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趋势是你的朋友,美元!

市川新田三丁目 2019-05-13 08:28:15

The trend is your friend with the US dollar

By Max McKegg

  • Donald Trump has followed George W. Bush by slapping tariffs on key imports

  • 特朗普步乔治布什的后尘对关键的进口商品大加关税

  • US and Eurozone inflation is holding steady, for now

  • 美国和欧元区的通胀率当前保持稳定状态

  • But tit for tat tariff increases by major economies could spark inflation

  • 但主要经济体竞相增加关税会刺激通胀走高

  • Rate differentials are currently firmly in favour of the US dollar

  • 当下在各主要货币之间的利差方面,美元具有绝对优势

  • The spread between US and German two-year bond yields has hit a high of 2.8%

  • 美国和德国两年期国债利差摸高2.8%

 
FX traders spent Thursday afternoon taking on board the implications of President Trump’s plan to introduce tariffs on steel and aluminium imports, including the potential for retaliation, initially by the European Union and China, and later other countries that will want to wait and see what the big boys do.
上周四外汇交易员们花了一个下午的时间权衡特朗普大统领对进口的钢铁和铝材收取关税的做法会带来什么影响,以及欧盟和中国会先采取何种报复措施,外加那些先躲在一边看大佬怎么干仗然后再伺机出手的国家的动向。
At the close of New York trading on Thursday, the USD index was down on the day, but not by much, as were bond yields. Stock market traders were more forthright in their response, sending the Dow down 600 points at one stage.
纽约市场上周四收盘时,美元指数虽有下跌但和美国债收益率一样,跌幅都不大。股票交易员反应则更加干脆,一度将道琼斯指数砸下去600点。
President George W. Bush introduced steel tariffs in 2002, on the back of tax cuts the previous year, so history might be a guide. The USD index declined sharply over 2001-2003 as shown in the chart below. The initial stage of that chart pattern has been repeating since early last year: the trend is your friend.
2002年前总统乔治布什对进口钢铁征收关税,而前一年刚刚实施减税政策,所以历史经验很有借鉴意义。见下图所示美元指数在2001-2003年间大幅下落,该走势图的初始部分已经在去年年初以来的走势中得到再现:还是那句交易格言,趋势是你的朋友。


USD chart

Source: Metastock

Some economists think a tit for tat tariff increase by the major economies could spark inflation. Maybe, but in the meantime the latest update on the Federal Reserve’s inflation benchmark – the price index of Personal Consumption Expenditures – matched expectations with the annual headline rate at 1.7% and core at 1.5%, both unchanged on the previous month.
一些经济学家认为主要经济体竞相增加关税会激发通胀加速上扬。也许是吧,但与此同时最新公布的美联储通胀数据基准指标——个人消费支出价格指数的名义增速为1.7%,核心增速在1.5%,环比没有变化,符合市场预期。
The reading had little impact on financial markets: three rates hikes this year remain a high probability based on fed funds futures pricing. In the 2004, as the impact of the dollar decline showed up in consumer prices, the Fed funds level was moved up sharply to chase the inflation rate and eventually match it, as illustrated here.
该数据的公布对金融市场基本没啥影响:联邦基金利率期货的报价仍隐含了今年非常有可能加息三次。在2004年由于美元贬值的效果体现在了消费物价指数中,联邦基金利率的水平大幅上升以跟上通胀率上升的脚步并最终追平,见下图所示。


