机构观点之CharlesSchwab:负收益率的债券会出现在美国吗?

2019/09/24 10:22
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随着全球各国央行在提振通胀增速和支持经济成长方面难以有所作为,日本银行和欧洲央行设定的短期政策性利率的水平有相当一段时间已经跌到零利率甚至负利率区间了。但是,近期中长期债券的收益率跌入负利率区间的情况可是前所未有的,如今全球有大约13.6万亿美元的债券的收益率低于0。

Investors have watched bond yields in Europe and Japan slide below zero into negative territory, and some have wondered: Could it happen here?

在目睹欧洲和日本的债券收益率滑落到负利率区间后,一些美国投资者不禁要问:“这种情况会出现在美国吗?”

Although you can never say never when it comes to markets, I believe the odds are slim, for reasons discussed below.

尽管在金融市场上永远都不应说某种情况绝无发生的可能性,但我认为债券负收益率现象出现在美国的概率极小,理由将在下文谈到。

First, some background: As central banks around the world have struggled to revive inflation and support economic growth, short-term interest rates (“policy rates”) set by the Bank of Japan and the European Central Bank have been at or below zero for quite some time. However, the recent decline in intermediate and long-term bond yields to negative territory has been unprecedented. There are currently about $13.6 trillion in negative-yielding bonds around the world.

首先来看一些背景资料:随着全球各国央行在提振通胀增速和支持经济成长方面难以有所作为,日本银行和欧洲央行设定的短期政策性利率的水平有相当一段时间已经跌到零利率甚至负利率区间了。但是,近期中长期债券的收益率跌入负利率区间的情况可是前所未有的,如今全球有大约13.6万亿美元的债券的收益率低于0。

Various countries’ shares of negative-yielding debt 

Source: Bloomberg. Monthly data as of 8/1/2019.

However, I believe negative yields are unlikely in the United States. Here are five reasons why:

即便如此,我认为负利率的债券不会出现美国债券市场上,原因有五:

1. It’s unclear whether the Federal Reserve can push yields into negative territory under the terms of its congressional charter. Former Fed Chair Janet Yellen made this point in 2016, and said that the Fed “would look into it.” To the best of my knowledge, the Fed hasn’t published anything on the topic in the interim, which means it isn’t under active consideration. If the Fed were contemplating negative policy rates, there probably would be some articles on the Fed’s website providing evidence why it is a legal and viable option. So far—nothing. Moreover, the Fed did not lower the federal funds rate below zero from 2009 to 2015, when growth was softer, deflation was a threat, and other central banks already had gone negative. That suggests some hesitancy to pursue the policy. Even with an inverted yield curve, it would be hard to push bond yields below zero without negative policy rates.

不清楚联储在当前国会授权的范围内是否有权将美国国债的收益率推低到负利率区间。联储前主席耶伦于2016年谈到了这一点,表示联储“应对这个问题进行研究”。据我所知,联储在此期间对此没有过任何说法,说明联储并未积极考虑过这个问题。如果联储正在酝酿推行负的政策性利率,在联储的网站有可能会登出几篇文章论证为什么负利率政策是合法的且可行的政策选项,但到目前为止在联储的网站还没看到这些东西。此外,在2009-2015年期间当美国经济增长乏力和通货紧缩威胁加大之时,联储并未将联邦基金利率的水平降到0以下,而其他央行早已政策性利率调降到0以下,这说明联储在推行负利率政策方面有一些顾虑。即便美国国债收益率曲线出现倒挂,但如果政策性利率的水平不降到负值,美国国债的收益率也很难跌到0以下。

2. The U.S. economy doesn’t really need negative interest ratesat least not now. The purpose behind negative rates is to force money into the economy. If there is a penalty to holding money, then it is assumed the money will end up in the economy instead. Consumers will spend it, companies will invest it, and banks will lend it. Currently, those things are happening in the U.S. with positive interest rates.

美国经济实际上并不需要负利率,至少现在还不需要。负利率政策的目的是迫使资金流入实体经济。如果对持有现金的做法进行惩罚,这是假设资金最终将进入实体经济,消费者将用这些钱消费,企业将用这些钱投资,银行会将这些钱放贷出去。但在当前正利率的市场环境下,美国也在做这些事。

Consumers are spending. Second-quarter gross domestic product (GDP) data showed consumer spending rising at a 4.7% pace, and early data for Q3 continue to look healthy. Retail sales have picked up over the past four months and are growing at a 3.7% year-over-year pace. As consumer spending accounts for 68% of GDP, that’s good enough to keep the economy going, despite sagging future expectations.

