芝加哥商品交易所观点:如果美元贬值,哪个货币将受益?

2019/07/12 07:45
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过去8年美元一直处于升值态势之中,对其他大多数货币的汇率大幅上升,支撑美元汇率走强的因素有三个。

For the past eight years the U.S. dollar (USD) has been on an upward trend, rising substantially against most of its peers. Support came from three sources:

过去8年美元一直处于升值态势之中,对其他大多数货币的汇率大幅上升,支撑美元汇率走强的因素有以下三个:

1.An improving U.S. fiscal situation from 2010 to 2016.

2010-2016年期间美国财政状况得到改善

2.Substantially tighter monetary policy since 2016.

2016年以来美国货币政策明显收紧

3.Stronger U.S. growth than in Europe and Japan, especially in 2011-13, and since 2017.

与欧洲和日本相比,美国的经济增速明显更快,尤其是在 2011-2013年期间以及2017年之后

The first of the three sources of support for the dollar was undercut in 2017 when the U.S. budget deficit expanded from 2.2% of GDP in 2016 to 4.7% by mid-2019. Additionally, despite recent protectionist measures, the U.S. trade deficit has expanded, rising from 2.5% to 3.0% of GDP. This has taken the so-called “twin deficits” from 4.7% to 7.7% of GDP. 

在2017年美国预算赤字占美国GDP的比重从2016年的2.2%扩张至2019年中的4.7%后,第一个利好美元的因素——持续改善的美国财政状况已不再对美元汇率起到支撑作用。此外,尽管近期采取了一些贸易保护主义的措施,但美国的贸易赤字总额还是在增加,与美国GDP的比率从2016年的2.5%升至2019年中的3.0%,所谓的“双赤字”占美国GDP的比率从4.7%增至7.7%。

For the past three decades smaller twin deficits have usually been followed by a stronger USD – often with a lag of 1 to 2 years. Meanwhile, expanding deficits have often been followed by a much weaker USD, often with a much shorter lag (Figure 1). This time around, USD has resisted a major selloff largely because of Fed tightening and the boost to growth from the tax cuts that took effect in 2018. 

过去三十年中,如果双赤字的规模较小,通常会在一两年以后见到美元汇率走强;与此同时,双赤字规模扩大之后通常会见到美元汇率明显走弱,但滞后期却大幅小于前者,见图一所示。从当前情况来看,美元汇率没有出现大幅调整的原因是美联储近年来紧缩货币政策以及生效于2018年的减税法案促进了美国的经济成长。

Figure 1: The Dollar Index Often Follows the Twin Deficits

The Fed hiked rates four times in 2018, bringing the total number of increases to nine in the current cycle that began at the end of 2015. No other central bank has raised rates anywhere near as often. While the Bank of Canada and the Bank of England have dipped their toes in rate hikes, most other central banks including the European Central Bank (ECB), the Swiss National Bank (SNB) and the Bank of Japan (BOJ) have had easy monetary policy (Figure 2). Some central banks such as the Reserve Bank of Australia (RBA) and the People’s Bank of China (PBOC) have been actively easing monetary policy.

2018年美联储加息四次,令2015年开启的本加息周期的加息总次数达到9次,在此期间全球没有任何一家央行加息的频率可以与美联储媲美。虽然加拿大央行和英格兰银行也在积极地加息,但其他大多数国家的央行包括欧洲央行、瑞士央行和日本银行均在推行宽松的货币政策,见图二所示,其他一些央行,如澳大利亚储备银行和中国人民银行也在积极推行宽松的货币政策。

Figure 2: The Fed is Alone in Tightening Policy a Great Deal.

The market is pricing that the Fed will cut interest rates up to four times over the next year (Figure 3) but, so far, the Fed itself hasn’t committed to such a drastic policy action, only opening the door to a possible rate cut. Nevertheless, U.S. monetary policy probably will no longer be a source of support for the USD in the year ahead, unless there is a dramatic change in rate expectations.