Fed funds versus PCE chart

Source: Bloomberg


Could history repeat with USD continuing to track the 2001-2003 pattern, eventually falling far enough to spark inflation? No one knows: movement in medium term FX rates is just as hard to forecast as gyrations on hourly charts.
历史会重复其本身吗?就像美元再次重现2001-2003年间走势,跌到最后引发通胀率上升?没人知道答案,中期外汇汇率的波动就像小时图上的反转走势一样难以预测。
But there in another potential trigger for inflation, dormant for years, perhaps soon to be awakened.
但是还有一个有可能引发通胀的因素,虽然蛰伏了很多年但也许很快就会被唤醒。
When discussing the outlook for inflation and therefore interest rates we often see economists making reference to the “Phillip curve”, the relationship between the unemployment rate and wage growth. In theory, as the unemployment rate drops, wages rise. And, as shown in the chart below, that’s what happened in the past among the G7 economies as a group.
在谈到通胀和利率的走势前景时,我们经常会看到经济学家提到“菲利普曲线”,也就是失业率和薪酬增速之间的关联关系。理论上,当失业率下降的时候薪酬会上升。下图显示的是工业七国经济作为一个整体在过去所发生的情况。
However in the period 2009-2017, as unemployment has fallen from close to 9%, wage growth has hardly budged. In economist jargon, the Phillips curve has flattened. The chart suggests there could be some catching up to do and a move anything like that indicated would be a game changer.
但是在2009-2017年间,在失业率从接近9%的水平开始下跌的同时,薪酬增速却基本没动。用经济学家的术语来讲就是,菲利普曲线平坦化了。下图说明有一些补救工作需要做,菲利普曲线的平坦化一旦出现任何改善的迹象都有可能引发大的变化。
Phillips curve chart

Source: Capital Economics


Be that as it may, the latest wage growth readings from the major economies suggest there is no immediate prospect of an inflation surge. In the Eurozone, the flash estimate for the year ending February (one month ahead of the US update) showed headline and core inflation stuck in the doldrums at 1.3% and 1% respectively.
尽管如此,各主要经济体最新的薪酬增长报告显示短期内通胀没有大幅上升的可能性。截止到2月份的欧元区初始通胀率数据(比美国早公布一个月)显示名义通胀率和核心通胀率分别处于1.3%和1.0%的低位。
There's nothing encouraging in those numbers for the European Central Bank or, indeed for EURUSD bulls, who long for some fundamental justification for the current level of the pair, especially with the interest rate differential providing such a headwind.

对于欧洲央行或基于基本面因素而认可当前汇率的欧元/美元的多头来说,这些数据实在不那么振奋人心,尤其是欧美之间的利差之大对欧元是不利的。

The spread between US and German two-year government bond yields has hit a multi-decade high, and a couple of basis points could be the straw that breaks the camel’s back.       Photo: Shutterstock


As the following chart shows, the spread between US and German two-year government bond yields has blown out to a multi-decade high of 2.8%. Are we getting close to the stage when a couple of basis points could be the straw that breaks the camel’s back?
见下图所示,美国和德国两年期国债利差暴涨到数十年来的最高点2.8%,我们是不是快到了这么一个时点,利差再上几个基本点就会成为压倒骆驼的那根稻草?
US versus German 2 years chart

Source: Bloomberg
注意图中美国与德国国债的2年期国债利差是倒过来画的,往下走意味着利差扩大。
Nevertheless, expanding rate differentials have been unable to prevent a decline in USD over recent months. But we could be close to a tipping point, and not just in EURUSD.
不管怎么说,利差的扩大没有阻止近几个月来美元汇率的下降走势,但是我们可能正在接近临界点,而且还不仅限于欧元/美元是这样。
As this chart shows, the yield on 10-year US treasuries tops the G7 and is now pushing ahead of the traditional high-yielder like Australia and New Zealand. Rate differentials may be out of fashion among FX traders but they will reassert themselves when least expected.
见下图所示,10年期美国国债的收益率是工业七国中名列前茅,正在追上传统上的高收益率国家如澳大利亚和新西兰的国债收益率。利差影响汇率的理论对于外汇交易员来说可能有点过时了但是交易员也许会出其不意地再拿利差说事。
World 10 years chart
Source: Wall Street Journal.

It would be a brave FX trader who tries to second guess what rate differential will be the last straw for EURUSD. Similarly when or if the Phillips curve comes into play and in which economy first.
只有最勇敢的交易员才会去质疑对于欧元/美元来说什么利差才是压倒骆驼的稻草,以及菲利普曲线何时或是否会发生作用,以及在哪个经济体中首先奏效。
With so many balls in the air,  the best thing a trader can do is stick with the trend. For the USD index, if not necessarily for all its components, especially USDJPY, that trend is down.

由于有这么多不确定性,一个交易员最应该做的事情应该是顺势而为。对于美元指数来说,即使不是所有成分汇率都如此,但至少对于美元/日元来说,趋势是下跌的。