今日全球经济:关于美联储的五个问题

今日全球经济:关于美联储的五个问题

Five Questions on the Fed -- The Global Economy NOW

 

版权所有 © DeepMacro Inc.

作者:Jeffrey Young

 

“美联储将在未来几个月加息,幅度将超过市场预期。它需要一个更具有说服力的长期策略来使通货膨胀回到目标水平。市场已经开始忽视美联储。” ——纽约时间2022年3月21日上午10:29。

"The Fed will raise rates in the next few months more than markets expect. And it needs a more convincing longer-term strategy to return inflation to target. Markets are already beginning to tune out the Fed." - 21 Mar 2022 10:29 AM NY time.

 


1.美国联邦公开市场委员会的点阵图显示通货膨胀走低,但经济增长高于趋势值,失业率低于趋势值,实际利率为负。为什么?
The FOMC dots show lower inflation but above-trend growth, below-trend unemployment rates, and negative real rates. Why?
 

我们最好的猜测是“因为这正是市场所表现出来的。”

Our best guess here is, "because that's what the markets are saying".

 

目前,美国国债隐含的长期盈亏平衡通胀率约为2.4%(对于CPI,见图1a,左侧),这与美联储2%的目标(对于个人消费支出平减指数)一致。

Currently, long-term breakeven inflation rates implied by Treasury securities are about 2.4% (for CPI, see Figure 1a, left), which is consistent with the Fed's target of 2% (for the personal consumption expenditures deflator).

 

实际长期收益率约为-0.7%——与2012年跌破0%以来的水平一致(见图1a,中图)。实际经济增长的低水平意味着低通胀水平。

Real long-term yields are about -0.7% -- in line with where they have been since dipping below 0% in 2012 (see Figure 1a, center). Low real economic growth implies low inflation.

 

联邦基金期货市场的峰值略高于2.5%(图1a右图中的红线)。这比上周美国联邦公开市场委员会会议之前的水平(图1a右图中的蓝线)高出约25个基点,并且非常接近美国联邦公开市场委员会的点阵图。

And the Fed Funds futures market has a peak of a little over 2.5% (red line in Figure 1a, right). This is about 25 basis points higher than the level before last week's FOMC meeting (blue line in Figure 1a, right), and it is pretty close to the FOMC's dots.

 

的确,市场可能是错的。但是美联储长期以来一直主张,而市场也一直被设定为相信市场定价是很难被击败的。所以,作为第一道辩护,美联储可以合理地宣称其点阵图是有效的,因为它与市场定价一致。另外,撇开规模不谈,这也不是市场评论第一次质疑点阵图内部的一致性了。但在之前的几次被质疑中,美联储的可信度都完好无损。

True, the markets can be wrong. But the Fed has long argued and markets have been programmed to believe that market pricing is hard to beat. So as a first defense, the Fed can plausibly claim that its dots have validity, because they are consistent with market pricing. It is also true that, magnitude aside, this isn't the first time that market commentary has questioned the internal consistency of the dots. But the Fed has survived with its credibility intact during these previous episodes.

 

图1a. 五年五年远期盈亏平衡通胀率(左图),十年期美国国债实际收益率(中图),和截至2024年12月的联邦基金期货合约(右图),日期如示(百分比)

Figure 1a. Five-Year Five-Year Forward Breakeven Inflation Rate (Left), Real 10 Year US Treasury Yield (Center), and Fed Funds Futures Contracts out to Dec 2024 Contract (Right), Dates as Indicated (Pct)

来源:Bloomberg.

注:五年五年远期盈亏平衡通胀率,即5Y/5Y Forward Breakeven Inflation Rate

 

 


2. 美联储对通货膨胀的偏好有多鹰派?
How hawkish is the Fed's bias on inflation?

 

比以前鹰派得多。图2a显示了美联储的DeepMacro通货膨胀央行偏好指数(CBBI-I)。通货膨胀央行偏好指数衡量的是所有美联储言论中有关通货膨胀中“积极”(例如“高”或“增加”)陈述的净百分比。目前,通货膨胀央行偏好指数约为+80%,是历史新高。

Much more than it has been. Figure 2a shows the DeepMacro Central Bank Bias Index for Inflation (CBBI-I) for the Fed. The CBBI-I measures the net percentage of statements about inflation in all Fed communications that are "positive" (as in "high" or "increasing"). Currently the CBBI-I is about +80%, which is a historically high figure.

 

美联储的论调承认通货膨胀高,但并没有强调通货膨胀将快速下降。但美国联邦公开市场委员会成员的点阵图显示早期峰值以及快速的下降。这种差异说明什么?我们认为美联储的论调和点阵图是两种不同的沟通工具,旨在传递不同的信号。目前,对通货膨胀的论调“强硬”,同时又呈现出乐观的经济前景,可以同时应对两方面的批评:一派认为美联储落后于曲线,另一派担心美联储正在试图减缓需求以减轻通货膨胀。

Fed rhetoric acknowledges that inflation is high and does not stress that inflation will quickly decline. The FOMC members' dots show an early peak and a rapid decline. What can we say about this disconnect? We think that rhetoric and dots are separate communication tools designed to send different signals. Currently, sounding "tough" on inflation, while presenting a rosy economic outlook, satisfies Fed critics on both sides: those who think the Fed is behind the curve, and those who fear that the Fed is trying to slow demand in order to reduce inflation.

