美国2s10s：巴甫洛夫式的回应

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1、PleaserefertoimportantinformationandMARdisclosuresattheendofthisreportFOCUS

2、GLOBAL08April2019EQUITY&DERIVATIVES

3、G10INTERESTRATES

4、CREDIT

5、QUANTITATIVESTRATEGYUS2s10s–APavlovianResponseKEYMESSAGESIt’snotaboutarecession.It’saboutdisinflation.Disinflationwithoutarecessionmaysupportriskyassets.Sellratesvo

6、latility,buyinflationprotection.FlatterUS2s10sdoesnotsignaltighterUScreditconditions.LowerratestermpremiummayleadtohigherP/EinSPX.Lowerratestermpremiummayfavourlowvolfactorinequities.DoesPavlov'sexperimentonclassicalconditioningholdtruefortheUS2s10scurve?Isafallinglobalinflationexpectationsalongwith

7、ayieldcurveflatteninggeneratingaconditionedresponseofanexpectedrecession?LookingattheUScyclefrom1988,weseethateveryUSrecession(shadedgreyarea)andasubsequentfallininflation,hasbeenprecededwithaflatteningof2s10s(shadedyellowareaFig.1).Whatweobservetodayisatepidoutlookforgrowthbutafallinglobalinflation

8、expectations.Theimplicationsarequitedifferentformarketswithsoftgrowthandlowinflationandthoseinrecessionandlowinflation.Inthefirst,riskyassetsperformwell,supportedbylowdefaultsandinterestrates,whileandinthelatterriskyassetsperformpoorlyasdefaultrisktrumpsinterestratesupport.In1927,Pavlovconductedhisf

9、amousexperimentonclassicalconditioning.Helookedattheassociationofanunconditionalstimulus(UCS)–astimulusthatproducedaninvoluntaryorunconditionalresponse(UCR),withaneutralstimulus(NS),astimulusthatdoesnotgenerateanUCR.Inhisexperimenthegavemeatpowder(UCS)todogsandobservedtheysalivated(UCR).Independentl

10、y,herangabell(NS)andthedogsdidnotsalivate.Whenherepeatedlypairedthemeatpowder(UCS)withabell(NS),thedogs'responsechangedsothattheysalivatedatthesoundofabellevenwhentherewasnomeatpowderpresent.Pavlovwasabletoelicitareflexiveresponsetoapreviouslyneutralstimulus.TRADEIDEASFig.1:US2s10sandCPI&GDPSources

11、:Macrobond,BNPParibasRates–Buy6m2yatmf-5/atmf+10/atmf-25PayerSwaptionladder.Buy10yTIPSbreakeven.Credit–LongUScorporatecreditwithapreferencefornon-financialcredit.Equities–BuyBNPParibasEquityLowVolatil