全球外汇展望：经济放缓背景下的剖析

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1、TheanatomyofaslowdownuWiththedynamicofUSandglobalgrowthnowturningsour…u…WemustconsiderwhatthiseconomicsoftnessmeansforFXuWeidentifywherewearenowoutofthreephasesofaslowdownItisclearthatthebroadereconomiccycleisturningfortheworse.Datahasbeenworseningforsometime,withthisdownturnacceleratinginrecentmo

2、nths.Ourcolleaguesinbothequitystrategyandcreditstrategyhavebothusedmachinelearningtechniquestohighlightthatwearegettingclosertobearmarketsintheirrespectiveassetclasses(seeGlobalCreditStrategybySongJingLeeetal.andEquityDataScience:DetectingCycles,byAlastairPinder).FXmarketsdon’thavethesameclear-cut

3、definitionsofabullorbearmarket.ButwiththedynamicofUSandglobalgrowthnowsoclearlyturningsour,wemustconsiderwhatthiseconomicsoftnessmeansforFX.WebelievethataneconomicslowdownhasthreebroadphasesforFXmarkets.Thephasesareoutlinedinthediagramonpage4.ThereactionfunctionofFXwillvarybasedonwhichphasewearein

4、.Wedefinethethreebroadphasesthatcurrenciesgothroughastheeconomiccycleturnsfortheworseas:Phase1:BadnewsisgoodnewsSofterdataseeratecutspricedin;thelowercostofcapitalacrossthecurvesupports“riskyassets”includinghigheryieldingFXattheexpenseoftheloweryielding,fundingcurrencies;FXalsorespondsinarelativef

5、ashiontowhoiscuttingratesfurtherandfaster;cross-assetcorrelationremainrelativelylowandlocalstoriesareasourcefordifferentiation.Phase2:BadnewsisbadnewsEconomicgrowthslowsfurtherbutratecutsarenowpricedin,sothecostofcapitalstrugglestofallfurther;riskyassetsandhighyieldingFXstarttocomeunderpressureast

6、henominalyieldsonoffernolongerlookattractivegiventhegrowingriskofrecession;safehavens–forFXthismeanstheUSDandJPY–starttooutperformascapitalrepatriationbecomesmoreofafocus;financialmarketsstarttomoveinachoppier,morevolatilemannerandsignsofdislocationcreepin.Phase3:BadnewsisterriblenewsGrowthcontinu

7、estodeteriorateandwithtraditionalmeasuresexhausted,policymakersturntoincreasinglyunconventionalstepstoshoreuptheireconomies(QE,negativerates,MMT);currencywarsbecomemoreprevalent,whichcouldseeevensafehavencurrenci