Fed降息，然後呢?

聯邦準備理事會(Fed)周三調降聯邦基金利率0.5個百分點至1%，重回2003年的低水準，並在發布的聲明中表示經濟成長速度明顯減緩，額外的金融市場壓力，可能使經濟的風險擴大；此外通貨膨脹不再是威脅。顯示未來可能還有進一步降息的空間。

Fed降息的動作雖然符合市場的預期，大家也認為繼上次央行聯手降息50點的動作之後，全球央行為了拯救金融市場及刺激經濟，仍有降息的空間，例如中國及挪威也緊急採取降息措施，而香港也決定調降隔夜貼現窗利率50個基點至1.5%，開啟了全球央行新一輪的降息舉措。接下來ECB和BOE可能再降50bps，連超低利率的日本也可能降息一碼至0.25%。目前市場預期2009年Fed利率甚至會出現低於1%，甚至逼近0%的水準。

姑且不討論降息對全球經濟的影響，目前的利率的確回到2003年”通貨緊縮”的水準，意味著經濟成長率低迷，物價也呈現負成長的窘境。也許未來半年內如何應對通貨緊縮將是全世界政府及投資人要面對的問題。

這次金融海嘯加上景氣衰退所造成的「完美風暴」，讓全球總合需求一下子驟降，而過去幾年榮景時所累積的總合供給卻無法在短時間之內調整，造成所謂超額產能(over capacity)的現象，這將使物價恐進一步崩跌。

我們也可以從金融市場上幾個現象可以觀察，諸如美國10年期的公債利率已經下滑至今年的低點(通常通膨預期越高，公債殖利率愈高)；通膨避險工具黃金價格大幅下挫，還有美國抗通膨債券(TIPS)與同天期公債的利差大幅縮窄等等，都意味著整體物價的壓力正快速下滑，若配合今年上半年物價高漲的表現，明年上半很有可能出現CPI呈現負成長的現象。

反觀台灣央行，也在10月30日同時降息一碼，目前重貼現率來到3.0%的水準，央行並表示物價上漲壓力減緩，通膨預期降低；而經濟活動放緩，景氣下降風險升高。不過相較於2003年1.375%的低利率，央行顯然還有很大的降息空間。特別是如果央行不採取跟進降息的措施，台美利差將逐漸擴大，可能使台幣匯率相對強勢，我想這是未來幾年要拼經濟的政府所不樂見的。

(以上同步發表於財信出版http://wealthpress.pixnet.net/blog)

carry unwind-日圓能強多久?

隨著近期金融風暴蔓延至全球金融市場，外匯市場的波動亦可以用「驚心動魄」來形容。累計從七月中旬美元強勁反彈以來，兌歐元升值15.7%，兌澳幣更升值近30%，而一向相對穩定的新台幣在這一波貶值潮中算相對強勢，兌美元僅”小貶”6.7%。

除了美元之外，日圓算是這一波貨幣動盪中的異數，不但逆勢挺升3%，逼近90元的關卡，更創下13年來的低點。日圓如此強是最主要的原因無非是受到利差交易平倉(carry trade unwind)所帶動，與日本的經濟基本面反而沒有太大的關係。

日圓近乎於零的借貸成本使日圓被視為從事利差交易最好的籌資來源，也就是大量借入日圓並投資於高收益的資產，包括股票、商品、高息貨幣等。然一旦市場風險趨避升溫，這些積極的投資人往往會出清部位並償還日圓借款，這也是為什麼日圓一向被視為與全球金融市場風險與投資人風險偏好有高度相關的指標。

根據日本官方或國際清算銀行（BIS）粗略的估計，全球日圓利差交易的規模約在800~1,600億美元左右；經濟學人雜誌更估計，若以芝加哥商品交易所的日圓空頭部位來估算，全球日圓利差交易部位可能高達1兆美元。我們在這次金融危機中終於見識到這些龐大的部位急速撤退下，對全球金融市場產生的衝擊，其中利差交易的指標-澳幣兌日圓從七月中迄今更暴跌30%以上!

筆者在『做個積極的外匯投資人』這本書中曾提及，日本是高度依賴出口的國家，日圓匯率對日本企業的影響甚鉅。日圓這種升法，第一個跳出來抗議一定是日本人，甚至聯合其他G7國家一起對市場嗆聲。28日亞洲時間，G7針對當前外匯市場尤其是日元發佈緊急聲明，重申「強勁穩定的國際金融體系符合我們共同的利益。我們關注近期日元匯率的過度波動性及其對經濟和金融穩定性的負面作用。我們繼續密切監控市場，並在適當的時候合作。」

日本央行2004年前3個月出售了14.8兆日圓，2003年的拋售規模曾達到20.4兆日圓的紀錄高點，之後日本就未在外匯市場拋售日圓。日本財務大臣中川昭一就表示，日本政府已經做好在必要時行動的準備，加上法國財長拉加德坦白承認日本央行可能進行干預，未來幾天內日本干預行動可能很快展開，若日圓跌破90大關，那麼這種可能性就更大。