利率期货市场的报价显示市场预期到明年年底前联储降息的次数将多达四次,见图三所示,但迄今为止,联储并未表明将采取如此大规模的降息行动,只是表态降息有一定的余地。不管怎样,未来一年美国货币政策可能将不再对美元汇率的走强起到支撑作用,除非市场对美国利率走势的预测发生重大转变。

Figure 3: Fed Funds Now Price 75-100 bps of Rate Cuts in the Next Year.

Further, fear of a slowdown in U.S. growth is a large part of the reason why fixed income markets have come to price such a dramatic change in Fed policy. So far, the evidence of an economic slowdown has been mixed, but the ratios of U.S. leading-to-coincident and leading-to-lagging indicators have been pointing to a moderation in the pace of U.S. growth (Figure 4). If the U.S. expansion slows, it will go a long way towards closing the growth gap between the US and the already struggling economies in Europe, and Japan.

此外,对美国经济增速放缓的担忧在很大程度上导致固定收益市场在报价中做出联储货币政策会发生如此重大改变的预测。到目前为止,美国经济减速的迹象尚不明显,但是美国先行经济指标与同步经济指标以及先行经济指标与滞后经济指标之间的比率已经显示未来的美国经济增速将比较温和,见图四所示。如果美国经济扩张势头出现放缓,将非常有助于缩小美国和欧洲、日本等已身陷苦战的经济体之间在经济增速方面的差异。

Figure 4: Leading Indicators are Hinting at a Coming Slowdown.

Finally, what should be of greatest concern to anyone long USD is the possibility that the Fed might keep rates too high for too long that results in an economic downturn that subsequently requires the return to near-zero rates. During recessions, the U.S. budget deficit expands by about 4% of GDP on average –although the trade deficit usually shrinks a bit. Under that circumstance, USD would be faced with rates stuck near zero, huge twin deficits (mainly from the budget side) and no growth gap with the rest of the world.

最后,对于做多美元的人来说可能最关心的是联储有可能会将利率水平保持在高位的时间过长从而引发美国经济衰退,利率水平因此最终需要重回接近零利率。在经济衰退期间,尽管贸易赤字通常会有一些减少,但美国预算赤字占GDP比率的均值会增至4%。在此情况下,美元有可能会遇到美国利率水平停留在近乎零利率、双赤字金额巨大(主要是来自预算赤字的增加)以及美国经济增速高于全球其他主要经济体的优势消失等问题。

So, if USD suffers another decade-long bear market in the 2020s, like it did from 2002 until 2011, who benefits? Which currencies would be most likely to go higher?

因此,如果在2020年代再一次遇到2002-2011年期间美元汇率贬值的走势,谁将成为受益者?哪个货币对美元的汇率最有可能出现上扬?

Here is our ranking of the likely “beneficiaries” of any dollar weakness (and we put beneficiaries in quotes because a stronger currency isn’t necessarily good for the economy).

以下是我们对美元汇率贬值情况下可能“受益者”的排名,之所以要给受益者这三个字打上引号是因为一个货币的汇率升值并不一定会利好该国经济。

  1. The British Pound (GBP): GBP is undervalued against the dollar and the euro mainly because of the uncertainty that surrounds Brexit. Traders fear a worst-case scenario: the pound collapses on or around October 31, 2019, if Britain has a no-deal exit from the EU. This is possible but even under the worst-case scenario, one must remember that in the long term there is no such thing as a no-deal exit. If Britain leaves without a deal, its very likely that in subsequent years there will be a deal that will look a great deal like what Theresa May negotiated and the pound will rebound strongly. Moreover, it is still possible that Britain will leave with a deal, in which case the pound will probably soar in value versus both USD and the euro. It’s also possible that the UK will extend the negotiating period once again and perhaps even hold a second referendum in 2020. This would be less pound-supportive in the short term but could produce a big rally depending upon the ultimate outcome of the extension or a second referendum.

