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Wwqj
2022-05-24
$纳斯达克(.IXIC)$
凯多
Wwqj
2022-05-23
$纳斯达克(.IXIC)$
⊙ω⊙⊙ω⊙
Wwqj
2022-05-18
$纳斯达克(.IXIC)$
不看了
Wwqj
2022-05-10
$纳斯达克(.IXIC)$
今晚上要收复12000点么?
Wwqj
2022-05-05
$纳斯达克(.IXIC)$
大盘居然还有两只红票[喷血] [喷血] [喷血] [喷血]
Wwqj
2022-05-05
$纳斯达克(.IXIC)$
太弱了
Wwqj
2022-05-05
$纳斯达克(.IXIC)$
现在的走势搞不明白,为啥美债和股市不是反比么,为啥都在拉呢,还有贵金属。
Wwqj
2022-05-05
$黄金主连 2206(GCmain)$
金价冲这么高干嘛
Wwqj
2022-05-02
收到
关于缩表,需要担心什么?
Wwqj
2022-05-02
$NQ100指数主连 2206(NQmain)$
现在谁敢做多啊,社会不得赏他一个大比兜[开心] [开心] [开心]
Wwqj
2022-04-30
$纳斯达克(.IXIC)$
等你等的心塞了
Wwqj
2022-04-29
$纳斯达克(.IXIC)$
指数见底了么
Wwqj
2022-04-28
$NQ100指数主连 2206(NQmain)$
8点半,静待第一季度GDP
Wwqj
2022-04-27
$纳斯达克(.IXIC)$
拿出V斯达克的气势出来
Wwqj
2022-04-25
$NQ100指数主连 2206(NQmain)$
拉一把
Wwqj
2022-04-21
$NQ100指数主连 2206(NQmain)$
空它,今天
Wwqj
2022-04-19
$纳斯达克(.IXIC)$
回调一波好上车
Wwqj
2022-04-19
$纳斯达克(.IXIC)$
今晚上干的漂亮
Wwqj
2022-04-19
$纳斯达克(.IXIC)$
晚上收阳,明天稍微有点戏;收阴,这周洗洗睡
Wwqj
2021-12-21
$NQ100指数主连 2203(NQmain)$
今天低点,准备接多。破15660止损
去老虎APP查看更多动态
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[喷血]","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":5,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/616232080","isVote":1,"tweetType":1,"viewCount":2293,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0},{"id":616202727,"gmtCreate":1651759989069,"gmtModify":1651759989069,"author":{"id":"4088697337305540","authorId":"4088697337305540","name":"Wwqj","avatar":"https://static.tigerbbs.com/d47900ede61ad5e29478b929047decf8","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"4088697337305540","idStr":"4088697337305540"},"themes":[],"htmlText":"<a href=\"https://laohu8.com/S/.IXIC\">$纳斯达克(.IXIC)$</a>太弱了","listText":"<a href=\"https://laohu8.com/S/.IXIC\">$纳斯达克(.IXIC)$</a>太弱了","text":"$纳斯达克(.IXIC)$太弱了","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/616202727","isVote":1,"tweetType":1,"viewCount":1621,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0},{"id":616698834,"gmtCreate":1651721110734,"gmtModify":1651721110734,"author":{"id":"4088697337305540","authorId":"4088697337305540","name":"Wwqj","avatar":"https://static.tigerbbs.com/d47900ede61ad5e29478b929047decf8","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"4088697337305540","idStr":"4088697337305540"},"themes":[],"htmlText":"<a href=\"https://laohu8.com/S/.IXIC\">$纳斯达克(.IXIC)$</a>现在的走势搞不明白,为啥美债和股市不是反比么,为啥都在拉呢,还有贵金属。","listText":"<a