但是市場普遍認為光靠日本政府的單獨行動可能無法扭轉日圓強勢的窘境。摩根士丹利(Morgan Stanley)全球外匯研究主管任永力(Stephen Jen)就認為，強勢美元正提高投資者對美元資產的信心，同時還削弱了商品價格，這是美國當局樂見的，而歐元區與英國肯定對地區或本國貨幣貶值對本國經濟帶來的提振感到滿意。G7內部利益的衝突使得聯合干預變得不可行。

不過日圓要長期維持強勢也非易事。主要還是因為日本經濟也逐漸步入衰退，日本央行甚至考慮降息，讓日本重回過去零利率的時代。此舉又將激勵日本本國資金積極向外尋求較高收益的回報，以滿足戰後嬰兒潮退休及人口老化的財務需求。所以當國際金融情勢一旦有稍加緩解的跡象，日圓恐要重拾弱勢，回到100元以上的可能性很大。

(以上同步發表於財信出版http://wealthpress.pixnet.net/blog)

G7財長央行總裁憂心日圓飆漲-->Multilateral Intervention?

日圓太強勢，日本人第一個跳出來抗議!不過這是否意味著日圓已經到底了??看起來大家都不覺得日圓在100以下是長久之計...


Threat Of Multilateral Intervention In Currency Markets: G-7 Singles Out Yen For 'Excessive Volatility'

• Oct 27: G-7 finance leaders singled out the yen, saying its recent "excessive volatility" threatens the global economy and financial system; meanwhile, Japan indicated it may take action to halt the yen's advance - Vice Finance Minister Sugimoto said government was prepared to act 'quickly' in the currency market
• Neil Mellor of BofNY said possibility of multilateral intervention in currency markets could happen at anytime, but it would achieve its maximum impact were it is seen to be led by the US Treasury - NY morning today (Oct 27) could therefore provide an ideal opportunity for them to make a clear statement of intent
• Oct 24: Yen hit 13-year highs against the dollar, reaching 93.18, and a six-year peak against the euro as panic gripped global markets and forced investors to abandon risky positions. Yen/USD briefly hit 90
• Falling commodity prices and risk aversion, not economic fundamentals, is behind the yen's resilience
  
• Lex: Mood music for yen remains good, with currency still undervalued in real trade-weighted terms. Global investors continue to unwind yen-funded carry trades. Japanese retail investors – who, says RBS, hold $600bn worth of foreign currency denominated assets – are switching back into yen owing to burnt fingers; but questions over continuing strengthening remain since Japan is teetering on the brink of recession and its banks are exposed to tanking stock market and mushrooming bankruptcies
• Sasaki of JPMorgan (via Bloomberg): Yen may advance to 95 per USD should Japanese investment trusts, insurance companies and pension funds start selling foreign holdings
• Halpenny of Mitsubishi UFJ (via Bloomberg): Yen won't likely be harmed by global efforts to revive financial markets; 45% decline in Japan's Nikkei 225 index in past 12 months (to mid-Oct) has been more severe than U.S. or European markets, leading to reduced risk appetite within Japan and to new repatriation of assets
• Yen typically strengthens as global risk aversion rises - 1) yen seen as a relative safe haven currency due to Japan's low inflation and trade surplus; 2) Japan has very low interest rates, making yen perfect for "carry trade", in which investors borrow money in a low-yielding currency to invest in a higher-yielding asset. When aversion rises, investors buy back yen they have borrowed
• While USD/JPY can spike lower in times of extreme risk aversion, it cannot stay below 100 for long due to Japan's declining financial home bias; 110 for USD/JPY makes more sense than 90 (Jen)
• Unicredit: Fair value for USD/JPY is 102 but risk aversion to keep JPY overshooting
• JPY/USD may fall below 100 in event of a dollar crisis, but won't stay there in the long-term due to 1) economic decline from demographic shift, 2) large interest rate gap, 3) yen failing to become key reserve currency, 4) declining home bias of baby boomers (Mitsubishi UFJ)

