花旗：货币战争Out了 现在的利率战争更可怕

[GRAND KING]

http://wallstreetcn.com/node/25680
花旗经济学家 Steven Englander 2013年06月13日 15:29

货币战争的反面不一定是货币和平，而是很容易变成利率战争。从 5月1日开始计算，47个主要新兴经济体和发达经济体的10年期当地国债收益率上涨幅度的中位数为39个基点。在主要新兴经济体中（浅蓝色柱）上涨幅度的中位数为83个基点；在主要发达经济体中（深蓝色柱）上涨幅度的中位数为29个基点。美国10年期国债收益率的上涨幅度只处于发达经济体的中间水平，远低于整体上涨幅度的中位数。因为利率上涨幅度分布有一条向上的“肥大的尾巴”，所以平均涨幅会更高。这里的悖论是，美国的利率上涨，虽然被认为是全球利率上涨的主要驱动力，但其上涨幅度要远低于全球上涨幅度的中位数和平均值。

（下图为从5月1日至6月11日的统计数据）


就算我们假设利率上涨幅度的GDP加权平均值约为30个基点，这也代表了全球经济环境的巨大紧缩。在过去六个星期里，通胀环境并没有发生实质性改变；如果硬要说发生了什么变化，那么通胀预期已经是比之前降低了。在全球范围内，汇率变动可以抵消影响，各国的有效货币环境是不会同方向变动。我们会认为，美国利率的上升是美国经济前景改善的合理反应，当然，有些人并不同意这个观点。

然而，美国代表了世界GDP规模的约20%，而在美国以外，几乎没有国家呼吁收紧货币政策。但（美联储呼吁相对紧缩）带来的结果是，代表了80%GDP的世界却经历了一次意外的而且不希望发生的货币政策紧缩过程。

根据历史经验，短期利率紧缩100个基点会转化成长期利率紧缩20-30个基点。如果我们把这个逻辑翻转，当世界的长期利率平均上涨了30个基点，那么我们应该已经经历了相当于90-150个基点的短期利率货币紧缩政策。如果对上涨幅度分布的斜率进行修正，长期利率的实际上涨幅度可能接近40个基点，这就相当于120-200个基点的短期利率货币紧缩政策。鉴于新兴经济体今年不佳的经济表现，以及欧元区、日本和英国的增长水平并没有录得重大的意外好转，这个紧缩幅度是很大的。

利率的反弹代表了风险溢价的上升，所以这将很可能会对资产市场和海外的财富效应带来负面的影响。基于普通的替代效应（substitution effect）是很难解释利率反弹所带来影响的程度的。一般来说，如果你利用债券收益率反弹的幅度与经济和资产市场潜在的Beta值相对比，这会产生一个具有很强一致性的结果——现在驱动债券市场走势的是市场的恐慌，而不是乐观情绪。

利率的反弹正在向汇率市场外溢，虽然汇率变动的一致性没有利率的强。如下图所示，不同的国家以其货币贬值的幅度大小加以排列。大体地说，货币贬值幅度更大的国家，经历了更大幅度的利率上涨，虽然印度和澳大利亚是处于左边完全反向的例外，而匈牙利就是处于右边反向的例外。欧元区边缘国家利率的上涨，在某种程度上说，可能会变成一个问题，因为这会增加这些国家实现经济增长的难度。事实上，欧元区边缘国家的利率上涨是由国际力量驱动的，而不是市场对其主权风险的担忧，但这并不会降低负面的影响。



可能很多人会说，正在面对债券市场压力的新兴市场和发达国家，应该进一步宽松其货币政策，并压低其货币的汇率，这样有效的货币环境就能实现宽松。对于世界很多央行而言，用宽松政策来应对美国债券市场带来的紧缩效应是不可行的。欧洲央行现在已经发现，其政策操作空间已经非常有限。日本央行推出的大宽松的影响，已经被风险溢价和潜在波动率的上升，以及因此导致的资产市场走软，大幅冲销了。新兴市场的进一步宽松政策也受到了限制：1）因为对于货币的大幅贬值，通胀可能比产出增长出现得更快；2）现在有一些迹象表明，货币贬值正在转化成这些国家债券市场的更多压力，这将损害宽松的有效性。所以，债券利率的战争可能和货币战争一样痛苦。

结果是，在资产市场环境稳定之前，大宗商品和新兴市场货币汇率面对的压力将持续。我们应该继续分别看待利率水平走高，和利率与资产市场波动率走高。如果美国的债券市场将在现在或更高的利率水平下开始稳定，但伴随着更低的波动率，那么其它国家可能可以引入抵消美国利率走高的宏观经济政策。然而，只要美国的利率走高一直伴随着资产市场波动率的走高，那么其它国家很可能会发现它们的政策选项会严重受限，而且它们的资产市场也会继续受压。