    英镑。英镑对美元和欧元的汇率处于被低估状态,原因是在英国脱欧问题上存在着巨大的不确定性。交易员所担心的最坏的情况是:如果英国在无协议的情况下脱欧,英镑对美元的汇率会在2019年10月31日前后出现崩溃式下跌。这种可能性是存在的,但即使是在最坏的情况下,大家还是要牢记一点,从长期来看是不存在无协议脱欧这回事的。如果英国在与欧盟没有达成协议的情况下脱离欧盟,非常有可能在随后几年里达成条件像特雷莎梅所协商的那样好的协议,英镑的汇率将强劲反弹。此外,英国还是有可能达成协议再脱欧,这样的话英镑对美元和欧元的汇率均会大幅飙升。英国也有可能再一次延长与欧盟的谈判期限,甚至有可能在2020年举行二次公投,这些情况在短期内利空英镑,但如果谈判延期或二次公投的最终结果有利,英镑汇率也会大幅上扬;

  2. The Swiss Franc (CHF): the Swiss National Bank (SNB) has done everything imaginable to prevent CHF from soaring. It dramatically expanded its balance sheet by selling CHF to buy foreign (largely eurozone) assets. It even has deposit rates at -1% to discourage foreigners from buying and holding the Swiss currency. The problem is: if CHF starts soaring again as USD weakens, what exactly will the SNB do about it? Put the deposit rate a -2%, or even -5%?Negative deposit rates are a tax on the domestic banking system as well as on foreign investors who hold such deposits and Swiss banks are hardly stellar performers these days. When it comes to monetary easing and intentionally capping of the value of its currency, Switzerland may be nearing the end of its rope. Hence a weak USD could send CHF soaring whether the SNB likes it or not.

    瑞士法郎。在过去一段时期里,瑞士央行竭尽一切可能防止瑞士法郎的汇率出现暴涨,该行大刀阔斧地扩大资产负债表的规模,卖出瑞士法郎买进外国资产,其中大部分为欧元区国家的资产,甚至将存款利率设定在-1%以打消外国人买入和持有瑞士法郎计价资产的积极性。问题是:如果瑞士法郎的汇率随着美元贬值而再次大幅飙升,瑞士央行将如何应对?将存款利率的水平设在-2%甚至-5%?负的存款利率相当于对国内银行体系以及持有瑞士法郎存款的外国投资者征税。在放松货币政策以及有意识地遏制瑞士法郎汇率升值方面,瑞士可能已经没有多少操作空间了。因此不管瑞士央行愿意与否,美元贬值都会导致瑞士法郎的汇率暴涨;

  3. The Japanese Yen (JPY): the Bank of Japan has a fundamentally similar story to the SNB – only the details differ. BOJ also has negative interest rates and it also intentionally weakened its currency during the middle of the last decade through a massive quantitative easing (QE) program that took its balance sheet to nearly 100% of GDP – more than 2x the ECB’s and nearly 4x the Fed’s relative to the size of their economies. With inflation barely positive and economic growth stalling, Japan doesn’t need a stronger JPY. That said, currency markets don’t give you what you want or need. They give you what they give you.

    日元。日本银行的情况与瑞士央行基本一致,只是在细节上有所不同。在过去十年中,日本银行也在通过大规模的量化宽松推行负利率政策并有倾向性地引导日元汇率贬值,量化宽松导致其资产负债规模几乎达到日本GDP总量的100%,该比率比欧洲央行的同一指标高两倍还多,几乎相当于美联储的同一指标的四倍。在通胀增速几乎很难实现正增长以及经济增长乏力的情况下,日本并不希望见到日元汇率走强。话虽如此,但外汇市场不是你想要啥就给啥,而是有啥给啥;

