今日全球经济:关于日元的五个问题

今日全球经济:关于日元的五个问题

Five Questions on the JPY -- The Global Economy NOW


版权所有 © DeepMacro Inc.

作者:Jeffrey Young


“我们推荐的最佳交易之一是“做空日元”;本报告将给出原因。但要谨慎操作,因为日元现在处于极端疲软的水平。” ——纽约时间2022年4月18日上午09:56。

"One of our Top Trades is "Sell JPY"; see why here. But exercise caution, because the JPY is at an extremely weak level." - 18 Apr 2022 09:56 AM NY time.



问题一:日元的估值如何?What is the JPY's valuation?

比40多年来的任何时候都低。Weaker than at any point in more than 40 years.


图1a显示了根据DeepMacro的计算得出的实际贸易加权日元(总共有31种主要货币,交易加权以“竞争力”为基础来确定,如国际清算银行有效汇率或美联储的美元指数)。

Figure 1a shows the real trade-weighted JPY according to DeepMacro's calculation (basket of 31 major currencies, trade weights determined on a "competitiveness" basis, like the BIS effective exchange rates or the Fed's USD index).


日元已经跌到了40多年以来的最低水平(我们从1980年1月开始计算这些汇率指数)。

It has crashed through the lowest level in more than 40 years (we calculate these exchange rate indexes from Jan 1980).


实际有效的日元如此疲软的原因是The real effective JPY is so weak because:

⦁ 日元不仅兑美元下跌,兑大多数货币都有下跌。The JPY is down not only against the USD, but also against most currencies.

⦁ 日本的通货膨胀比大多数国家都低。Japan has had lower inflation than most countries.


图1a. 日本:实际有效汇率,1980年1月2日-2022年4月11日(1980年1月2日取值100)

Figure 1a. Japan: Real Effective Exchange Rate, 2 Jan 1980 - 11 Apr 2022 (2 Jan 1980 = 100)

来源:DeepMacro, Inc.


问题2:为什么日元变得如此疲软?Why has the JPY weakened so much?


因为日本的利率与其他国家的利率之间存在巨大的差距。

Because there is a yawning gap between Japanese and other countries' interest rates.


下面是一个很好的办法来直观的观察:DeepMacro短期利率模型STR-1人工智能模型对两年掉期利率的预测(见图2a)。大多数国家的利率预计将继续上涨,且上涨幅度均会超过市场远期贴现。但短期利率模型STR-1认为,日本利率跟随其他国家强劲的上行趋势的可能性基本没有。

Here's a good way to visualize it: the DeepMacro Short-Term Interest Rates-1 (STR-1) AI-based model prediction for 2 year swap rates (see Figure 2a). Rates in most countries are expected to continue rising, in all cases, by more than market forwards discount. But STR-1 sees little chance that Japanese rates will follow the strong upward trend predicted for other countries.


图2a. 全球:两年掉期利率和DeepMacro STR-1模型预测值,2022年1月1日-2022年7月13日E(百分比)

Figure 2a. Global: 2 Year Swap Rates and DeepMacro STR-1 Model Predictions, 1 Jan 2022 - 13 Jul 2022E (Pct)

注:E表示STR-1模型预计。

来源:DeepMacro Inc.


问题3:DeepMacro“转折点交易工具”(TPTT)对日元的观点是什么?What is the DeepMacro "Turning Point Trade Tool" (TPTT) view on the JPY?

消极的。Negative.


