有史以来头一回 美联储独自拥有发达国家中最高利率

路闻卓立编译 人民币交易与研究 2019-08-30

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Bianco Research主席James Bianco近日发文指出,美国联邦基金利率有史以来首次成为发达国家中最高的利率;对此,美联储需要做出一些解释。


图/视觉中国

今天(28日)上午,30年期意大利国债收益率跌破美国联邦基金利率。这意味着,美联储目前管理着发达国家中最高且是唯一处在这个水平的利率。

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.

下图显示了发达国家追溯到20世纪50年代的3个月利率。美国3个月利率(政策利率的一个代理指标)50多年来首次成为发达国家中最高的。

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,这是现代史上第一次美国联邦基金利率成为发达国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.

与其他发达国家相比,美国的长期利率也处于类似的极端水平。下一个图表显示了62年来的数据,美国长期利率也首次成为发达国家中最高的(这一趋势始于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).

市场已经通过收益率曲线表明了自己对这个情况的看法。

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

3月/10年期美债收益率曲线继续进一步倒挂,接近19年来最极端的水平。

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

尽管收益率曲线强烈要求降息50个基点,但市场尚未消化这一预期。如下图所示,价格显示降息50个基点的概率在5%到16%之间。

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%.

那么,为什么联邦基金利率期货市场的定价不像收益率曲线那么激进呢?

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

正如我们昨天所指出的:由于鲍威尔和美联储官员暗示他们不愿意降息50个基点,联邦基金利率期货(和OIS)的定价没有反映出降息50个基点的前景。倒挂的收益率曲线表明这是一个错误。

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.

那么,是什么让市场消化50个基点的前景呢?正如我们昨天所指出的:目前,标普500指数在2890点左右交投。鉴于其跌至2822点将降息50个基点的隐含几率推低至36%,看起来若其在2800点以下交投(较纪录高点下修约8%),则将推动联邦基金利率期货价格显示,降息50个基点的几率为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.

下图显示了降息50个基点的几率。

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


总结

当美联储9月18日开会时,官员们应该问自己以下问题:

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;              ">我们管理的联邦基金利率,现在是发达国家中最高且是唯一处在这一水平的利率。像收益率曲线这样的市场指标表明,这是错误的。

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.

我们确定我们的政策是正确的吗?哪一组经济指标表明,这是60年来美国首次单独拥有最高利率?

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?

我们已指出,收益率曲线倒挂会损害经济。累积足够的损害,经济就会陷入衰退。因此,这条曲线并不能预测经济衰退,而是导致了衰退。目前尚不清楚美国经济能够承受多大的损害。

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.

如果美联储不采取积极的降息措施,我们将看到美国经济可能会承受多大的压力。而且除非他们大幅降息,否则长期利率将继续下跌,曲线倒挂也将进一步加剧。

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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