher rates and shift to a policy of keeping rates on hold for 2019.  So, far the Q2/2019 equity pattern is in no way powerful enough to argue for a change in Fed policy or a rate cut.

有一点无可置疑,美中贸易战已进入升级阶段。双方的缠斗似乎越来越将导致全球经济增长面临双输的局面。近期贸易战方面的局势进展导致美国股市的上涨动能出现衰减,受贸易战影响的公司的股票遭遇卖压,而避险资金开抢高分红股。但至少到5月末为止,尚未见到恐慌性卖出的迹象。股市运行有序,2018年四季度股价快速下跌的情况并未出现。我们的解读是美国股市针对受贸易战影响程度最深的公司所面临的风险恰如其分地进行了重新定价,但股市并没有将视线转向即将带来的经济衰退。我们注意到,2018年四季度美国近乎20%的下跌已令联储停止其按部就班的加息行动并转为在2019年维持利率水平不变的立场。因此在2019年2季度末之前,美股的行情将不会大幅波动从而导致联储货币政策发生转变或做出降息决策。

Figure 5: E-Mini S&P 500

Unusual Shape of the Yield Curve

美国国债收益率曲线的形态非同寻常

The U.S. Treasury yield curve has an unusual shape.  Back in early October 2018, just as the equity swoon was getting started, the yield curve had a modestly positive slope, with short-term yields below long-term yields.  Now, at the end of May 2019, the curve is inverted, short yields above long yields from the overnight federal funds rate (at 2.40%) and 3-month T-bills through to the 5-year Treasury Note (at 2.03%).  The 5-year yield is the low point, however, and as maturities increase to 10 years and longer, yields move back to a very modestly positive slope.

美国国债收益率曲线的形态非同寻常。如果时光回到2018年10月份,也就是美股刚刚开始崩盘之时,那时的美国国债收益率曲线正处于幅度不大的远高近低形态。如今,在2019年5月末,该曲线出现倒挂,从隔夜美国联邦基金利率到三个月美国国债收益率再一直到5年期美国国债收益率均在倒挂。5年期美国国债收益率正处于低点,但如果期限延长至10年或更长期限,其收益率曲线将回到弯曲幅度很小的向上倾斜形态。

Figure 6: US Treasury Yield Curve Shape

When the full yield curve is flat or inverted, history has shown that more equity volatility and a potential recession may lie 12 to 24 months into the future.  Market participants ignore yield curve warnings at their peril.  We have certainly seen more equity volatility.  But does the short-maturity inversion signal a future recession when the long maturities partially disagree?

历史经验证明,在整条美国国债收益率曲线均处于极度平坦或倒挂的状态之后12-24个月内,美股会陷入大幅波动,经济衰退有可能会出现,对国债收益率曲线所发出的警讯视而不见的市场人士将自食其果。未来肯定会见到更多的股市波动,但在国债收益率曲线的长端未出现倒挂的情况下,收益率曲线短端的倒挂是否意味着美国经济未来会陷入衰退?

We would go with the conclusion that the yield curve is signaling that US and global economic growth is decelerating, but at this point forecasting an imminent U.S. recession seems a stretch.  We must point out that when the Q2/2019 U.S. real GDP data is published at the end of July 2019, it will mark this expansion as tying the record for the longest on record.  And the unemployment rate is still below 4%.  The Fed may well be worried, but probably not worried enough to cut rates any time soon.

我们得出的结论是,美国国债收益率曲线的形态表明美国和全球经济增速即将放缓,但仅凭这一点就预测美国经济将出现衰退似乎有些牵强。必须指出的是,2019年2季度的美国实际GDP增速将于7月底公布,该数据将证实当前美国经济正处于历史上最长的扩张周期之中,当前的失业率仍低于4%。联储可能是很担心未来的经济状况,但还没到会在短期内做出降息决策的程度。

Bottom Line

要点

  • The Fed is data dependent.

    美联储是看数据下菜碟

  • A data-dependent Fed will not anticipate economic weakness, not from the trade war, a flat yield curve, a government shutdown or debt ceiling crisis, or any other cause.

    以数据表现为决策依据的美联储不认为美国经济会因为贸易战、美国国债收益率曲线的走平、政府关门、债务上限危机或其他什么因素而走弱

  • A data-dependent Fed means the Fed needs to see inflation persist below 1% for a few months or it must observe a recessionary quarter before it will cut rates.

    只看数据表现的做法意味着美联储需要见到通胀增速持续或连续数月低于1%,或一个季度的经济数据显示美国经济陷入衰退才会做出降息决策。

  • If inflation is headed below 1% and/or recession occurs, however, the Fed would not cut rates by 0.25%, we predict it would go full-bore to take the federal funds rate to 1% in just one or two meetings of the Federal Open Market Committee (FOMC), or maybe make one big cut an emergency unscheduled FOMC meeting.  The step-wise path of rate rises is not the pattern for rate decreases.

    但是,如果美国通胀增速低于1%或发生经济衰退,联储只需在一两次联储例会上采取行动全力以赴地降息,即可将联邦基金利率的水平砍到1%以下,甚至在某次非例行的联储紧急会议上即可将利率水平砍到位。加息的时候循序渐进,但降息的时候可能并非如此。

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