href=\"https://laohu8.com/S/.IXIC\">$纳斯达克(.IXIC)$</a>现在的走势搞不明白,为啥美债和股市不是反比么,为啥都在拉呢,还有贵金属。","text":"$纳斯达克(.IXIC)$现在的走势搞不明白,为啥美债和股市不是反比么,为啥都在拉呢,还有贵金属。","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/616698834","isVote":1,"tweetType":1,"viewCount":2571,"authorTweetTopStatus":1,"verified":2,"comments":[{"author":{"id":"300635909033158","authorId":"300635909033158","name":"得道阿门","avatar":"https://static.laohu8.com/default-avatar.jpg","crmLevel":1,"crmLevelSwitch":0,"authorIdStr":"300635909033158","idStr":"300635909033158"},"content":"因为加息符合预期啊,前段时间一直阴跌是因为加息到底加多少不确定性,现在靴子落地了,就没啥了,美股只要不确定性因素消化了,就是涨了","text":"因为加息符合预期啊,前段时间一直阴跌是因为加息到底加多少不确定性,现在靴子落地了,就没啥了,美股只要不确定性因素消化了,就是涨了","html":"因为加息符合预期啊,前段时间一直阴跌是因为加息到底加多少不确定性,现在靴子落地了,就没啥了,美股只要不确定性因素消化了,就是涨了"}],"imageCount":0,"langContent":"CN","totalScore":0},{"id":616864858,"gmtCreate":1651683041869,"gmtModify":1651683041869,"author":{"id":"4088697337305540","authorId":"4088697337305540","name":"Wwqj","avatar":"https://static.tigerbbs.com/d47900ede61ad5e29478b929047decf8","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"4088697337305540","idStr":"4088697337305540"},"themes":[],"htmlText":"<a href=\"https://laohu8.com/FUT/GCmain\">$黄金主连 2206(GCmain)$ </a>金价冲这么高干嘛","listText":"<a href=\"https://laohu8.com/FUT/GCmain\">$黄金主连 2206(GCmain)$ </a>金价冲这么高干嘛","text":"$黄金主连 2206(GCmain)$ 金价冲这么高干嘛","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/616864858","isVote":1,"tweetType":1,"viewCount":1789,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0},{"id":616327576,"gmtCreate":1651501316596,"gmtModify":1651501316596,"author":{"id":"4088697337305540","authorId":"4088697337305540","name":"Wwqj","avatar":"https://static.tigerbbs.com/d47900ede61ad5e29478b929047decf8","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"4088697337305540","idStr":"4088697337305540"},"themes":[],"htmlText":"收到","listText":"收到","text":"收到","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/616327576","repostId":"2232733784","repostType":2,"repost":{"id":"2232733784","kind":"highlight","weMediaInfo":{"introduction":"经济-金融-投资","home_visible":1,"media_name":"李迅雷金融与投资","id":"71","head_image":"https://static.tigerbbs.com/cb163b204aa14697bd7477df15b8b6b1"},"pubTimestamp":1651449428,"share":"https://www.laohu8.com/m/news/2232733784?lang=&edition=full","pubTime":"2022-05-02 07:57","market":"sh","language":"zh","title":"关于缩表,需要担心什么?","url":"https://stock-news.laohu8.com/highlight/detail?id=2232733784","media":"李迅雷金融与投资","summary":"5月美联储议息会议召开在即,除去加息之外,很可能会公布关于美联储缩表的路径、方式等细节内容。那么,在疫情后时代的环境之下,美联储本轮缩表与上轮有何不同?又会怎样影响经济和资本市场?本报告对此进行展开分","content":"<html><head></head><body><blockquote><b>5月美联储议息会议召开在即,除去加息之外,很可能会公布关于美联储缩表的路径、方式等细节内容。