Five Questions on Whether the Markets Have Priced "Enough" -- The Global Economy NOW

版权所有 © DeepMacro Inc.

作者：Jeffrey Young

“美联储需要继续前进，现在还不到重新入手风险资产的时候。” ——纽约时间2022年5月16日上午09:24。

"The Fed needs to keep going and it is not time to go back into risk assets yet." - 16 May 2022 09:24 AM NY time.

1. 市场已经充分消化了美联储的加息吗？

Has the market priced in enough for the Fed yet?

没有。No.

图1a显示了DeepMacro短期利率模型STR-1对十国集团国家两年掉期利率的预测。下面的表格对比了DeepMacro对三个月内两年期利率的预测值与市场的三个月远期利率。在美国，我们的预测值（3.956%）比市场远期利率（3.068%）高88.8个基点。这意味着，虽然市场已重新对美联储进行评估，且市场情绪变得悲观，但还需要做更多。我们预计，在接下来的三次会议中的至少一次会议上，美联储会将美国联邦基金目标利率提高50个基点以上。

Figure 1a shows the forecasts of the DeepMacro Short-Term Rates-1 (STR-1) model for 2 year swap rates across the G10 countries. The table compares the DeepMacro forecast for 2 year rates in three months time, versus the market's three-month forward rate. In the US, our forecast (3.956%) is 88.8bp above the market forward (3.068%). This implies that even though markets have repriced the Fed and sentiment has become bearish, there is more to go. We would expect the Fed to raise the Fed funds target by more than 50bp at at least one of the next three meetings.

图1a. 短期利率模型STR-1预测值vs.市场远期利率和建议的策略，两年掉期利率，截至2022年5月14日的市场数据（百分比）

Figure 1a. STR-1 Forecast vs. Market Forwards and Recommended Action, 2YR Swap Rates, Market Data as of 14 May 2022 (Pct)

来源：DeepMacro, Inc.

2. 通货膨胀在目前的水平可能还要持续多久？

How long is inflation likely to remain near current levels?

一到两个季度。A quarter or two.

让我们重新表述一下这个问题。我们想要知道通货膨胀在目前状态附近还会持续多久。状态是由通胀压力的水平和变化共同定义的。我们为什么关注状态呢？因为市场会对水平和变化的组合做出反应，这种组合就是我们所说的“状态”。

Let's rephrase that question. We want to know how long inflation will remain near its current state . The state is defined by both the level and the momentum of inflation pressures. Why do we pay attention to the state? Because markets respond to the combination of level and momentum, which is what we call a "state".

总会有一天，通货膨胀水平很高，但却在下降，这就会导致美联储的态度及市场定价的变化。例如，图2a中的蓝色线显示了美国过去三年通货膨胀因子的水平（x轴）和变化（y轴）。因子的水平和变化的x-y组合倾向于以顺时针的方式移动。

There will come a time when inflation will be high, but it will be falling, and that will lead to a change in the Fed's stance and in market pricing. For example, the blue line in Figure 2a shows the level (x axis) and momentum (y axis) of the inflation factor for the US over the last three years. The x-y combination of a factor's level and momentum tend to move in a clockwise fashion.

现在让我们来关注一下一个因子通常在特定的状态中会持续多久。我们将图2a中的放射状图表划分成六个部分，每个部分包含自2004年1月份以来相同数量的月度观察数据（因此每个部分中包含36个月）。重点观察通货膨胀（右侧），很明显，经济在每个部分中花费的时间是不同的。经济会快速经过1、4、6号的部分，但往往会被困在更窄的2号和5号部分中。

Now let's focus on how long a factor typically remains in a given state. We divide the radial charts in Figure 2a into six slices, with each slice containing an equal number of monthly observations since January 2004 (so there are 36 months in each slice). Focusing on inflation (on the right), it is clear that the economy spends different amounts of time in each slice. The economy goes through a lot of factor space quickly in slices #1, #4, and #6, but tends to get stuck in the narrower slices of #2 and #5.

现在，美国处于5号部分。这通常是一个“周期末”的部分，此时，通货膨胀高于趋势值并在上升（目前非常适度）。但是图表上该部分较窄，这表明通货膨胀因子可能会在这一区域逗留较长时间。事实上，过去五个月的读数（用黑色星号表示），基本上是重叠的。这再次表明，每个月的状态几乎没有什么变化：通货膨胀仍然停留在较高的水平，且略微加速。

Right now the US is in #5. This is typically a "late cycle" slice, where inflation is above trend and rising (very modestly right now). But what the narrowness of the slice on this chart is telling us is that the inflation factor can stay in this space for a long time. And in fact, the last five monthly readings, indicated by black asterisks, are basically on top of each other. Again, indicating a state of little change on a monthly basis: inflation has remained stuck at high and very slightly accelerating levels.

