今日全球经济:关于当前经济形势的五个高频大数据问题

今日全球经济:关于当前经济形势的五个高频大数据问题

今日全球经济:关于当前经济形势的五个高频大数据问题

Five Big Data, High Freq Questions on What's Going on in the Economy Right Now -- The Global Economy NOW

 

版权所有 © DeepMacro Inc.

作者:Jeffrey Young

 

“几个月以来,频率最高、滞后性最低的数据一直在放缓。美联储正在收紧货币政策,导致经济放缓。”——纽约时间2022年5月23日上午09:19。

"The highest frequency, lowest lag data have been slowing for several months. The Fed is tightening into a slowdown."- 23 May 2022 09:19 AM NY time.

 

1. 大数据对经济增长的看法是什么?What is Big Data saying about economic growth?

 

经济增长正在放缓。It's slowing.

 

图1a显示了仅使用高频、低滞后的“大数据”系列得出的美国(左图)和十国集团(右图)的DeepMacro专有的经济增长因子。因为仅使用大数据,需要在更好的时效性(积极)和更高的波动性(消极)之间进行权衡。但是,由于大家的目光都集中在“衰退”的问题上,所以重要的是尽可能的挖掘出所有数据,同时牢记高波动性的可能性。

Figure 1a shows DeepMacro's proprietary economic growth factor for the US (left panel) and G10 (right panel), using only high frequency, low lag "Big Data" series. By using Big Data only, there is a tradeoff between better timeliness (positive) and higher volatility (negative). But with all eyes on the "recession" question, it's important to dig out all data we can, remaining mindful of the potential for high volatility.

 

这些因子包含了截至5月19日的数据,因此已经涵盖了五月份的一半左右。美国的经济增长因子仍然适度高于趋势值(0.3个标准差),但是有明显的消极势头。十国集团的经济增长因子已经低于趋势值(-0.9个标准差),尤其是多个较大的欧元区国家产生了显著的消极影响(见下一部分)。十国集团其他国家下跌的速度比美国更快。

These factors incorporate data up to 19 May, so about half of May is already covered. The US remains modestly above trend (0.3 standard deviations), but with significantly negative momentum. The G10 is already below trend (-0.9 standard deviations), with significant negative contributions from many of the larger euro area countries in particular (see next section). The pace of decline in the rest of the G10 is faster than it is in the US.

 

图1a. 仅使用“大数据”的经济增长因子:美国(左图),十国集团(右图),2012年6月-2022年5月(十年平均数标准差)

Figure 1a. Economic Growth Factor Using Only "Big Data": US (Left), G10 (Right), Jun 2012 - May 2022 (Std Dev from 10yr Mean)

来源:DeepMacro, Inc.

 

 

2. 哪些组成部分最疲软?What components are weakest?

 

工业方面的指标。Industrial ones.

 

图1a中的几个大数据指标涵盖了工业活动。例如,我们使用来自美国国家航空航天局(NASA)卫星测量的大气中工业污染物(如氮氧化物,或“NOX”)的浓度、来自电力公司的电力需求等数据。这些指标对仅使用大数据得出的经济增长因子产生了最大的消极影响。.

Several of the Big Data indicators in Figure 1a cover industrial activity. For example, we use data from a NASA satellite that measures concentrations of industrial pollutants (such as nitrogen oxide, or "NOX") in the atmosphere, electricity demand from electric power companies, etc. These are the indicators that are making the biggest negative contributions to the Big Data-only growth factor.

 

图2a显示了前四位的消极影响因素,均为氮氧化物浓度读数,分别来自欧元区三个最大的国家和美国的氮氧化物读数。但是涵盖更宽泛的经济活动的其他指标(如电力需求)也在放缓。

Figure 2a shows the top four negative contributors. They are all NOX readings, from the three largest euro area countries, and the US. But other indicators which also cover broader economic activity (such as electricity demand) are also slowing.

 

图2a. 近期“仅使用大数据”的十国集团经济增长因子的主要影响因素,2020年8月-2022年5月(十年平均数标准差)

Figure 2a. Major Contributors to Recent "Big Data Only" G10 Growth Factor, Aug 2020 - May 2022 (Std Dev from 10yr Mean)

来源:DeepMacro Inc.

 

 

3. 这是因为通货膨胀吗?中国?还是战争?Is this due to inflation? China? War?

 

有多个原因。There are multiple causes.

 

并不是因为乌克兰战争本身。在乌克兰战争之前很久,放缓就开始了。

Not the war per se . The slowdown started well before the war.