那么,在疫情后时代的环境之下,美联储本轮缩表与上轮有何不同?又会怎样影响经济和资本市场?本报告对此进行展开分析。</b></blockquote><p><b>概要</b></p><ul><li><p><b>这次缩表有什么不一样?首先</b>,从货币收紧的成因上来看,本轮加息缩表主要受到通胀的推动。<b>其次</b>,从全球货币政策的动向上来看,上轮缩表前,除个别新兴市场加息外,全球主要经济体未见明显收紧,而本轮缩表前,全球多数央行都加快了货币收紧进程。<b>第三</b>,从加息和缩表两种货币政策收紧方式的配合性上来看,本次缩表两者协同性更高。<b>第四</b>,从实施方式上来看,本轮缩表方式以被动为主,但或主动出售部分未到期的MBS。<b>第五</b>,从缩表的速度上来看,本轮推进节奏明显加快,加息与缩表间隔或由上轮的22个月降至2个月。<b>第六</b>,从强度上来看,本次缩减的目标规模占GDP比重相较上轮明显提升。<b>第七</b>,从缩表影响的预防应对上来看,本次联储提前设立常备回购便利工具,尽可能保证市场流动性的充裕。<b>最后</b>,从缩表的总规模上来看,我们估算,本轮缩表约达1.63万亿,也远超上轮,并持续约18个月至2023年底结束。</p></li></ul><ul><li><p><b>缩表如何影响流动性环境?</b>美联储缩表对利率水平的影响存在三大传导路径。<b>一方面</b>,通过<b>降低负债端的准备金规模</b>减少货币供给(量)。<b>另一方面</b>,通过<b>释放政策信号与资产组合再平衡</b>的途径推高利率水平(价)。缩表对于短端利率也会有一定推升,而在长端利率上的作用效果更为明显,我们预计,本轮缩表每年约推升十年期美国国债收益率0.4个百分点。虽然<b>缩表将显著降低流动性水平,但流动性危机短期或不会再现</b>。<b>一方面</b>,市场现存流动性较高。<b>另一方面</b>,美联储设立新工具将有效平滑市场流动性波动。不过,在本轮缩表周期中,美联储大概率将主动出售其持有的机构MBS,或进一步推高抵押贷款利率。</p></li></ul><ul><li><p><b>缩表下的全球资产变局</b>。<b>上轮缩表对新兴市场冲击较大,发达经济体内部表现则有所分化</b>。从美股的行业表现上来看,信息技术涨幅明显,消费板块显著分化,可选消费好于必选,不过房地产、必选消费和公共事业的板块表现则随着美联储缩表的推进而逐步改善。全球股指方面,上轮缩表时期美股一枝独秀,而其它市场多数下行。<b>新兴市场风险已有释放</b>。不过,本轮QE期间,新兴市场表现事实上不及发达市场。考虑到新兴市场今年以来资金有所流出,股指已经回调,风险已有一定释放。截至2021年底新兴市场资金流入约5700亿美元,不足上轮QE期间的一半。多数新兴市场经济体已经进行了预防性加息,因而<b>资本进一步外流的规模可能相对有限</b>。从历史经验来看,上轮美联储缩表期间,<b>中美利差因货币政策错位先收窄后扩大</b>,当前中美利差倒挂已然出现,我们认为,国内以<b>降准降息</b>为代表的<b>货币政策宽松空间受制</b>,<b>国内债市收益率水平易上难下</b>。汇率方面,美元维持强势,或给全球其它<b>主要货币</b>带来一定的<b>贬值压力</b>。目前来看,能源价格的上行主要来自<b>供给冲击</b>,很可能难以被美元走高所压制,全球定价的大宗商品,特别是<b>受到供给约束的工业品,价格或将居高不下。</b></p></li></ul><p><b>1、这次缩表有什么不一样?</b></p><p>在经历过几轮QE之后,2017年美联储正式宣布缩表,直至2019年结束,虽然其作为少数可供参照的缩表时期,但是,本轮缩表很可能与上一轮存在较大的不同。</p><p><b>通胀引发货币收紧。</b>首先,从货币政策收紧的成因上来看,本轮加息缩表主要受到通胀的推动。上轮缩表前,美国经济已经步入复苏通道,制造业PMI稳定在荣枯线以上,失业率也创新低,就业市场整体良好,通胀水平一直以来在2%附近波动。而本轮就业市场虽也存在改善,但自2021年年中以来,美国通胀持续高企并逐步攀升,创下自大滞胀时期以来的新高,并且目前尚未出现见顶回落的迹象。</p><p><img src=\"https://static.tigerbbs.com/7576a05bc1a949508d2d4248ed308199\" tg-width=\"1029\" tg-height=\"612\" referrerpolicy=\"no-referrer\"/></p><p><b>加息抢跑防患未然。</b>其次,从全球货币政策的动向上来看,上轮缩表前,除个别新兴市场加息外,全球主要经济体未见明显收紧。而2021年下半年,随着美联储货币收紧预期上升,俄罗斯、巴西等新兴经济体先后采取预防性加息,防范汇率贬值、资本外流风险。今年以来,俄乌危机推动能源价格高企,为了抑制通胀,<b>全球多数央行都加快了货币收紧进程</b>。多个新兴市场经济体单次加息至少50个基点,新西兰、加拿大、韩国等发达经济体也进入加息队列,全球已经迎来新一轮加息潮。</p><p><img src=\"https://static.tigerbbs.com/d3afd5e4e00c4fa8a1fc0f261bafc20c\" tg-width=\"985\" tg-height=\"871\" referrerpolicy=\"no-referrer\"/></p><p><b>缩表加息紧密配合。</b>第三,从加息和缩表两种货币政策收紧方式的配合性上来看。持续几轮的量化宽松使得美联储资产负债表规模在上一轮缩表前夕,较金融危机发生前扩大近4倍,准备金过度宽裕令美联储试图将总<b>资产规模正常化</b>。同时,由于此前连续加息导致美元指数居高不下,通胀水平低位徘徊,当时在某种意义上,其实是以缩表作为加息的替代手段,这使得收紧方式上<b>更加灵活</b>,相对而言对于汇率和通胀的影响也比加息更为缓和。