The inverted yield curve

收益率曲线倒挂:各方观点集萃

2019/06/14 13:40
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历史上,长期收益率低于短期收益率的情况总是先于经济衰退。上周,美国10年期国债收益率较3个月国债收益率低21个基点,上一次出现这一盛况是在2007年夏季。当前的收益率曲线是未来增长可靠的晴雨表吗?

Longer-term yields falling below shorter-term yields have historically preceded recessions. Last week, the US 10-year yield was 21 basis points below the 3-month yield, a feat last seen during the summer of 2007. Is the current yield curve a trustworthy barometer for future growth?

历史上,长期收益率低于短期收益率的情况总是先于经济衰退。上周,美国10年期国债收益率较3个月国债收益率低21个基点,上一次出现这一盛况是在2007年夏季。当前的收益率曲线是未来增长可靠的晴雨表吗?

The yield curve plots the yields of government bonds for different maturities. Market analysts often use it to understand future growth expectations and predict recessions. A regular yield curve will be upward-sloping, as the yield on longer-maturity bonds will be higher to compensate for the risk. This is no longer the case for the United States, where the yield for the 10-year Treasury Notes first became lower than the 3-month T-Bill yield this March, staying so since the end of May (Figure 1). Is the yield inversion a red flag for future growth? We review the latest economists’ views.

收益率曲线描绘了不同期限政府债券的收益率。市场分析师经常用它来理解未来的增长预期和预测衰退。常规的收益率曲线将是向上倾斜的,因为较长期债券的收益率将更高,以补偿风险。美国的情况不再如此,今年3月10年期美国国债收益率首次低于3个月期美国国债收益率,自5月底以来一直如此(图1)。收益率反转是否预示着未来的增长?我们回顾了最新经济学家的观点。

Figure 1. Spread between 10-year US T-Note and 3-month T-Bill, basis points

图1所示。10年期美国国债和3个月期美国国债之间的息差,基点

Source: Bloomberg

资料来源:彭博社

Matt Phillips and Stephen Grocer document the fall in long-term yields of government bonds in Australia, Britain, Germany, Japan and the United States since January. Indeed, for Frances Coppola, the global inversion of yield curves deserves some consideration. She draws attention not only to the United States, but also to Canada, the euro area, Switzerland and the UK, , where the curve inverted for shorter maturities; Hong Kong’s is “inverted along almost its full length”; Japan and South Korea’s seem to be close to inverting.

Matt Phillips和Stephen Grocer记录了自1月以来澳大利亚、英国、德国、日本和美国长期国债收益率的下降。Frances Coppola认为,全球收益率曲线的反转值得考虑,她不仅注意到美国,还关注了加拿大、欧元区、瑞士和英国,这些国家的较短期曲线出现了反转,而日本和韩国似乎即将发生反转。

Coppola recalls that historically, “an inverted yield curve has preceded every U.S. recession since WWII”, though “not all U.S. yield curve inversions have preceded recessions”. While an inversion can sometimes merely signal a slowdown, Coppola warns against dismissals of the latest developments, as they signal that “the market is pricing in significantly lower interest rates to come”, which foreshadows falling inflation and poor economic outlook.

Coppola回忆说,从历史上看,“自二战以来,每次美国经济衰退之前都会出现收益率曲线反转”,尽管“并非所有美国的反转都出现在衰退之前”。尽管反转有时可能仅仅是经济放缓的信号,但Coppola警告称,不要忽视最新的事态发展,因为它们表明,“市场正在消化未来将出现的大幅降息”,这预示着通胀将不断下降和经济前景不佳。

There are two episodes, in 2000 and 2005, when the Fed ignored inverted yield curves. In 2005, longer-term rates did not rise despite “a 150 bps increase in the Fed Funds Rate”. Instead, the yield curve flattened. The interpretation was that bond markets were irrational, and it remained so until December 2006, when the yield curve inverted. During that time, the Fed had been raising rates and only started cutting them six months after the inversion. The same flattening took place after the Fed raised rates in 2018, but this time things seem to be different: the Fed has “paused interest rates and says it is rethinking monetary policy. Nonetheless, the siren voices saying ignore the yield curve are getting louder”.

