今日全球经济:关于人民币的五个问题

今日全球经济:关于人民币的五个问题

Five Questions on the RMB -- The Global Economy NOW

 

版权所有 © DeepMacro Inc.

作者:Jeffrey Young

 

“由于对经济增长的担忧,人民币上周突然贬值。但消极的舆情已经持续了数周。” ——纽约时间2022年4月25日上午11:17。

"The RMB weakened suddenly last week, on economic growth fears. But negative sentiment had been building for weeks." - 25 Apr 2022 11:17 AM NY time.

 

1.人民币为什么会贬值?

Why is the RMB weakening?

 

差异。Differentials.

 

上周人民币贬值的直接原因是,人们认为封锁造成短期内经济增长更为疲软,从而导致外国投资者的资本外流。

The proximate cause of the weakening last week was perceptions of weaker short-term economic growth due to lockdowns, prompting capital outflows from foreign investors.

 

在此背景下,不止一个层面上的差异转为对人民币不利。自2010年以来,美国十年期国债收益率首次高于中国十年期国债收益率(见图1a,左图)。

In the background, differentials on more than one level have moved against the RMB. US 10yr yields are above China's 10yr yields for the first time since 2010 (see Figure 1a, left panel).

 

但收益率的差异是由经济增长的巨大差异驱动的。图1a(右图)显示了中国的DeepMacro经济增长因子减去美国的经济增长因子之差。除了2021年4-5月(这是由于中国较早从新冠疫情导致的经济崩溃中复苏所产生的基数效应导致的)之外,中国经济增长和美国经济增长之间的差异是有记录以来最大的。

But the yield differential is driven by big differentials in economic growth. Figure 1a (right panel) shows the DeepMacro economic growth factor for China minus the US growth factor. Excepting Apr-May 2021 (which was caused by base effects from the earlier recovery of China from the covid collapse), the differential between Chinese and US growth is the largest on record.

 

图1a. 左图:中国-美国十年期国债收益率,2005年11月-2022年4月(基点)

右图:中国-美国经济增长因子,2012年5月-2022年4月(十年平均数标准差)

Figure 1a. Left: China - US 10yr Government Bond Yield, Nov 2005 - Apr 2022 (Basis Points)

Right: China - US Growth Factor, May 2012 - Apr 2022 (Std Dev from 10yr Mean)

来源:DeepMacro, Inc.

 

2.(人民币贬值)与日元有关吗?

Does the JPY have anything to do with it?

 

可能没有关系。Probably not.

 

如我们上周报告所述(点击这里),以实际贸易加权计算,日元处于四十多年以来的低点。可能存在一些短期的市场相关性,但没有很强的基础面原因使得人民币与日元有串联交易。

As we wrote last week (click here), the JPY is at 40-plus year lows in real trade-weighted terms. There might be some short-term perceived market correlations, but there isn't a super strong fundamental reason for the RMB and JPY to trade in tandem.

 

首先,人民币与日元未曾有过串联交易:去年,日元一直疲软,尤其是自2021年9月以来;而人民币从2022年2月末才开始走软(见图2a,左图)。

First, they haven't: the JPY has been consistently weak for the last year, especially since Sep 2021, whereas the RMB only started to weaken in late Feb 2022 (see Figure 2a, left panel).

 

其次,在实际有效人民币指数(由DeepMacro计算,包括国家之间在第三方市场及国内市场中的竞争)中,日元的贸易权重排名第四,占8.22%(见图2a,右图)。这个排名和权重并不高,不足以让日元拉低人民币来维持贸易竞争力。

Second, the JPY has the fourth-highest trade weight in the real effective RMB index (calculated by DeepMacro, to include competition between countries in third markets as well as in home markets), at 8.22% (see Figure 2a, right panel). That doesn't seem high enough for the JPY to drag the RMB down to retain trade competitiveness.

 

不过,二者有一个共同点:国内经济都相对疲软,通货膨胀相对较低(尽管按照其自身标准来说通货膨胀很高,尤其是日本)。因此,日本在维持宽松的国内货币政策,而中国在进一步放宽政策。

The two share this though: their domestic economies are relatively weak and inflation is relatively low (albeit high by their own standards, especially in Japan). As a result, Japan is maintaining its loose domestic monetary policy, and China is loosening it further.

 

图2a. 左图:美元兑日元(蓝色,左轴)和美元兑离岸人民币(白色,右轴),2021年4月24日-2022年4月25日

右图:DeepMacro离岸人民币贸易加权指数,前十大货币的权重(百分比)

Figure 2a. Left: USDJPY (Blue, Left Axis) and USDCNH (White, Right Axis), 24 Apr 2021 - 25 Apr 2022

Right: DeepMacro CNH Trade-Weighted Index, Weights of Top Ten Currencies (Pct)

来源:DeepMacro Inc.

 

3. 国内怎么看?

What do domestics think?

 

变得悲观。Getting pessimistic.

