标签归档:货币政策

终于加息了

美联储终于做了决定。

FOMC在他们2015年12月的会议中决定将基准利率提高25个基点,这是近10年来美联储第一次加息。这次加息的时间和市场预期完全一致,幅度大小也和此前美联储官员提示的相符。

在美联储公布加息决定后,金融市场并没有太大反应。这说明美联储在加息之前给与了市场足够的提示。但是历史上从来没有哪次货币政策的时间选择受到如此大的争议,而且还是如此小幅调整。经济学家和市场参与者们的观点分裂。说到底,制定货币政策就是要平衡让经济过热和减缓经济增长的风险。由于无法预测未来,我们无法肯定这个决定是对是错。我们可以做的,就是分析支持和反对这个决定的理由。

继续阅读

Central banking: After the hold, be bold

The Economist

Central banking: After the hold, be bold

威廉·菲利普斯在近百年的经济数据中总结出一条经济规律:通货膨胀率与失业率之间存在反向关系。通货膨胀率高时,失业率低;通货膨胀率低时,失业率高。这就是著名的菲利普斯曲线(Phillips Curve)。

但是现在,这个关系似乎已经不再有效。

美国现在的失业率只有金融危机最高时的一半,但通货膨胀率却迟迟没有增长的势头。《经济学人》杂志认为,美联储和一些成熟经济体的央行应该放弃使用2%通货膨胀率的目标,转而将名义国内生产总值(Nominal GDP)作为目标。

美国失业率和CPI的变化,1945-2015年
美国失业率和CPI的变化,1945-2015年

为什么要担心通货紧缩?

关于何时加息,美联储官方的回答一直是“由数据决定”。而现在数据中最大的(也许是唯一的)障碍就是通货膨胀率了。

美国现在的通货膨胀率低得可怜。这很重要的原因是由于一年间价格跌幅超过50%的石油。但即使是除去能源和实物价格的影响核心通胀率(core inflation)也还是比美联储的2%目标要低很多。

Consumer Price Index 2000 to 2015

如此低的通货膨胀率让一些人 — 其中最著名的是桥水基金创始人雷·达里奥(Ray Dalio)和美国前财长劳伦斯·萨默斯(Larry Summers) — 公开表示,美国央行应该考虑的不是加息,而是第四轮量化宽松。他们担心美国可能陷入通货紧缩的陷阱。

通货紧缩(deflation),简单地说,就是整体物价水平下跌。日常生活中,商品降价可能刺激消费。消费多了,经济发展自然就加快了。那为什么还要担心通货紧缩呢?

继续阅读

Fed’s Dudley: Case for September Rate Increase Now Less Compelling

美联储纽约银行主席杜德利(William Dudley)表示九月份加息的必要性降低。

“From my perspective, at this moment, the decision to begin the normalization process at the September FOMC meeting seems less compelling to me than it was a few weeks ago.”

文章:Fed’s Dudley: Case for September Rate Increase Now ‘Less Compelling’ (WSJ)

雷·达里奥:美联储应该QE4,而不是加息

不久前,华尔街上大多数人都认定美联储会在今年9月宣布加息。但在最近几天的市场大风大浪后,很多分析师开始预测第一次加息的时间会有所推迟。😂不过,也有一些人认为,美联储应该考虑的不是加息,而是另一轮量化宽松(QE)。

前美国财政部部长劳伦斯·萨默斯(Larry Summers)和全球最大对冲基金创始人雷·达里奥(Ray Dalio)本周都发表类似的言论,表示新一轮QE可以帮助对抗通货紧缩的危险和缓解金融市场的紧张气氛。

达里奥在周一给客户的一封题为《The Dangerous Long Bias and the End of the Supercycle and Why We Believe That the Next Big Fed Move Will Be to Ease (Via QE) Rather Than to Tighten》信中写道:

As you know, the Fed and our templates for how the economic machine works are quite different so our views about what is happening and what should be done are quite different.

To us the economy works like a perpetual motion machine in which short-term interest rates are kept below the returns of other asset classes and the returns of other asset classes are more volatile (because they have longer duration) than cash. That relationship exists because a) central banks want interest rates to be lower than the returns that those who are borrowing to invest can generate from that borrowing in order to make their activities profitable and b) longer-term assets have more duration that makes them more volatile than cash, which is perceived as risk, and investors will demand higher returns for riskier assets.

Given that, let’s now imagine how the machine works to affect debt, asset prices, and economic activity.