 

[GRAND KING]

"Tapering" From Currency-Wars To Interest-Rate-Wars
http://www.zerohedge.com/news/2013-06-12/tapering-currency-wars-interest-rate-wars
Via Steven Englander

"The opposite of currency wars is not necessarily currency peace; it can easily be interest rate wars," is the warning Citi's Steve Englander sends in a note today, as EM and DM bond yields have relatively exploded in recent weeks. The backing up of yields represents an increase in risk premium, so this will likely have negative effects on asset markets and the wealth effect abroad as well. It is difficult to explain the magnitude of the yield backup in terms of normal substitution effects, and broadly speaking, if you were to compare the backing up of bond yields with the beta of the underlying economy and asset markets there would be a good correspondence. So, Englander adds, it is fear, not optimism that is driving bond markets.

The opposite of currency wars is not necessarily currency peace; it can easily be interest rate wars. Since May 1 the median increase in 10year local bond yields in 47 major EM and developed markets (DM) is 39bps. Among major EM economies (light blue) it is 83bps; among major DM (dark blue) economies it is 29bps. The US 10year Treasury yield increase (red)is only at the median of developed economies and well below the overall median. In both EM and developed economies, the fat tail of rate increases is to the upside, so average increases are even higher. The paradox is that the run-up in US interest rates, which is arguably the primary driver of these global rate increases, is well below the average and median globally.



Even if we assume that the GDP-weighted average increase in yields is about 30bps, it represents a significant tightening in global economic conditions. The inflation picture has not changed materially in the last six weeks; if anything, it may be more benign than earlier thought. On a global level, exchange rates cancel out and do not affect the effective stance of monetary conditions to a good first order approximation. We may argue that the US rates increase is justified by the improved US economic outlook, and some will debate even that.

However, the US represents about 20% of global GDP, and outside the US there have been very few calls for monetary policy tightening. As a consequence roughly 80% of the world has experienced a monetary policy tightening that was neither expected nor desired.

There is a rule of thumb that 100bps of tightening at the short end translated into 20-30bps of tightening at the long end. If we invert that rule and use 30bps as the global average monetary tightening at the long end, then we have experienced the equivalent of 90-150bps of monetary tightening at the short end. If, given the skew, the effective increase at the long is closer to 40bps, we are looking at the equivalent of 120-200bps of short-end tightening. That is a lot, given that EM has been underperforming all year, and euro zone, japan and UK growth on the whole are not registering major upward surprises.

The backing up of yields represents an increase in risk premium, so this will likely have negative effects on asset markets and the wealth effect abroad as well. It is difficult to explain the magnitude of the yield backup in terms of normal substitution effects, and broadly speaking, if you were to compare the backing up of bond yields with the beta of the underlying economy and asset markets there would be a good correspondence. So it is fear, not optimism that is driving bond markets.

This backing up of yields is spilling over into exchange rates, although the correspondence is less than 1-1. In Figure 2 countries are ordered by the magnitude of their depreciation. By and large countries with bigger depreciations have experienced bigger increased in bond yields, although India and Australia stand out as exceptions on one end, and Hungary on the other. The backing up of yields in the euro zone periphery at some point may become a problem, as this adds to growth headwinds. The fact that this backing up is driven by global forces, not sovereign risk concerns does not make it less negative.



It is tempting to say that DM and EM countries facing bond market pressure should just ease monetary policy further and take the hit on the exchange rate, so that effective monetary conditions are eased. Easing in response to the US-bond-market-induced monetary tightening is not feasible for many central banks. The ECB sees itself as having limited policy room now. The impact of BoJ’s easing has been undermined tremendously by the backing up of risk premia and implied volatility, and consequent softening of asset markets. EM is constrained in easing 1) because inflation may respond much quicker than output growth to a significant depreciation, and 2) there is some evidence that depreciations are now translating into further pressure on bond markets, undermining the effectiveness of ease. So bond wars may not be any more pleasant than currency wars.

The upshot is that we may continue to see pressure on commodity and EM currencies until asset market conditions stabilize. We continue to distinguish between higher levels of rates and higher levels of rate and asset market volatility. If US bond markets were to stabilize at current or even higher levels, but be accompanied by lower volatility, then other countries may be able to introduce offsetting macro policies. However, as long as the backing up of bond yields is accompanied by the higher volatility in asset markets, they are likely to find their policy options very constrained, and their asset markets under continuing pressure.