 

中国放缓的程度比十国集团更甚(见图3a),其经济增长远低于趋势值。事实上,目前中国经济增长低于趋势值的程度与2020年2月-3月新冠疫情第一次爆发时经济增长低于趋势值的程度相当。世界经济往往会随着中国经济的发展而变化,因此中国经济的放缓必然会产生一定的影响。十国集团工业方面放缓幅度最大的事实,正是中国情况的反应。

China has been slowing more than the G10 (see Figure 3a), and growth there is deeply below trend. In fact, it is about as far below trend now as it was during the first wave of the covid outbreak in Feb-Mar 2020. The world's economies tend to move with China's, so the slowdown in China has to have had an impact. The fact that it is the industrial side of the G10 that is slowing the most shows the echo of China.

 

同时,这种大范围的变化表明,中国和十国集团的工业活动有共同的驱动因素。很有可能,疫情后人们对商品的狂热需求已经减退,从而影响了工业活动。

At the same time, a movement of this breadth suggests a common driver of industrial activity in both China and the G10. In all likelihood, the fever-pitch level of demand for goods in the wake of pandemic has subsided, pinching industrial activity.

 

到目前为止,通货膨胀并不是经济整体放缓的一个主要影响因素,因为工业行业比最终需求行业更成功地转嫁了成本的增加(即生产者价格指数一直比消费者价格指数上涨得更快)。但是这种情况可能不会持续太久。大多数行业的企业利润率处于中等水平。为了保护利润率,企业将试图将成本的增加转化到产品价格中(推高通货膨胀),并且他们还会挤压薪资的增长,加剧实际收入的紧缩。我们在工业行业中看到的情况,是即将在更大范围内发生的情况的先兆。

Inflation has not been a major contributor to the aggregate slowdown so far, as the industrial sector has, if anything, been more successful at passing through cost increases than final demand sectors have been (ie, producer price indexes have been rising faster than consumer price indexes). But this is not likely to last much longer. Corporate profit margins are mediocre in most sectors. To protect their profit margins, companies will attempt to pass through cost increases into product prices (driving up inflation), and they will squeeze wage growth, intensifying the real income squeeze. What we have seen in the industrial sector is just the leading edge of what will happen more broadly.

 

图3a. 中国:经济增长因子,2017年6月-2022年5月(十年平均数标准差)

Figure 3a. China: Economic Growth Factor, Jun 2017 - May 2022 (Std Dev from 10yr Mean)

来源:DeepMacro, Inc.

 

 

4. 经济放缓会影响美联储吗?Will the slowdown affect the Fed?

 

还没有。美联储对经济增长的积极态度正在减弱,但对通货膨胀仍然保持创纪录的鹰派态度。

Not yet. The Fed is becoming less positive on the economy, but remains at record hawkishness on inflation.

 

美联储对经济增长仍持积极态度,但不像年初那么积极。图4a的左图显示了美联储的DeepMacro经济增长央行偏好指数(CBBI-G)。这一指标测量的是美联储做出的有关经济增长的“积极”(即经济增长率高,正在上涨等等)声明的净百分比。现在的读数约为50%,仍然处于较高水平。比疫情之前的常态化水平更高,但是比二月份之前的水平低很多。

The Fed is still positive on economic growth, but not as positive as it was earlier in the year. Figure 4a, left panel, shows the DeepMacro Central Bank Bias Index - Growth (CBBI-G) for the Fed. This measures the net percentage of statements about economic growth made by the Fed that are "positive" (ie, that growth is high, rising, etc.). At about 50%, it's still at a high level. Higher than the norms before the pandemic hit. But quite a bit lower than it was until February.

 

同时,美联储对通货膨胀的积极声明的净百分比仍然位于创纪录的高水平(见图4a,右图)。美联储已经放弃了其“通货膨胀是暂时性的”观点,并强调通货膨胀目前和在不久的将来均处于高水平。

At the same time, the Fed remains at record-high levels of net positive statements on inflation (see Figure 4a, right panel). The Fed has given up on its "transitory" view and is stressing high current inflation and high inflation in the near future.

 

整体来看,这表明美联储将大幅收紧货币政策来给通胀降温,尽管美联储尚未承认美国将进入“衰退”,但它已经承认经济增长的前景比年初更糟糕。

Together, this indicates that the Fed is going to tighten significantly to cool inflation, and although it has not admitted that the US will go into "recession", it has acknowledged that growth prospects are worse than they were earlier in the year.

 

图4a. 美国:DeepMacro经济增长央行偏好指数(左图)和通货膨胀央行偏好指数(右图),按言论类型划分,2019年5月21日-2022年5月21日(积极偏好净百分比)

Figure 4a. US: Central Bank Bias Index - Growth (Left) and Inflation (Right) by Type of Communication, 21 May 2019 - 21 May 2022 (Net Pct Positive Bias)

来源:DeepMacro, Inc.