 

图3a显示了DeepMacro人民币舆情指数,该指数通过查看微博(中国版推特)上对人民币的价值表达观点的帖子来测量。我们的模型评估针对人民币这种货币发帖的人的态度,正值表示积极的舆情(负值表示消极的舆情)。自2020年夏末以来该指数一直为正,今年的峰值出现在2月3日。最近,该指数转为负值。广义来说,这并不是特别重要,因为多年来,根据这一指数,存在一种对人民币“根深蒂固的看跌情绪”。但即便如此,下跌的时机还是值得注意的。

Figure 3a shows the DeepMacro RMB Sentiment Index, which we measure by looking at postings on Weibo (China's version of Twitter) that express some opinion on the value of the RMB. Our model assesses the sentiment of the person who posted toward the RMB as a currency, with positive values denoting a positive sentiment (and vice versa). This year's peak was on 3 February, after having been positive since late summer 2020. It recently turned into negative territory. In the broad scheme of things this is not terribly important, as there has been a sort of "ingrained bearishness" toward the currency according to this index over many years. But still, the timing of the decline is noteworthy.

 

图3a. DeepMacro人民币舆情指数,2018年1月31日-2022年4月16日(+1表示最大正舆情,-1表示最大负舆情)

Figure 3a. DeepMacro RMB Sentiment Index, 31 Jan 2018 - 16 Apr 2022 (+1 = Max Positive Sentiment, -1 = Max Negative Sentiment)

注:人民币舆情指数运用LSTM模型对有关人民币的微博帖子打分,以评估对人民币的情绪。

Note: The RMB Sentiment Index scores Weibo postings about the RMB using LSTM models, to assess sentiment towards the currency.

来源:Weibo, DeepMacro, Inc.

 

资本外流主要是源自外国投资者,他们最近几年大量购买中国的有价证券,可以相对自由的使资本进出中国。但如果国内舆情较弱,历史表明,国内资本外流的压力会增加。

Capital outflows have been primarily from foreign investors, who had gorged on Chinese portfolio securities in recent years, and who are relatively free to move capital in and out of the country. But if domestic sentiment is weak, history shows that domestic pressure for outflows will grow.

 

4. 这对人民币有影响吗?

 

有影响。Yes.

 

DeepMacro的人民币舆情指数与人民币本身的价值有相当好的相关性。而在今年,舆情指数领先——舆情指数在2月3日达到峰值,远早于离岸人民币本身达到峰值的时间(2月28日,见图4a)。

DeepMacro's RMB Sentiment Index has a fairly good correlation with the value of the RMB itself. And this year, the Sentiment Index has led -- peaking on 3 Feb, which was meaningfully before the CNH itself peaked (28 Feb, see Figure 4a).

 

图4a. DeepMacro人民币舆情指数vs.美元兑离岸人民币,2021年1月2日-2022年4月21日(指数+1表示最大正舆情,-1表示最大负舆情,美元兑离岸人民币反转以便显示指数与离岸人民币之间的正相关关系)

Figure 4a. DeepMacro RMB Sentiment Index vs. USDCNH, 2 Jan 2021 - 21 Apr 2022 (Index +1 = Max Positive Sentiment, -1 = Max negative Sentiment, USDCNH Inverted to Show Positive Correlation Between Index and CNH)

来源:Weibo, DeepMacro, Inc.

 

5. 前景如何?

What is the outlook?

 

短期内适度下行。Modestly down in the near term.

 

图5a显示了人民币的DeepMacro转折点交易工具(TPTT)图表,显示人民币一个月的前景。这三个图表显示了经济增长因子(左)、通货膨胀因子(中)和全球风险因子(右)目前的位置,以及当因子处于周期的不同阶段(绿色表示人民币升值,红色表示人民币贬值)时,人民币的历史收益率(一个月)。目前,经济增长、通货膨胀和风险都指向了未来一个月人民币的收益率为负。经济增长处于“倒退”状态(低于趋势值且正在下跌);通货膨胀高于趋势值,基本上没有变化;全球风险因子处于其长期趋势值水平,并有适度上升。从历史上平均来看,这些因子所处的位置之后的一个月人民币都会贬值。

Figure 5a shows the DM Turning Points Trade Tool (TPTT) charts for the RMB, which relate to the one-month outlook. The three panels show the current position of the economic growth (left), inflation (center), and global risk (right) factors, and the RMB’s historical returns (one month) when the factors were at different phases in their cycles (with green meaning RMB appreciation, red meaning RMB depreciation). Currently growth, inflation, and risk all point to negative returns for the RMB over the next month. Growth is in the "Pullback" state (below trend and falling); inflation is above trend with basically zero momentum; and the global risk factor is at its long-term trend, and rising moderately. Historically these factor positions have all been followed by a depreciation of the RMB on a one-month basis, on average.

 

图5a. 中国: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24日(变化百分比,绿色表示上涨,红色表示下跌)

Figure 5a. China: One-Month Expected Currency Return Based on Growth, Inflation, and GRI Factors, 24 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.