巴黎银行-欧洲-宏观策略-通胀预期三步曲-20190725.pdf

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1、FOCUS

2、EUROZONE25July2019MARKETECONOMICS

3、MACROQUANT&DERIVATIVESInflationexpectations–Athree-stepdanceKEYMESSAGESApartfromtheprospectofECBstimulus,webelieveInourview,thisyear’sdeclineinEURbreakeventhisyear’sfallininflationriskpremiaisbeingdrivenbyinflationisnotye

4、tbecomingstructurallyentrenched,twoadditionalkeymacroeconomicfactors:meaningsomebounceispossibleshouldtheECBarisingriskofglobalrecession,anddeliveraconvincingpackageofmeasuresinSeptember.decliningconfidenceinthePhillipscurve.Thatsaid,wefindevidencethatnegativ

5、einflationriskWeexpecttheseheadwindsarelikelytopersistoverpremiaishavingadragoninvestorbase-caseinflationthecomingmonths,thoughsomeimprovementisexpectations,pointingtoahighriskofstructuralpossibleinQ4.entrenchmentiftheECBmarkedlydisappoints.ForourreviewoftheJul

6、yECBmeetingpleaseseeOurthree-stepframeworkfortrackingentrenchmentECB–Onthemove(25July).risksupportstheseconclusionsandidentifiestwoadditionalmacroeconomicdriversofEURbreakeveninflation:spotcoreinflationandglobalgrowthdata.MARKETVIEWWerecentlyclosedourEURinflati

7、onflattenerinlightoftheflatteningofthecurvesinceMarchandourviewthattheECBwillincreasinglystresssymmetryinitsinflationaim.AspressureontheECBtoloosenpolicycontinuestorise,weexpectslightlyhigherlong-endinflationexpectations,atleastinitially.The5y5y/15y15yHICPxTals

8、osteepenedaheadofECBQEinearly2015andagainwhentheamountofQEwasraisedtoEUR80bnamonth.OurpreferredtradeonthebackofanexpectedannouncementofaresumptionofECBQEandthenewsymmetricinflationtargetisOATeirealyieldcurveflatteners.Weviewadownwardshiftinbase-caseinflationexp

9、ectationsastypicallyoccurringinthreekeystages:1.Accumulationofrisk2.Downwardshift3.StructuralentrenchmentAnegativeshockweighsonIfdownsideriskpremiaIflowinflationpersistsforainvestorconfidenceandtriggersbuild/persistlongenough,thisisprolongedperiodfollowingaanac

10、cumulationofdownsideboundtoweighonbase-casedownwardshiftinthebasecase,riskpremia.inflationexpectationswhichwillthemarketwilleventuallystarttostarttoshiftgraduallylower,price