 

 

5. 我们是否接近股票、国债或美元的转折点?Are we near a turning point for equities, Treasuries, or the dollar?

 

答案是否定的。但因子的位置建议我们应该密切关注十年期国债。

No. But factor positions suggest we should watch 10yr Treasuries closely.

 

DeepMacro“转折点交易工具”(TPTT,点击这里)继续指向股票走弱,美元走强。如我们上周所述,目前通货膨胀因子的位置及其前景并不利于目前趋势的持久逆转。

The DeepMacro "Turning Points Trade Tool" (TPTT, click here ) continues to point to weaker equities and a stronger dollar. As we argued last week, the current position of the inflation factor and its outlook simply do not favor a lasting reversal of the current trends.

 

不过,国债市场确实值得关注。图5a中间的图表显示了在美国通货膨胀因子周期中,十年期国债的收益率变化。蓝色线是通货膨胀因子(x轴表示水平,y轴表示三个月变化),不同的颜色代表当通货膨胀因子处于周期的六个“部分”之一时,十年期国债收益率平均1个月远期收益上涨(绿色)或下跌(红色)。

The Treasury market does bear watching, however. Figure 5a, middle chart, shows how 10yr Treasury yields move during the US inflation factor cycle. The blue line is the inflation factor (x axis = level, y axis = 3 month change), and the colors represent average 1 month forward increases (green) or decreases (red) in 10yr Treasury yields when the inflation factor was in one of the six "slices" in the cycle.

 

目前,通货膨胀因子处在6号部分(平均1个月下跌23个基点)与5号部分(平均上涨6个基点)的边缘。通货膨胀因子实际上是在6号部分里,而且过去几周,转折点交易工具(TPTT)的整体预测一直是收益率走低。这一直都是正确的,但我们对是否要遵循这一指导有点犹豫,因为因子本身非常接近“5号”(在这一部分,收益率会上升)的边缘。

Currently, the inflation factor is on the borderline between slice 6 (average one-month decline of 23 basis points) and slice 5 (average increase of 6 basis points). It is actually in slice 6, and the overall forecast of the TPTT in the last few weeks in fact has been for lower yields. This has been correct, but we are hesitant to follow this guidance, because the factor itself is so close to the borderline with "5" (where yields tend to go up).

 

要注意的是,历史上,一旦通货膨胀的势头转为消极,收益率都会下跌,即使通货膨胀水平远高于趋势值。我们认为,这说明了美联储的可信度:因为美联储在过去20年一直拥有较高的可信度,市场预期通货膨胀一旦下降,将会持续下降到趋势值水平,因此美联储就能够将紧缩措施放松一些。目前,我们不能这么肯定。因为美联储在通货膨胀预测上的巨大错误已经削弱了其未来的可信度,至少适度的削弱了。

Note that yields have historically declined as soon as inflation momentum turned negative, even though inflation was well above trend. We believe that this speaks to the Fed's credibility: because the Fed has had high credibility over the last 20 years, the market has projected that once inflation turned down it would continue to come down to trend levels, and the Fed would therefore be able to back off tightening. At present, we cannot be so sure. The Fed's very large error in inflation forecasting has undercut its credibility, at least modestly, going forward.

 

同时,数字就是数字。尽管美联储被大众舆论猛烈攻击,但市场并未表现的像通货膨胀已经失控一样。美元一直坚挺,损益平衡通胀率一直与美联储的长期目标一致。因此,我们认为图5a中间图表上的证据非常有意思,应该告诉我们,一旦通货膨胀减速几个月,国债收益率可能也会下降。

At the same time, the numbers are the numbers. Although the Fed is getting beaten up in the court of public opinion, markets have not been behaving as if inflation is getting out of control. The dollar has been strong, and breakeven inflation rates have been consistent with the Fed's long-term objectives. So we feel that the evidence on the middle chart of Figure 5a is quite interesting, and should tell us that once inflation decelerates for a few months, Treasury yields will likely decline.

 

图5a. 美国:基于经济增长因子(左图)、通货膨胀因子(中图)、风险因子(右图)的美国十年期国债预期一个月收益率变化,2022年5月22日(单位为基点,绿色表示上涨,红色表示下跌)

Figure 5a. US: One-Month Expected 10yr US Treasury Yield Changes Based on Growth (Left), Inflation (Center), and Risk (Right) Factors, 22 May 2022 (Basis Points, Green = Increase, Red = Decline)

来源:DeepMacro Inc.