正常周期中的下一部分是6号（几乎整个这一部分的通货膨胀变化均为负）。这是一个大的多的部分，表明通货膨胀一旦开始丧失势头，那么丧失势头的速度将会很快。我们认为，这是市场应注意的“一线希望”：通货膨胀的势头一旦被打破，将会快速下跌。通货膨胀因子的x-y组合快速通过放缓状态后进入“反通货膨胀”状态，“反通货膨胀”状态对风险资产来说是一个更为友好的状态，我们将在下一段中看到。

The next slice in a normal cycle would be #6 (negative inflation momentum in almost all of this slice). This is a much bigger slice, indicating that once inflation begins to lose momentum, it loses momentum quickly. In our view, this is the "silver lining" that markets should be on the lookout for: once the back of inflation is broken, it tends to decelerate quickly. The x-y combination of the inflation factor swooshes quickly through the slowdown in a state characterized by "Disinflation", which can be a friendlier state for risk assets, as we will see in the next section.

图2a. 美国：基于经济增长因子（左侧）和通货膨胀因子（右侧）的标普500预期1个月收益率，2022年5月15日（变化百分比，绿色表示上涨，红色表示下跌）

Figure 2a. US: One-Month Expected S&P500 Return Based on Growth (Left) and Inflation (Right) Factors, 15 May 2022 (Pct Chg, Green = Increase, Red = Decline)

来源：DeepMacro, Inc.

3.风险资产何时会表现好一点？

When will risk assets perform better?

当通货膨胀明显平静下来时。When inflation calms down notably.

图2a中的各个部分按照当因子处于该部分时标普500的平均1个月远期变化百分比以不同的颜色表示。绿色表示市场平均上涨，红色表示市场平均下跌。我们要强调的是，这些是1个月远期收益率，主要用于战术性资产配置。

The slices in Figure 2a are colored by the average 1 month forward percentage change in the S&P500 when the factor was in that slice. Green means the market was up on average, red means the market declined on average. We stress that these are one-month forward returns, primarily for use in tactical allocations.

图3a显示了当经济增长因子和通货膨胀因子处于特定部分时，标普500平均1个月远期变化百分比。变化百分比也显示在DeepMacro网站上的这些放射状图表上。

In Figure 3a, we show the average 1 month forward percentage change in the S&P500 when the growth and inflation factors were in the specified slices. The percentage changes also appear on these radial charts on the DeepMacro website.

经济增长目前不是问题（见图2a，左图）。当经济增长进入“放缓”状态时（经济增长高于趋势值，但正在下降），这听起来有些糟，但从历史上来看，这一状态对股票并不是坏事。事实上，如图3a中的数据所示，这一状态对于股票市场来说是一个较好的阶段。在放缓的第一部分（5号），平均1个月远期收益率为0.49%，在第二部分（6号），平均1个月远期收益率为3.46%。这很可能是因为当经济开始放缓时，市场开始预期通货膨胀将降温（有所滞后），并且美联储将放松政策。

Growth is not really the problem now (Figure 2a, left). When growth enters a "Slowdown" state (growth is above trend but decelerating), that sounds bad, but historically it has not been bad for equities. In fact it tends to be a good phase of the equity market, as shown by the data in Figure 3a. In the first part of the slowdown (#5), the average 1 month forward return has been 0.49%, and in the second part (#6), 3.46%. Most likely, this is because when the economy begins to slow down, markets begin to anticipate that inflation will cool (with a lag), and the Fed will ease policy.

通货膨胀才是问题所在（图2a，右图）。我们看到，在通货膨胀周期的类似部分（5号和6号），远期股票收益率为负（-3.24%和-3.95%）。

Inflation is the problem (Figure 2a, right). We see that at similar slices of the inflation cycle (#5 and #6), forward-looking equity returns are negative (-3.24% and -3.95%).

将二者结合起来，对于股票来说，4号和5号部分通常是最糟糕的，2号和3号（复苏周期早期）部分是最好的。

Combining the two together, slices #4 and #5 are generally the worst for equities, slices #2 and #3 (which are early in the recovery cycle) are best.

目前，经济增长因子没有处在对股票不利的状态（+0.49%），但通货膨胀因子却处在对股票不利的状态（-3.24%）。随着经济放缓迹象的出现，经济增长因子将有些自相矛盾地进入一个更好的状态（+3.46%），但通货膨胀将过渡到另一个幅度差不多（-3.95%）的不利的状态。不过，总体而言，这一组合不会像最近的几个组合那么消极。前景可能是从周期最糟糕的部分转变到基本中性的部分。但这需要一些时间。

At present, the economic growth factor is not in a bad state for equities (+0.49%), but the inflation factor is in a bad state (-3.24%). As signs of economic slowdown emerge, the growth factor will somewhat paradoxically enter an even better state (+3.46%), but inflation will transition to another bad state of about the same magnitude (-3.95%). Net-net, though, this combination would not be as negative as the recent combinations have been. The outlook would move from the worst part of the cycle to roughly neutral. But this will take some time.