Because short-term interest rates are normally below the rates of return of longer-term assets, you’d expect people to borrow at the short-term interest rate and buy long-term assets to profit from the spread. That is what they do. These long-term assets might be businesses, the assets that make these businesses work well, equities, etc. People also borrow for consumption. Borrowing to buy is tempting because, over the short term, one can have more without a penalty and, because of the borrowing and buying, the assets bought tend to go up, which rewards the leveraged borrower. That fuels asset price appreciation and most economic activity. It also leads to the building of leveraged long positions.

Of course, if short-term interest rates were always lower than the returns of other asset classes (i.e., the spreads were always positive), everyone would run out and borrow cash and own higher returning assets to the maximum degree possible. So there are occasional “bad” periods when that is not the case, at which time both people with leveraged long positions and the economy do badly. Central banks typically determine when these bad periods occur, just as they determine when the good periods occur, by affecting the spreads. Typically they narrow the spreads (by raising interest rates) when the growth in demand is growing faster than the growth in capacity to satisfy it and the amount of unused capacity (e.g., the GDP gap) is tight (which they do to curtail inflation), and they widen the spreads when the opposite configuration exists, which causes cycles. That’s what the Fed is now thinking of doing — i.e., raising interest rates based on how central banks classically manage the classic cycle. In our opinion, that is because they are paying too much attention to that cycle and not enough attention to secular forces.

As a result of these short-term (typically 5 to 8 year) expansions punctuated by years of less contraction, this leveraged long bias, along with asset prices and economic activity, increases in several steps forward for each step backwards. We call each step forward the expansion phase of each short-term debt cycle (or the expansion phase of each business cycle) and we call each step back the contraction phase of each short-term debt cycle (or the recession phase of the business cycle). In other words, because there are a few steps forward for every one step back, a long-term debt cycle results. Debts rise relative to incomes until they can’t rise any more.

Interest rate declines help to extend the process because lower interest rates a) cause asset prices to rise because they lower the discount rate that future cash flows are discounted at, thus raising the present value of these assets, b) make it more affordable to borrow, and c) reduce the interest costs of servicing debt. For example, since 1981, every cyclical peak and every cyclical low in interest rates was lower than the one before it until short-term interest rates hit 0%, at which time credit growth couldn’t be increased by lowering interest rates so central banks printed money and bought bonds, leading the sellers of those bonds to use the cash they received to buy assets that had higher expected returns, which drove those asset prices up and drove their expected returns down to levels that left the spreads relatively low.

That’s where we find ourselves now — i.e., interest rates around the world are at or near 0%, spreads are relatively narrow (because asset prices have been pushed up) and debt levels are high. As a result, the ability of central banks to ease is limited, at a time when the risks are more on the downside than the upside and most people have a dangerous long bias. Said differently, the risks of the world being at or near the end of its long-term debt cycle are significant.

That is what we are most focused on. We believe that is more important than the cyclical influences that the Fed is apparently paying more attention to.

While we don’t know if we have just passed the key turning point, we think that it should now be apparent that the risks of deflationary contractions are increasing relative to the risks of inflationary expansion because of these secular forces. These long-term debt cycle forces are clearly having big effects on China, oil producers, and emerging countries which are overly indebted in dollars and holding a huge amount of dollar assets — at the same time as the world is holding large leveraged long positions.

While, in our opinion, the Fed has over-emphasized the importance of the “cyclical” (i.e., the short-term debt/business cycle) and underweighted the importance of the “secular” (i.e., the long-term debt/supercycle), they will react to what happens. Our risk is that they could be so committed to their highly advertised tightening path that it will be difficult for them to change to a significantly easier path if that should be required.

在这封信的最后,达里奥又说道:

To be clear, we are not saying that we don’t believe that there will be a tightening before there is an easing. We are saying that we believe that there will be a big easing before a big tightening. We don’t consider a 25-50 basis point tightening to be a big tightening. Rather, it would be tied with the smallest tightening ever. As shown in the table below, the average tightening over the last century has been 4.4%, and the smallest was in 1936, 0.5%— when the US was last going through a deleveraging phase of the long term debt cycle. The smallest tightening since WWII was 2.8% (from 1954 to 1957). To be clear, while we might see a tiny tightening akin to what was experienced in 1936, we doubt that we will see anything much larger before we see a major easing via QE. By the way, note that since 1980 every cyclical low in interest rates and every cyclical peak was lower than the one before it until interest rates hit 0%, when QE needed to be used instead. That is because lower interest rates were required to bring about each new re-leveraging and pick-up in growth and because secular disinflationary forces have been so strong (until printing money needed to be used instead). We believe those secular forces remain in place and that that pattern will persist.

via: Business Insider