美联储曾在2000年和2005年两次忽视反向收益率曲线。2005年,尽管“美联储基金利率上调了150个基点”,但长期利率并未上升。相反,收益率曲线趋平。当时的解释是,债券市场是非理性的,这种非理性一直持续到2006年12月,当时收益率曲线反转。在此期间,美联储一直在加息,但直到收益率曲线反转6个月后才开始降息。美联储在2018年加息后,利率也出现了同样的趋平,但这次情况似乎有所不同:美联储暂停了加息,并表示“正在重新考虑货币政策”。尽管如此,忽视收益率曲线的警告声音越来越大。

In the past, one of these voices was precisely the Fed’s chair, Jerome Powell. The reasoning? Changes in interest-rate markets have distorted the information that we can take from the yield curve. To put it simply, we cannot extract as much information on the growth outlook from the yield curve as in the past. This view was shared by Ben Bernanke, who named last summer “regulatory changes and quantitative easing in other jurisdictions” as distortions affecting the curve’s signalling power.

在过去,正是美联储主席鲍威尔发出了这样的声音。原因是利率市场的变化扭曲了我们可以从收益率曲线中得到的信息。简单地说,我们不能像过去那样从收益率曲线中提取那么多有关增长前景的信息。这一观点得到了伯南克的认同。去年夏天,伯南克将“其他司地区的监管改革和量化宽松”称为影响曲线信号强度的扭曲因素。

Nicolas Spiro argues the US yields are being anchored by the low yields in Japan and the euro area. Spiro explains the inversion of the US yield curve with latest survey data on Germany’s manufacturing sector, which has fuelled “concerns about the euro zone’s largest economy and the broader slowdown across the bloc”. In his view, the yield curve is not accurately portraying economic sentiment, in contrast to data on US manufacturing activity, for example. The signalling power of the bond market, for Spiro, “says more about the actions of global central banks than it does about the direction of America’s economy”. In a similar fashion, Mohamed A. El-Erianwrote for Bloomberg in March that the American job market and consumption sentiment are strong and that inflation expectations are low because of “a structural weakening of inflation drivers”.

Nicolas Spiro辩称,美国国债收益率正受到日本和欧元区低收益率的支撑。Spiro用有关德国制造业的最新调查数据解释了美国收益率曲线的反转,该数据引发了“对欧元区最大经济体和整个欧元区整体放缓的担忧”。在他看来,与美国制造业活动数据形成对比的是,收益率曲线未能准确反映经济景气。对Spiro来说,债券市场的信号力量“更多地说明了全球央行的行动,而不是美国经济的走向”。同样,Mohamed A. El-Erian今年3月为彭博社(Bloomberg)撰文称,美国就业市场和消费信心强劲,通胀预期较低,因为“通胀驱动因素的结构性减弱”。

Some economists have empirically tested the claim that yield curves have lost predictive power over time. According to Carlo Favero, Sebastian Vismara and Iryna Kaminska, warnings about yields should not be dismissed. Favero et al. focus on the United States and United Kingdom and see how the yield curve has “performed as a predictor of GDP growth over time in the US and UK”. The authors find that the yield curve slopes’ predictive power over the level of economic growth was gradually lost in both countries during the early to mid-2000s. Recently, however, there has been an increase in predictive power. This increase, according to the authors, is driven by policy-rate expectations, which correlate “positively and significantly” with future GDP growth. Terrence Mills, Forrest Capie and Charles Goodhart focus just on the UK and find favourable evidence towards “the hypothesis that the inverted yield curve is (…) a predictor of UK recessions for horizons up to 18 months for both the pre-WWI and post-WWII periods”.