亞洲股市真是跌跌不休

跌深就是最大的利多 耐心等待落底吧

Asian Equities: Plunge Continues

• Oct 27: Marked another bad day for Asian equities on concern economic stimulus measures will fail to stop a global downturn - Nikkei 225 stock average fell 6.4% to reach its lowest closing level since 1982; Hong Kong's Hang Seng index fell 12.7% to lowest level since at least mid-2004; South Korea's Kospi index bucked the trend, managing a gain of 0.8% after the BoK slashed key interest rate by a record 0.75% to 4.25%
• MSCI performance YTD as of Oct 24: Asia Pacific:-53.6% | Korea: -62.4% | China: -60.4% | India: -64.9% | Hong Kong: -54.5% | Philippines: -52.4% | Thailand: -48.3% | Malaysia: -44.4% | Indonesia: -54.9% | Singapore: -52% | Taiwan: -47.5%
• September: Asian stocks fell 17% in the biggest monthly decline since the financial crisis a decade ago. Asia hedge-fund closures jumped 19% this year. About 70 hedge funds in Asia have shut down from January to August. Assets under management fell to $168 billion in August, from $176 billion at the end of 2007 (Bloomberg)
• Review: Asian equities are the worst performing stocks globally. Most markets have fallen by 20-25% or more since their peaks last fall. Earnings are being revised down - P/E ratios cheaper than in 2007 but are not yet cheap (Lex). Markets are very oversold and redemptions are taking flows back to 2004 levels. In terms of redemptions, all inflows since late 2004 have left. The buy-in price for the 2004 inflows is 16% below current levels, inflows dated 03 are 28% below now (Citi)
• Outlook: Countries that are most capable of responding to slowing may outperform as the pass-through of inflation to corporate profits is yet to have full effect. Others may be vulnerable to policy missteps, such as India, Malaysia (DBS)
• Market drivers: FII outflows and exit by local investors alarmed at impact of global slowdown on Asia exports, high inflation, fiscal subsidies; impact of monetary tightening on consumer spending, investment, slowing global and regional growth, liquidity crunch may also impact company profits and capex plans
• Government intervention: Several countries including Taiwan, Pakistan, Vietnam, Thailand intervened in the stock market by narrowing the trading band, introducing stabilization fund to contain volatility, banning short-selling, directing govt funds to buy shares
• Upsides: AXJ region is now attractively valued, and buying into most of the region's equity markets seems a better bet than bonds; but Indian valuations still seem high (Fundsupermart). Valuations attractive in Taiwan, Thailand, Singapore, Pakistan, Vietnam
• Downside: Valuation not enough to make stocks appealing in the face of global recession. Some earnings estimates have yet to capitulate to a weaker outlook

原來Stephen Jen是Krugman的學生....

金融危機時期十大暢銷書 from WSJ

carry trade玩完了

deleveraging.....出來混 總有一天要還的

• Carry trade funding currencies - such as Yen, Swiss franc, US dollar - are appreciating on a trade-weighted basis. High yield currencies facing selloffs as carry trades unwind on deleveraging
• BNP: Carry will end in 2008. Why? 1) Pressure for Asian currency appreciation will blow Bretton Woods II into pieces. 2) Banks' balance sheet de-leveraging due to frozen money markets. Non-US banks hold a $10trn USD-denominated funding position - the globe's biggest carry trade. Reduction of USD-denominated liabilities by non-US banks will create USD demand. EM FX volatility will surpass that of G10
• Goldman Sachs: Differentiation remains key theme in EM FX. Those with behind-the-curve central banks will underperform. CE-4 countries outperform as monetary and fiscal policy has generally been quite conservative
• Danske: FX markets have rewarded hawkish central banks and penalized countries with large funding needs. The most highly leveraged economies (e.g. Iceland, Turkey, South Africa, Hungary) get hit most severely, but even Asian currencies are failing to appreciate on inflation due to risk of growth slowdown
  
• Goldman Sachs (not online): NOK, VEB, CAD, MXN and RUB are positively affected by higher oil prices. INR, CNY, KRW, TWD and THB are negatively affected by higher oil prices
• MS: EM currencies should broadly outperform most G10 currencies but still depreciate due to commodity slowdown, trade reliance on US and, for some, c/a deficits. Slowing EMs in danger of sharp depreciation b/c investors expect rapid economic growth from EMs

停滯性通膨-->通縮?

Risk of Stagflation Today:
• GS: The opening up of spare capacity has been historically associated with significant downward pressure on inflation. Given that we expect spare capacity to continue to increase at least till Q4 2009, inflation is unlikely to be a serious issue

• Roubini: Due to a fall in aggregate demand, US recession and global economic slowdown will be accompanied by a reduction – rather than an increase – in inflationary pressures. However, a supply-side shock would lead to stagflation

• CA: Great Moderation and combination of downward shocks (oil, property, financial) to growth will slow inflation. Stagflation unlikely because wages are no longer indexed to inflation like in 1970s when second round effects led to inflation persistence

• MS: Inflation will be lower in the near term but there is now high risk of high inflation in the long term. Why? 1) It is doubtful that policymakers will be able and willing to quickly and fully reverse easing when things stabilize. 2) The likely sharp rise in government debt in several countries should increase political pressures on central banks to keep interest rates low. 3) If potential GDP growth has slowed a lot, global recession will not create as much slack and disinflationary pressures as is widely believed

• JPMorgan: It's normal for inflation to lag behind growth for quarters after global economy moves from strength to weakness. Slowing growth means slowing inflation eventually

Comparison with 1970s Great Stagflation:
• Like the 1970s, 1) inflation was driven higher by commodities with negative supply shocks (though this time coming from poor weather, trade barriers and environmental regulations rather than OPEC) and 2) growth is slowing globally led by U.S.

• Unlike the 1970s, 1) no wage-price spiral, 2) no Nixonian price controls in the U.S. (but controls do exist elsewhere), 3) commodity price rises also due to positive demand shock, 4) credit crisis and asset deflation in developed world spreading globally, 5) falling inflation in developed world

10/24 REG