 

图2a.美国:DeepMacro通货膨胀央行偏好指数,按言论类型划分,2014年1月1日-2022年3月20日(积极偏好净百分比)

Figure 2a. US: Central Bank Bias Index - Inflation, by Type of Communication, 1 Jan 2014 - 20 Mar 2022 (Pct Positive Bias)

来源:DeepMacro, Inc.

 

 


3. 美联储加息的幅度可能有多大?
How much is the Fed likely to hike rates?

 

未来几个月,比市场预期高出约50个基点。

In the next few months, by about 50 basis points more than the market implies.

 

图3a显示了DeepMacro的短期利率模型STR-1对未来三个月两年掉期利率(这一数据与联邦基金利率密切相关)的预测值(橙色线),与市场三个月远期利率(蓝色线)的对比。目前,短期利率模型STR-1预测两年掉期利率将为2.93%,而市场远期利率为2.39%。差距约为54个基点,这意味着美联储加息的幅度将高于市场目前的预期。实际上,这与美联储接下来两次会议每次50个基点的加息(或者是即将这样加息的强烈信号)相一致。

Figure 3a shows DeepMacro's Short-Term Rates-1 (STR-1) model forecast for 2 year swap rates (orange line), which are closely related to the Fed funds rate, over the next three months, versus the market's three-month forward rate (blue line). At the moment, STR-1 forecasts that 2 year swap rates will be 2.93%, versus a market forward of 2.39%. The gap is about 54 basis points, which implies that the Fed will be hiking more than the market currently expects. In practical terms, this is consistent with 50 basis point rate hikes at each of the Fed's next two meetings (or a strong signal that such hikes are forthcoming).

 

图3a.美国两年掉期利率,DeepMacro三个月预测值vs.目前市场三个月远期利率,2019年3月21日-2022年3月19日(百分比)

Figure 3a. United States 2yr Swap Rate, DeepMacro Three-Month Forecast vs. Current Market Three-Month Forward Rate, 21 Mar 2019 - 19 Mar 2022 (Pct)

来源:DeepMacro, Inc.

 


4. 为什么STR-1预测值与市场远期利率的差距如此之大?
Why is the gap between the STR-1 forecast and the market forward so big?

 

50个基点的差距并不是史无前例的。我们并不需要追溯到太久之前就可以看到。最近,差距已经超过了一个百分点,并且自2010年以来,差距多次接近50个基点(见图4a)。

Gaps on the order of 50bp are not unprecedented. We don't have to go back far in history to see this. Recently, it has been more than 1 percentage point, and there have been numerous times since 2010 when the gap has approached 50bp (see Figure 4a).

 

短期利率模型STR-1采用随机森林模型预测目前市场远期利率与实际的两年掉期利率之间的差距,与常用的技术(如线性回归)相比,这一方法对非线性变化的反应更灵敏。

The STR-1 uses a random forest model to predict the gap between the current market forward and the realized 2 year swap rate, and this method is more responsive to nonlinear moves than commonly used techniques (such as linear regressions) are.

 

图4a. 实际差距,三个月两年掉期利率vs.市场远期利率,2010年9月28日-2021年12月17日(百分比)

Figure 4a. Realized Gap, 2 Year Swap Rate in Three Months vs. Mkt Forward, 28 Sep 2010 - 17 Dec 2021 (Pct)

来源:DeepMacro, Inc.

 

 


5. 美联储是否正在丧失可信度?
Is the Fed losing credibility?

 

市场与美联储的长期目标是一致的(如图1a所示),其他市场变量(如美元)也没有发出可信度下降的强烈警示信号。

Markets are consistent with the Fed's long-term goals (as per Figure 1a), and other market variables (such as the dollar) are not sending strong warning signs of lower credibility.

 

但是根据短期利率模型STR-1,利率市场对美联储的关注正在减少。图5a显示了STR-1模型中利率的主要驱动因素。每个人形图标代表STR-1随机森林模型中的10个“树”模型,阴影图标附近的数字(在deepmacro.com网站上将鼠标悬停在阴影图标上时会出现)表明在100个树模型中,有多少个树模型选择了该因素作为利率的重要驱动因素。

But according to the STR-1 model, the rates market is paying less attention to the Fed. Figure 5a shows the top drivers of interest rates according to the STR-1 model. Each icon represents 10 "tree" models within STR-1's random forest model, and the number near the shaded icons (which appears when one hovers over the deepmacro.com website) indicates how many of the 100 tree models select the specified feature as an important driver of rates.

 

没有很多模型选择央行言论指标——只有9个选择了通货膨胀央行偏好指数。相比之下,有更多的模型选择了DeepMacro经济增长因子作为利率的一个重要驱动因素。因此,尽管美联储言论鹰派,但市场对美联储论调的关注低于对硬数据的关注。

The central bank communications indicators are not selected by many models -- only 9 select the CBBI-Inflation index. This compares to higher numbers of models selecting the DeepMacro growth factor as an important driver. So even though the Fed is sounding hawkish, the market is paying less attention to Fed rhetoric than it is to hard data.

 

这并不一定意味着美联储已经丧失了可信度。但是不再听取美联储的论调是向着不再信任美联储前进了一步。

This does not necessarily mean that the Fed has lost credibility. But not listening to the Fed is one step toward not believing the Fed.

 

图5a. DeepMacro美国短期利率模型STR-1概要,最近(纽约时间2022年3月19日晚8:50)及之前四周(单位如示)

Figure 5a. DeepMacro US STR-1 Model Summary, Latest (19 Mar 2022 8:50 PM NY Time) and Trailing Four Weeks (Units as Indicated)

来源:DeepMacro, Inc.