一些经济学家对收益率曲线随着时间推移已失去预测能力的说法进行了实证检验。Carlo Favero、Sebastian Vismara和Iryna Kaminska表示,不应忽视收益率方面的警告。Favero等人关注美国和英国,观察收益率曲线如何“作为美国和英国GDP增长的预测指标”。作者发现,收益率曲线斜率对经济增长水平的预测能力在2000年代初至2005年中期逐渐丧失。然而,最近预测能力有所提高。根据作者的说法,这一增长是由政策利率预期推动的,政策利率预期与未来GDP增长“积极而显著”地相关。Terrence Mills、Forrest Capie和Charles Goodhart只关注英国,他们发现了有利的证据,证明“反向收益率曲线对(……)英国经济衰退的预测力,在一战前和二战后的18个月内都是如此”。

James Hamilton from Econbrowser also takes the pulse of the US yield curve through different measures. The spread between the 10-year/3-month interest rates is narrowing; the term premium on 10-year bonds has become negative, meaning a higher expected annual return from a T-Bill rather than a T-Note.  Hamilton also estimates a regression predicting next-year average real growth as a function of the current interest-rate spread and quarterly GDP growth rates. He concludes: “The fall in the spread of about 200 basis points since the end of 2015 would lead us to expect about 1% slower GDP growth over the next year.” Another measure is the difference between the term premium and the spread, which is currently negative, a common feature with the past six recessions. However, there is still “another 80 basis points to go before we get there this time around”. His takeaway is that it would be “imprudent” to ignore the developments in the 10-year/3-month spread, yet the current slope of the yield curve “is not as clear and not as dire a signal as some analysts might have you believe”.

Econbrowser的James Hamilton也通过不同的指标来衡量美国收益率曲线。10年期/3个月利率之间的利差正在收窄;10年期债券的期限溢价已变为负值,这意味着美国短期国债的预期年回报率高于长期国债。Hamilton还预计,明年的平均实际增长率将与当前利差和季度国内生产总值(GDP)增长率成函数关系。他总结道:“自2015年底以来,利差下降了约200个基点,这将导致我们预计,明年GDP增速将放缓1%左右。另一个衡量指标是期限溢价和利差之间的差异,目前为负值,这是过去6次衰退的一个共同特征。”然而,“在我们这次达到衰退之前,还有80个基点要走”。他的观点是,忽视10年期/3个月利差的发展将是“轻率的”,然而,当前收益率曲线的斜率“并不像一些分析师可能让你相信的那样清晰、可怕”。

Simon Moore shares this view and says that, though the signs are not particularly encouraging, the current inversion of the yield curve is not as deep as in other points in history. According to Moore, for the probability of a recession within one year to be higher than 50%, the spread would have to reach four times its current value. An alternative way to look at it is that two rate cuts by the Fed would “get the yield curve back to its traditional upward slope”, ceteris paribus.

Simon Moore赞同这一观点,他表示,尽管迹象并不特别令人鼓舞,但当前收益率曲线的反转并不像历史上其它时期那么严重。根据Moore的说法,如果一年内经济衰退的可能性超过50%,那么利差必须达到目前水平的四倍。另一种看待这个问题的方法是,美联储的两次降息将“使收益率曲线回到传统的上升斜率”,其他条件不变。

For Michael Mackenzie, global trade flows and business investment are motivating buyers’ behaviour, which will hold “even in the event of an unexpected trade truce before the G20 meeting in late June”. Mackenzie writes for the Financial Times’ ‘The Long View’ that the current developments on global sovereign bond markets and the risk of a global economic slowdown running into the second half of the year may increase pressure on the Fed to cut rates. However, the lack of indicators such as lower inflation and falling consumption or business investment make this move unlikely to happen anytime soon. Mackenzie warns that markets will still expect a “pre-emptive rate cut” by this summer, “which in turn means low Treasury yields and the prospect of a sustained curve inversion”.