图3a. 美国：经济增长和通货膨胀因子不同部分的预期1个月远期标普500收益率，2004年1月-2022年4月（百分比）

Figure 3a. US: Expected 1 Month Forward S&P500 Returns in Growth and Inflation Factor Slices, Jan 2004 - Apr 2022 (Pct)

来源：DeepMacro, Inc.

4. 是不是说如果通货膨胀下降，即使通货膨胀的水平仍然非常高，风险资产的环境也将得到改善？

Are you saying that the environment for risk assets will improve if inflation falls, even if inflation remains very high?

是的。Yes.

尽管认为我们生活在“前所未有”的独特时代这一想法非常吸引人，但市场快速适应了大型冲击的规模，并且各个国家也重新获得了对市场的预测能力。新冠疫情造成的危机就是很好的例子。新冠疫情当然是“前所未有”的。通货膨胀因子先下降，然后又以前所未有的幅度上升（并且经济增长因子上涨幅度更甚，上涨了10个标准差，如果因子正态分布，这是不应该发生的）。但市场的表现仍基本与上述的水平和变化的框架相一致。对于通货膨胀因子来说，“通货再膨胀”、“通货膨胀”、“放缓”、“反通货膨胀”对市场来说仍然维持着相同的影响，即使因子的水平和变化的量级都处于前所未有的程度。

As tempting as it is to think that we are living in "unprecedented" and unique times, markets quickly adjust to the scale of large shocks, and the states regain their predictive power for markets. The covid crisis is a great case in point. Certainly that event was "unprecedented". Inflation factors declined and then rose by far more than they ever have (and growth factors even more, by 10 standard deviations, which should not happen if the factor is normally distributed). But markets still basically behaved in line with the level and momentum framework described above. For the inflation factor, "Reflation", "Inflation", "Slowdown", "Disinflation" still retained the same implications for markets, even though the magnitude of both the level and momentum of the factors was on an unprecedented scale.

图4a. DeepMacro经济增长因子在周期内变动的程式化视图（十年平均数标准差）

Figure 4a. Stylized View of DeepMacro Factor Movement Through a Cycle (Std Deviations from 10 Year Mean)

来源：DeepMacro, Inc.

5. 在过去三个加息周期中的首次加息之后，利率都上涨了。但为什么这次没有呢？

Rates rallied after the first hikes in the last three hiking cycles. Why not this time?

因为美联储在之前都是“先发制人”。Because the Fed was "preemptive" in those cases.

对于美联储为什么采用2020年8月的货币政策框架，我们和大多数人一样感到困惑，该框架称“在通货膨胀持续低于2%的时期之后，适当的货币政策可能会努力使通货膨胀在一段时间内适度高于2%。”除此之外，人们普遍认为：

We remain as puzzled as most as to why the Fed adopted its August 2020 framework for monetary policy, which stated that "following periods when inflation has been running persistently below 2 percent, appropriate monetary policy will likely aim to achieve inflation moderately above 2 percent for some time." Other than that there were widespread beliefs that:

• 通货膨胀结构性过低（在到2020年的前十年，平均整体通胀率为1.57%，核心通胀率为1.63%（低于美联储的目标约40个基点），在到2020年的前三十年，整体通胀率为2.01%，核心通胀率为1.96%（正好是美联储的目标值））。Inflation was structurally too low (average of 1.57% headline, 1.63% core (so about 40bp below the Fed's target), in the 10 years to 2020, but 2.01% headline, 1.96% core (spot on the Fed's target), in the 30 years to 2020).
• 让通货膨胀维持过低的风险大于让通货膨胀维持过热的风险。The risks of letting inflation remain too low were greater than the risks of letting inflation run too hot.
• 刺激/支持不足是全球金融危机后复苏缓慢的主要原因。Inadequate stimulus/support was a primary reason why the recovery after the Global Financial Crisis was slow.

因为在之前的周期中，美联储都提前采取行动，为市场做好了准备，因此，市场不会感到意外，事实上，一旦开始实施紧缩措施以后，市场反而会松一口气。但这一次，美联储行动的太晚了，对通货膨胀的巨大预测误差可能已经降低了美联储前瞻性指导的可信度。

Because in previous cycles the Fed acted early, it prepared the market, such that there was no surprise and in fact relief once tightening got under way. But this time, the Fed is behind, and the large forecast error on inflation has probably reduced the credibility of the Fed's forward-looking guidance.