消费者花钱力度不减。美国2019年二季度的GDP数据显示消费开支增速达到4.7%,三季度数据初值继续显示出美国经济的良好状况。过去四个月,美国零售额加速增长,年度同比增速为3.7%。由于消费开支在美国GDP中的占比为68%,尽管对未来的增长预期不乐观,但强劲的消费足以让美国经济保持增长。

Consumers are still spending

Source: St. Louis Federal Reserve. Retail Sales and Food Services Excluding Motor Vehicles and Parts Dealers, Percent Change from Year Ago, Monthly, Seasonally Adjusted (RSFSXMV). Monthly data as of August 2019.

Banks are lending. The growth rate in bank credit has been running at about a 6% year-over-year pace, which is twice the pace seen at the lows in 2017, and is consistent with 2% to 2.5% GDP growth.

银行借贷顺畅。按年率计算的银行贷款增长率为6%左右,为2017年低位水平的两倍,也与GDP每年2%-2.5%的增涨势头保持一致。

Total bank credit has grown

Source: Federal Reserve Bank of St. Louis. Bank Credit, All Commercial Banks, Percent Change from Year Ago, Weekly, Seasonally Adjusted. Weekly data as of 9/4/2019.

Business investment is slowing, but not because of tight money. The primary cause of the slowdown appears to be uncertainty over trade policy rather than lack of credit availability. In fact, the capital markets are wide open for companies to raise money. Issuance in the corporate bond market has picked up sharply as interest rates have fallen, and even low-rated, junk companies are finding it easy to access capital.

企业投资在放缓,但并不是货币政策收紧带来的。企业投资放缓的首要原因似乎在于美国贸易政策的阴晴不定而不是缺乏融资。实际上,资本市场敞开大门欢迎公司前来融资,随着利率水平下行,公司债市场的发行量大增,甚至低信用评级的垃圾债级别的公司也发现很容易就能获得融资。

3. The risk of recession is low. With financing conditions easy, the risk of recession has diminished. There are several models that attempt to rate the probability of recession. Those that rely on the yield curve show an increased risk—about 40%. However, those using credit spreads show a low risk—about 10%. Historically, it has been rare to enter a recession without tight credit conditions.

美国经济陷入衰退的风险很低。随着融资状况变得宽松,美国经济陷入衰退的风险出现降低。有几个经济模型旨在预测美国经济陷入衰退的概率,以美国国债收益率曲线的形态变化为预测依据的模型显示美国经济陷入衰退的概率为40%左右。但是,以美国信用利差水平的变化为预测依据的模型显示美国经济陷入衰退的概率只有约10%。从历史上看,美国经济很少在融资状况并未收紧的情况下陷入衰退。

Source: New York Federal Reserve. Monthly data as of August 2019.  Shaded areas indicate past recessions. Recession probabilities predicted using data through August 2020.

4. Deflation is not an imminent threat. Negative interest rates have been used in Europe and Japan, where outright deflation was present. With deflation, negative nominal interest rates can be justified. However, the U.S. isn’t experiencing deflation. In fact, inflation has been edging higher. Moreover, the leading indicators of inflation appear to be signaling an increase ahead, not a decline. Using the traditional quantity theory of money results in a forecast for higher core inflation over the next year.

通缩并未迫在眉睫。负利率出现的欧洲和日本也是眼下出现通胀紧缩的地区。在通缩的情况下,负的名义利率是说得过去的。但美国并未处于通缩状态之中,实际上美国的通胀增速反而是在加速。此外,衡量通胀状况的现行经济指标似乎正在预示着美国通胀增速将增加而不是降低。如果用传统的货币数量学说进行分析,会得出明年美国的核心通胀率会提高的结论。

Source: Federal Reserve Bank of St. Louis. Consumer Price Index for All Urban Consumers: All Items Less Food and Energy, Percent Change from Year Ago, Quarterly, Not Seasonally Adjusted (CPILFENS) and Velocity of M2 Money Stock, Percent Change from Year Ago, Quarterly, Seasonally Adjusted (M2V). Quarterly data as of 7/1/2019.