图3a中的紫色点显示了DeepMacro专有的经济增长因子(左图)和通货膨胀因子(中图)日本当前所处的位置,以及全球风险指数(GRI,右图)所处的位置。绿色和红色是根据因子在其周期中的位置显示了日元的一个月预期收益率。经济增长和通货膨胀因子都显示少量正的预期收益率,而风险因子显示适度负的预期收益率,总体得出一个适度负的预期收益率。这就是我们选择“做空日元”作为转折点交易工具(TPTT)推荐的最佳交易之一的原因。

The purple dots in Figure 3a show the current position of the proprietary DeepMacro economic growth (left) and inflation (center) factors for Japan, plus the position of the Global Risk Index (GRI, right). The green and red color coding show the expected 1 month return of the JPY conditional upon where the factor is in its cycle. There are small positive expected returns from growth and inflation, and a moderate negative expected return from the risk factor, which nets to a modest negative expected return. That is why we selected "sell JPY" as one of the Top Trades in the TPTT.


从图表上看,经济增长和通货膨胀均高于趋势值(x轴),几乎没有变化(y轴),无论是积极的还是消极的。风险几乎正好处在其长期平均值上,有适度积极的变化。历史上这种情况通常与日元的适度疲软相关。最近,全球风险指数一直处于较高水平,且有更为强劲的积极变化,这是一个与日元走强更为相关的风险状态。但是目前,风险势头已经减弱,使得日元较为脆弱。

Looking at the charts, both growth and inflation are above trend (x axis), with almost no momentum (y axis), either positive or negative. Risk is almost smack on its long-term average, with moderate positive momentum. This is territory that has historically been associated with moderate JPY weakness. In the recent past the GRI has been at higher levels, with stronger positive momentum, which is a risk state that is more associated with a stronger JPY. But at the moment, risk momentum has subsided, leaving the JPY vulnerable.


图3a. 日本:基于经济增长因子、通货膨胀因子和全球风险指数因子的货币预期一个月收益率,2022年4月15日(变化百分比,绿色表示上涨,红色表示下跌)

Figure 3a. Japan: One-Month Expected Currency Return Based on Growth, Inflation, and GRI Factors, 15 Apr 2022 (Pct Chg, Green = Increase, Red = Decline)

注:因子以水平(x轴)和三个月变化(y轴)表示,2019年4月至2022年4月的(十年平均数标准差)。预期收益率基于2004年1月至2022年3月的历史。

Notes: Factor shown as Level (x axis) and Three-Month Change (y axis), Apr 2019 - Apr 2022 (Standard Deviations from 10 yr Mean). Expected returns based on history from Jan 2004 - Mar 2022.

来源:DeepMacro Inc.


问题4:前景如何?What is the outlook?


在“疲软的日元”上不要得寸进尺。Don't push your luck on "weak yen".


转折点交易工具(TPTT)的观点是针对一个月的远期,但是转折点交易工具(TPTT)所基于的各个因子每天都在变化,因此,我们会更频繁的查看转折点交易工具(TPTT)。我们目前的观点是日元将继续走软,但这不太可能持续太久。

The TPTT view is for the one-month forward period, but the factors on which the TPTT is based change every day, so we review the TPTT view more often. Our view right now is for the yen to continue to weaken, but that this is unlikely to last too much longer.


各个因子通常以顺时针的方式循环。图3a表明,最可能发生的情况是,经济增长和通货膨胀在不久的将来将继续处于对日元有利的状态。至于风险,随着乌克兰战争的持续,以及其更广泛的影响(通过价格)扩散到更多的国家,整体的风险环境可能还会恶化。此外,还要加上,随着利率的上涨,“经典的”资产负债表问题很可能会出现。在很多避险/日元走强的情形出现之前,都是全球货币政策收紧的时期。 

The TPTT view is for the one-month forward period, but the factors on which the TPTT is based change every day, so we review the TPTT view more often. Our view right now is for the yen to continue to weaken, but that this is unlikely to last too much longer.


此外,如开头所述,日元已经非常便宜了。因此,我们不应该在疲软的日元上太得寸进尺。

Furthermore, the JPY is already very cheap, as mentioned at the beginning. Therefore, we would not want to push our luck too far on a weak JPY.


5. 日元还是“避险”货币吗?Is the JPY still a "risk-off" currency?