对于Michael Mackenzie而言,全球贸易流动和商业投资正在刺激买家的行为,“即使在6月底20国集团(G20)会议之前出现意外的贸易休战,”买家的行为也将保持下去。Mackenzie为英国《金融时报》撰文指出,从长远来看,全球主权债券市场目前的形势,以及全球经济放缓的风险持续到今年下半年,可能会加大美联储降息的压力。然而,由于缺乏通胀下降、消费或企业投资下降等指标,这一举措近期不太可能实现。Mackenzie警告称,市场仍预计美联储将在今年夏季之前“先发制人地降息”,“这反过来意味着美国国债收益率较低,并可能出现持续的曲线反转”。

The Economist sees Europe being in a “tighter spot” than the United States. The latest flag for concern, they report, are Germany’s negative 10-year yields. Falling global trade, muted growth, and inflation mean the bloc risks falling into stagnation. Yields were already negative for shorter maturities, Eshe Nelson recalls, but the long-term bund is “the benchmark for all European debt”. B. De Backer, M. Deroose and Ch. Van Nieuwenhuyze write for the NBB Economic Review that the yield curve is a useful, though imperfect, predictor of recessions in the euro area: “the yield curve did not invert before the sovereign debt crisis”. Similar to the US, in Europe each yield-curve flattening not only preceded a recession, but also “was accompanied by significant increases in the short-term yield, whereas the change in long-term yields was smaller” which, as the authors point out, stresses the role of monetary policy. Yet, unlike the American yield curve, the euro-area yield curve still has a “significantly positive” slope, signalling a low probability of recession for now.

《经济学人》认为欧洲正处于比美国更“紧缩的境地”。他们报告称,德国10年期国债收益率为负,是引发担忧的最新信号。全球贸易下滑、增长放缓和通胀意味着,欧元区有陷入停滞的风险。Eshe Nelson回忆道,短期债券的收益率已经为负,但长期德国国债是“所有欧洲债券的基准”。B. De Backer, M. Deroose和Ch. Van Nieuwenhuyze在NBB经济评论中写道,收益率曲线是欧元区衰退的一个有用的预测指标,尽管并不完美:“在主权债务危机之前,收益率曲线没有反转。”与美国类似,在欧洲,每次收益率曲线趋平不仅发生在经济衰退之前,而且“短期收益率的大幅上升、同时长期收益率的变化较小”,正如两位作者所指出的,这强调了货币政策的作用。然而,与美国的收益率曲线不同的是,欧元区的收益率曲线斜率仍为“显著正”,表明目前经济衰退的可能性较低。

The negative spread between long- and short-term bonds, similar to 2007 levels, rekindled the attention over the inverted yield curve. So did the fact that the decrease in yields is now global. As a result, some blogs attempted to estimate empirically the claim that the yield curve is losing predictive power. These estimates mostly focus on the United States but matter for Europe: as Luis de Guindos says, while monetary policy can “shield the euro area economy from spill-overs from US monetary policy”, the United States still play a key role in driving global financial cycles.

长期和短期债券之间的负利差,与2007年的水平类似,重新引发了人们对收益率曲线反转的关注。收益率下降是全球性的,因此,一些博客试图用实证检验来表明收益率曲线正在失去预测能力。这些估计主要集中在美国,但对欧洲很重要:正如Luis de Guindos所言,尽管货币政策能够“保护欧元区经济免受美国货币政策溢出的影响”,但美国仍在推动全球金融周期方面发挥着关键作用。

注:关于收益率曲线,可以参考智堡文章《收益率曲线逆转和衰退:寻找领先指标》、《收益率曲线的变化意味着美国经济即将陷入衰退?》、 《别忽视收益率曲线:美国2020年进入衰退?》、《什么是收益率曲线?它为什么重要?》,以及威灵顿资管《收益率曲线、经济衰退和股票回报:我们应该多担心?》、先锋基金《最近的收益率曲线反转说明了什么?》《收益率曲线反转、衰退迫在眉睫?》

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