Note: M2 is a measure of the money supply that includes cash, checking deposits, and easily convertible near money. M2 is a closely watched as an indicator of money supply and future inflation, and as a target of central bank monetary policy.

5. The track record for negative rates isn’t great. While the European Central Bank (ECB) and Bank of Japan (BOJ) have supported the view that negative rates have been successful in lifting economic growth and inflation, the results have been mixed at best. Meanwhile, negative rates can make banks less inclined to lend, limiting economic activity. They are also harmful to savers, which may inhibit consumption. The BOJ has had to use “yield curve control” to stabilize yields.

负利率的效果不彰。虽然欧洲央行和日本银行支持负利率政策在提升经济增速和通胀增速方面成效显著的观点,但负利率政策的效果最多只能说是好坏参半。与此同时,负利率会降低商业银行对外放贷的积极性,导致经济活动不活跃。同时负利率对存款人也构成伤害,反过来制约了消费行为。日本银行不得不借助“控制国债收益率曲线”的方式稳定日本国债的收益率水平。

In Europe, one of the drivers behind negative yields is tight fiscal policy, especially in Germany. With a budget surplus, Germany is actually paying down debt, reducing the supply of government bonds to the market. Meanwhile, the ECB is buying government bonds. Consequently, yields are plummeting—especially in Germany, where the continent’s largest economy is slipping into recession. It’s no surprise that departing ECB President Mario Draghi has pleaded for easier fiscal policy to augment monetary policy. The U.S. has a very different set of issues: a large and growing budget deficit, and an increasing supply of Treasuries.

在欧洲,国债负收益率现象背后的一个诱因是欧元区严格财政政策,尤其是德国的财政政策。由于德国的财政预算处于盈余状态,因此德国实际上一直在偿还国债,德国国债的市场供应量是不断减少的。与此同时,欧洲央行却在持续买入欧元区的国债。结果造成欧元区国债的收益率出现下滑,尤其是德国国债的收益率,而德国这个欧洲大陆上最大的经济体正处于衰退之中。难怪即将离任的欧洲央行总裁德拉吉恳请放宽财政政策来帮助货币政策取得更好的效果。而美国方面存在的问题则完全不同,美国财政赤字的规模本已很庞大且还在继续膨胀,而美国国债的发行量还在增加。

A long way to zero

通往零利率的道路还很漫长

Negative bond yields can’t be entirely ruled out, but the bar to such a move is high. A steep and prolonged recession, with the prospect of deflation and tight credit conditions, would be pre-conditions in my view—but we haven’t seen that. In the meantime, the Federal Reserve has plenty of room to lower the federal funds rate, currently at 1.75% to 2%, before reaching zero or below.

负债券收益率现象出现在美国的可能性不能完全排除,但要走到这一步并非易事。我们认为前提条件是美国经济出现严重且长期持续的衰退,通缩预期和收紧的融资状况,但目前还看不到这些情况。与此同时,在将政策性利率的水平调降至零甚至负利率区间之前,美联储有足够的余地调降目前处于1.75% to 2%区间的利率水平。

Implications for investors

对投资者有何启示

We expect the Federal Reserve to lower interest rates to a range of 1.5% to 1.75% over the next few quarters, which should cause the yield curve to steepen to a more normal shape, in which longer-term rates are higher than short-term rates. Barring a recession, 10-year Treasury yields are likely to move back above 2%, although the upside is limited by the low levels of yields in other major markets.

我们预期美联储会在今后几个季度里调降目前处于1.75% to 2%区间的利率水平,这将导致美国国债收益率曲线回归更常见的陡峭形态,即远期利率的水平高于短期利率的水平。除非出现经济衰退,否则10年期美国国债的收益率有可能将重回2%以上,尽管其他主要国家国债的低收益率水平会制约美国国债收益率的上升空间。

We continue to suggest investors consider using bond ladder and/or barbell strategies to manage the duration in their portfolios. We also suggest reducing exposure to high-yield bonds, which may experience falling prices due to slower corporate profit growth and global growth. Even within investment-grade corporate bonds, we recommend moving to the higher tiers of credit quality.

我们继续建议投资者考虑采取阶梯式或杠铃式债券投资策略以管理债券投资组合的久期,同时建议减持高收益债,因高收益债的价格会因为企业利润增速和全球经济增速的放缓而下跌。甚至在投资级公司债方面,我们也建议应将投资重点转移到高评级的个券上。

译者  王为

By Kathy A Jones

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