仅在某些“避险”环境中是。

Only in certain types of "risk off" environments.


日元在“通货紧缩”的避险时期表现最好,例如在亚洲金融危机后期及全球金融危机时。在20世纪90年代,当日本的经济和市场情况处于通货紧缩时(1995年初是最好的例子),日元也倾向于走强。在通货紧缩冲击期间,日本实体将外国资产调回本国来支持其资产负债表,这是在这些时期日元飙升的主要驱动因素。我们可以认为,这些流入日元的资产是出于会计目的,而不是重新评估风险溢价本身,这更符合“避险”资产的性质。

The JPY does best during "deflationary" risk-off episodes, such as the latter stage of the Asia crisis and the Global Financial Crisis. In the 1990s, it also tended to strengthen when Japanese economic and market conditions were deflationary (with early 1995 the best example). During deflationary shocks, Japanese entities repatriated foreign assets to shore up their balance sheets, which was the primary driver of the JPY surges experienced in these episodes. We could consider these as flows into JPY for accounting purposes, rather than a reassessment of risk premiums per se, which is more consistent with what a "safe haven" asset is.


但是在不涉及通货紧缩冲击的“避险”时期,历史上日元的表现并不那么好。有关的例子包括股市“科技泡沫破灭”早期(日元从2000年3月纳斯达克峰值时的105贬值至2002年2月时的134),还有亚洲金融危机的早期(从1997年7月份的115贬值至1998年8月份的145)。图5a以粉色框突出显示了这两个时期。

But the JPY has not historically done as well during "risk-off" episodes that have not involved deflationary shocks. Some examples would be the early "tech wreck" in equities (the JPY depreciated from 105 at the NASDAQ peak in Mar 2000 to 134 by Feb 2002) and even the early stage of the Asia crisis (from 115 in Jul 1997 to 145 in Aug 1998). Figure 5a highlights these two periods in pink boxes.


至少,通过这些可以纠正一个简单化的观点:日元在每个避险时期的每个阶段都会升值。通常的情况是,日元会在初期大幅贬值,此后又急剧反弹。

At a minimum, these should correct against a simplistic view that the JPY always appreciates at every phase of every risk-off episode. Often, what has happened is that the JPY depreciated sharply in the initial phase, and rebounded very sharply after that.


现在的情况如何?目前主要的风险来自高通胀,高通胀会带来大量的经济和金融问题。但尚未产生资产负债表冲击,从而损害金融中介机构的资产负债表,并迫使资金回流入日元。然而,短期和长期利率上涨的速度都很惊人,这本身就增加了不确定性,并使得风险环境更接近过去日元会增值的风险环境类型。次要风险是乌克兰战争,战争持续的时间更长,可能会抑制全球经济增长。这种模式看起来像1997-1998年或2000-2002年期间日元出现急剧贬值的初始阶段,之后可能会出现急剧反弹,尤其是考虑到目前日元有多便宜。

What about now? The primary risk is from high inflation, which is creating economic and financial problems aplenty. This has not yet created balance sheet shocks that would impair financial intermediary balance sheets and force repatriation flows into JPY. However, the speed of both short-term and long-term interest rate rises has been spectacular, which in itself raises uncertainty and brings the risk environment closer to the types of risk environment in which JPY has appreciated in the past. And the secondary risk is the war in Ukraine, which seems likely to dampen global growth the longer it lasts. The pattern is looking like the initial phase of sharp depreciation in the 1997-1998 or 2000-2002 episodes -- which could be followed by a sharp rebound, especially considering how cheap the JPY is.


图5a. DeepMacro全球风险指数“开启”期间的美元兑日元,1995年1月3日-2022年4月14日(深色阴影表明高风险期间)

Figure 5a. USDJPY During Periods When DeepMacro Global Risk Index was "On", 3 Jan 1995 - 14 Apr 2022 (Dark Shading Denotes Periods of High Risk)

来源:DeepMacro, Inc.