  4. The Euro (EUR): with inflation stuck near 1%, a full point below the US and Britain, the eurozone doesn’t need a strong currency much more than Japan but that doesn’t mean that they won’t eventually wind up with one. The ECB has deposit rates at -0.40%, which translates into a 7.5 billion EUR per year tax on banks. Not surprisingly, the banking system is suffering, and credit is surprisingly difficult to obtain despite the extremely low rates. Moreover, the main proponent of negative deposit rates, Mario Draghi, is leaving his post as ECB President after eight years in October and could be replaced by somebody who could, paradoxically, ease monetary conditions by raising rates and removing the negative deposit rate’s tax on banks. Finally, the ECB expanded its balance sheet to over 40% of GDP and is also hitting constrains regarding further QE measures. What could hold back EUR from appreciating versus USD is political dysfunction. With a common currency but no common fiscal policy, Europe can’t even be properly understood to have a sovereign bond market. It essentially has a municipal bond market where countries can default on loans. Additionally, the political system is highly fragmented between different levels government (the nations’ versus the EU) and within the member states’ own political systems. That said, EUR appreciation, no matter how unwelcome, cannot be ruled out.

    欧元。欧元区的通胀增速几乎只有1%,比美国和英国的通胀增速低了整整1%,在希望自家货币走强方面欧元区比日本强不了多少,但这并不意味着欧元汇率就一定不会走强。欧洲银行设定的存款利率水平为-0.4%,按照该利率进行计算,相当于各家商业银行每年给欧洲央行缴纳了75亿欧元的税,可以想见欧元区的商业银行体系会因此备受煎熬,尽管利率水平如此之低,但获得欧元区商业银行贷款的难度却高得惊人。此外,主张实施负存款利率的德拉吉即将在今年十月份离任已担任了8年之久的欧洲央行总裁的职位并有可能被某位政策主张看似自相矛盾的人士所取代,该人士认为应通过加息和消灭负存款利率的方式来消除负利率给商业银行带来的成本。最后,欧洲央行将资产负债规模扩张至相当于欧元区GDP总量40%以上,其量化宽松举措已达极限。有可能妨碍欧元对美元的汇率出现升值的因素是欧元区的政局出现紊乱。欧元区虽然有统一的货币但没有统一的财政政策,人们甚至不相信欧元区会有一个统一的主权债券市场。欧元区当前的国债市场本质上是一种市政债市场,各国有可能违约本国发行的国债。另外,欧元区的政治体系在不同的政府层面上以及成员国的内部政治体系内部呈现出高度碎片化的特点。也就是说,不管欧元区自己如何不喜欢,但不能排除欧元汇率升值的可能性;

  5. The Scandis: The Norwegian krone (NOK) and Swedish Krona (SEK) will most probably follow EUR. They might not do as well as CHF or GBP. Sweden has a real estate bubble to contend with and Norway’s currency varies to some extent with petroleum prices but overall they are likely to do about as well as the euro.

    北欧双雄的货币。挪威克朗和瑞典克朗的汇率最有可能跟着欧元的汇率走,但升值潜力有可能不会像瑞士法郎或英镑那么大。瑞典有房地产泡沫问题需要应对,挪威克朗的汇率在一定程度上随着原油价格而动,但这两个北欧国家的货币升值的潜力与欧元大致相符;

  6. The Indian Rupee: INR could also be an outperformer. India has a services-oriented economy that continues to grow quickly. Unlike China, it has low debt and unlike Brazil and Russia, it’s a commodity importer. Moreover, it has a significant positive interest rate differential with the rest of the world.

    印度卢比。印度卢比也有可能成为美元贬值时的赢家。印度以服务业为主导的经济将持续快速增长,与中国不同的地方在于,印度的债务总量不高;与巴西和俄罗斯不同的地方在于,印度是一个大宗商品的进口国。此外,印度的利率水平要远远高于全球其他国家;

  7. The Chinese Renminbi: Unlike, GBP, CHF, JPY and even EUR, RMB is not such a great candidate for strength versus USD. During the next decade, China is likely to see negative growth in its working-age population and a slowing of the rural-to-urban transition. It also faces a crushing debt burden. When one looks at RMB from a USD perspective, it does move – usually smoothly— sometimes rising and sometimes falling. But essentially, RMB is closely connected to USD and if USD falls a great deal during the 2020s, it will likely take RMB down with it. Sometimes RMB might underperform, especially if Chinese growth slows a great deal, and otherwise it might outperform, when Chinese growth rebounds. 

