有史以來頭一回 美聯儲獨自擁有發達國家中最高利率

人民幣交易與研究2019-09-10 14:28:30

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Bianco Research主席James Bianco近日發文指出,美國聯邦基金利率有史以來首次成為發達國家中最高的利率;對此,美聯儲需要做出一些解釋。


圖/視覺中國

今天(28日)上午,30年期意大利國債收益率跌破美國聯邦基金利率。這意味着,美聯儲目前管理着發達國家中最高且是唯一處在這個水平的利率。

This morning the yield of 30-year Italian bonds fell below the fed funds rate. This means the Fed is now in charge of the single highest interest rate in the developed world.

下圖顯示了發達國家追溯到20世紀50年代的3個月利率。美國3個月利率(政策利率的一個代理指標)50多年來首次成為發達國家中最高的。

The next chart shows 3-month rates for developed countries back to the 1950s. For the first time in over 50 years, the U.S. 3-month rate (a proxy for the policy rate) is the highest in the developed world.

重申一遍,這是現代史上第一次美國聯邦基金利率成為發達國家中最高的短期利率。

Restated, this is the first time in modern history that the federal funds rates is the highest short-term rate in the developed world.

與其他發達國家相比,美國的長期利率也處於類似的極端水平。下一個圖表顯示了62年來的數據,美國長期利率也首次成為發達國家中最高的(這一趨勢始於2018年)。

U.S. long rates are at a similarly extreme level relative to other developed nations. The next chart shows 62 years of data and, for the first time, U.S. long-rates are the highest in the developed world (this trend began in 2018).

市場已經通過收益率曲線表明了自己對這個情況的看法。

The market has made its opinion known about this situation via the yield curve.

3月/10年期美債收益率曲線繼續進一步倒掛,接近19年來最極端的水平。

The 3m/10y curve continues to sink further into inversion, approaching its most extreme level in 19 years.

儘管收益率曲線強烈要求降息50個基點,但市場尚未消化這一預期。如下圖所示,價格顯示降息50個基點的概率在5%到16%之間。

While the yield curve is screaming for a 50 basis point cut, the market is not yet pricing in such a move. As the chart below shows, the probability of a 50 basis point cut is between 5% and 16%.

那麼,為什麼聯邦基金利率期貨市場的定價不像收益率曲線那麼激進呢?

So why is in the fed funds market not pricing in as aggressive a stance as the yield curve?

正如我們昨天所指出的:由於鮑威爾和美聯儲官員暗示他們不願意降息50個基點,聯邦基金利率期貨(和OIS)的定價沒有反映出降息50個基點的前景。倒掛的收益率曲線表明這是一個錯誤。

As we noted yesterday: Fed fund futures (and OIS) are not pricing in a 50bps cut because Powell and Fed officials are hinting they are not willing to cut 50. The inverted curve says this is a mistake.

那麼,是什麼讓市場消化50個基點的前景呢?正如我們昨天所指出的:目前,標普500指數在2890點左右交投。鑑於其跌至2822點將降息50個基點的隱含機率推低至36%,看起來若其在2800點以下交投(較紀錄高點下修約8%),則將推動聯邦基金利率期貨價格顯示,降息50個基點的機率為50%。

So what gets the market to price in a 50 basis point cut? As we also pointed out yesterday: Currently, the S&P; 500 is trading around 2890. Given a drop to 2822 pushed the implied odds of a 50 bps cut to 36%, it is looking like a trade under 2800 (about an 8% correction from the all-time high) would push fed funds futures to price in a 50% chance of a 50 bps cut.

下圖顯示了降息50個基點的機率。

The next chart illustrates how the odds of a 50 basis point cut.


總結

當美聯儲9月18日開會時,官員們應該問自己以下問題:

When the Fed meets style="margin: 40px 0px; word-break: normal; overflow-wrap: break-word; text-align: justify; font-size: 32px; line-height: 56px; padding: 0px 10px; color: rgb(51, 51, 51); font-family: sans-serif;              ">我們管理的聯邦基金利率,現在是發達國家中最高且是唯一處在這一水平的利率。像收益率曲線這樣的市場指標表明,這是錯誤的。

The federal funds rate, the rate we administer, is now the single highest interest rate in the developed world. Market measures, like the yield curve, are saying this is wrong.

我們確定我們的政策是正確的嗎?哪一組經濟指標表明,這是60年來美國首次單獨擁有最高利率?

Are we sure we have the correct policy? What set of economic indicators suggest this is the first time in 60 years that the U.S. should stand alone with the highest rate in the world?

我們已指出,收益率曲線倒掛會損害經濟。累積足夠的損害,經濟就會陷入衰退。因此,這條曲線並不能預測經濟衰退,而是導致了衰退。目前尚不清楚美國經濟能夠承受多大的損害。

We have argued that an inverted curve damages the economy. Accumulate enough damage and the economy sinks into recession. So, the curve does not predict a recession, it causes it. What is not known is how much damage the economy can withstand.

如果美聯儲不採取積極的降息措施,我們將看到美國經濟可能會承受多大的壓力。而且除非他們大幅降息,否則長期利率將繼續下跌,曲線倒掛也將進一步加劇。

If the Fed does not get aggressive and cut rates, we are going to find out how much the economy can withstand. And until they do cut aggressively, long-term rates will continue to sink and the inversion will get deeper.(完)

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