    人民币。与英镑、瑞士法郎、日元甚至欧元不同的地方在于,人民币很有可能不是美元贬值情况下的受益者。在未来十年里,中国有可能遭遇劳动人口数量负增长和农村人口向城镇人口转换速度放缓等问题,中国还将面临沉重的债务负担。如果从美元的角度看人民币的汇率变化,可以看到人民币的汇率有时起有时落,通常起伏不大。但实际上,人民币与美元的走势高度相关,如果美元汇率在2020年代大幅贬值,有可能拖累人民币的汇率也一同下行。如果中国经济增速大幅放缓,人民币的汇率有可能跑输其他大多数主要货币;反之,如果中国经济增速出现反弹,人民币的汇率有可能跑赢其他大多数货币;

  8. Australia and Canada: Both the Aussies and Canadians have loaded up on debt and have real estate bubbles, at least in certain markets. Moreover, both are major exporters of natural resources, much of which is directed towards China. Australia’s currency may be in especially dire shape: its two main exports, iron ore and coal, both have a doubtful future. Iron ore supplies have tripled since 1994 and China buys two-thirds of the global supply, including almost all of Australia’s exports. The reason why China buys so much iron ore is that since China began growing from a very low standard of living, there was very little scrap to recycle from disused automobiles, demolished building etc. Now that many Chinese own cars, that will begin to change, and China’s need for iron ore may begin to wane. When it comes to coal, China is making impressive strides towards cleaner energy, with enormous investments in wind and solar. The combination of slower growth in China plus significantly reduced demand for both coal and iron ore could throttle Australia’s two main exports and lead to the AUD being an even weaker currency than the USD.

    澳大利亚元和加拿大元。澳大利亚和加拿大均有债台高筑以及房地产泡沫的问题,至少在某些区域或类别的房地产市场里是这样。此外,这两国都是自然资源的主要出口国,其中大部分出口均面向中国。澳大利亚元面临的局面尤为严峻,该国两个主要的出口产品,铁矿石和煤炭的未来价格走势均福祸难料。1994年以来该国铁矿石的供应量增加了2倍,而中国一家就买走了全球铁矿石出口量的三分之二,其中包括澳大利亚几乎全部的铁矿石出口。中国买走的铁矿石数量如此之巨的原因在于中国的经济发展是从生活水平非常低的阶段开始的,因此中国从报废的汽车和废旧建筑中回收再利用钢铁的余地极小。如今很多中国人开上了汽车,情况开始慢慢地发生转变,未来中国对铁矿石的进口需求会逐渐减少。至于煤炭,中国正在大踏步地向清洁能源转型,在风能和太阳能等新能源领域进行大规模地投资。未来中国经济的减速再加上明显减少对煤炭和铁矿石的进口有可能导致澳大利亚的这两项主要出口遇阻并导致澳大利亚元的走势比美元更弱。 

Bottom Line

要点

  • The U.S. dollar could weaken because of bigger deficits, lower rates and slower growth.

    美元的汇率有可能因为双赤字的扩大、美联储降息和美国经济增速放缓而出现贬值;

  • British pound may be undervalued because of Brexit and susceptible to a long-term rally.

    英镑当前的汇率应因英国脱欧而已处于低估状态,很容易出现长期的升值;

  • It may be hard for central banks to further devalue Euro, Swiss franc and Yen.

    对于欧元区、瑞士和日本的央行来讲,让欧元、瑞士法郎和日元的汇率进一步贬值的难度很大;

  • Among emerging market currencies, the low-debt, not-commodity-dependent Indian rupee may be a winner.

    在新兴市场国家的货币中,债务负担较轻、受大宗商品价格涨跌影响不大的印度卢比应会成为赢家;

  • The Renminbi might follow USD downward.

    人民币的汇率有可能跟着美元一同贬值;

  • Iron ore and coal cast a dark cloud over the future of the Australian dollar.

    铁矿石和煤炭价格的行情有可能给澳大利亚元的汇率走势罩上一层阴云。

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