而反观本轮缩表,其主要目的在于配合加息这一方式,<b>加快抑制通胀上行</b>,缩减资产负债表和准备金规模回收过剩的流动性,特别是<b>推高长端利率进而扩大期限利差,为持续加息创造条件</b>。</p><p><img src=\"https://static.tigerbbs.com/73a89f02a52041679744bd5a198e62a4\" tg-width=\"1014\" tg-height=\"613\" referrerpolicy=\"no-referrer\"/></p><p><b>被动缩表为主,部分主动出售。</b>第四,从缩表的实施方式上来看,上轮缩表主要是通过减少到期资金再投资的方式来进行的被动缩表,而并没有采取主动缩表(在市场上出售尚未到期的持有证券)的形式。不过,根据3月美联储议息会议纪要,<b>本轮缩表方式以被动为主,但或主动出售未到期的MBS。</b>一方面,3月议息会议上与会官员认为,MBS本金提前还款可能会低于缩表的每月上限。纽约联储和里士满联储研究估算,MBS提前偿还月均规模约在240-250亿左右,低于MBS缩减上限。另一方面,联储预计未来持有资产组合应主要由国债构成,考虑主动出售MBS是合适的。</p><p><img src=\"https://static.tigerbbs.com/dc95bfdf73c74954b55706a9dcfc835e\" tg-width=\"1042\" tg-height=\"627\" referrerpolicy=\"no-referrer\"/></p><p><b>缩表速度明显加快。</b>第五,从缩表的速度上来看。美联储在加息已达四次,历经22个月后才正式启动上轮缩表,首月缩减目标定为60亿的美国国债与40亿的MBS,并每三个月分别提高60亿和40亿额度,历时一年达到每月300亿美债及200亿MBS的缩减上限。在持续7个月后,美联储开始降低缩表上限,首次将国债和MBS上限分别降至150亿和200亿额度,再历经3个月后将二者上限降为零。而本轮缩表从时间上来看,美联储推进节奏明显加快,加息与缩表时间间隔或降至2个月,且最快或于缩表后3个月就达到每月600亿美债及350亿MBS的缩减上限。</p><p><img src=\"https://static.tigerbbs.com/eeacdf4a12cb48feab3e4da6108ca8ea\" tg-width=\"1021\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>缩表强度有所提升。</b>第六,从缩表的强度上来看。上次缩表过程中,美联储目标缩减规模占联储总资产比重最高约1.3%,占GDP比重最高约0.24%。尽管本次缩减上限提升至950亿美元且缩减速度大幅提升,但由于目前美联储达到历史最高规模的总资产,目标缩减规模占联储总资产比重未见明显变化,约为1.1%,而目标缩减规模占GDP比重约为0.41%,相较上轮明显提升。</p><p><img src=\"https://static.tigerbbs.com/560e37ba85754134b4140c53a89691a0\" tg-width=\"1040\" tg-height=\"627\" referrerpolicy=\"no-referrer\"/></p><p><b>缩表影响提前应对。</b>第七,从缩表影响的预防应对上来看。流动性危机是美联储终止上轮缩表进程的主要原因。金融危机后,为增强银行系统抵御流动性风险的能力,美联储在监管方面提高了对流动性资产的要求。2019年9月,由于缩表、缴税和国债认购缴款三重因素叠加,隔夜拆借利率一度飙升至10%,联邦基金利率也一度突破目标上限升至2.3%,迫使纽约联储近十年来首次出手干预隔夜回购市场,<b>流动性短缺最终导致美联储退出缩表</b>。本次联储充分吸取上轮缩表所暴露出的流动性问题,提前设立常备回购便利工具,尽可能保证市场流动性的充裕。</p><p><img src=\"https://static.tigerbbs.com/28895693a9c642b884a4f059e48857c4\" tg-width=\"1023\" tg-height=\"609\" referrerpolicy=\"no-referrer\"/></p><p><b>缩表规模远超上轮。</b>最后,从缩表的总规模上来看。在2017年-2019年整个缩表周期中,联储目标缩减规模为7550亿美元,实际缩减了约6500亿美元的总资产,占缩表前美联储总资产规模的15%,占当年GDP规模约3%。考虑到目前准备金充足,流动性较为宽松,本次加息进程不会因此重蹈覆辙。但未来若通胀势头有所遏制,加息缩表进程或也不排除提前结束。参照上轮缩表经验以及近期联储官员发言,准备金规模占名义GDP比例为8%时,市场流动性较为合适。若按IMF预测美国2023年名义GDP为26.7万亿,则合意准备金规模约为2.14万亿美元,粗略估算本轮缩表规模1.63万亿,占现有总资产规模的18.2%,缩表持续约18个月至2023年底结束。</p><p><img src=\"https://static.tigerbbs.com/015d51beb2ab46118d5e35bb5a5d0535\" tg-width=\"1014\" tg-height=\"612\" referrerpolicy=\"no-referrer\"/></p><p><b>2、缩表如何影响流动性环境?</b></p><p><b>美联储缩表对利率水平的影响存在三大传导路径。</b>美联储资产负债表的扩张是在短期利率无法突破0利率下限约束的情况下,通过继续购买中长期国债,释放流动性并压平收益率曲线,降低长期限利率水平,从而达到继续刺激经济的手段。而<b>缩表本质上是对扩表的逆向操作。一方面</b>,通过降低负债端的准备金规模减少货币供给(量)。<b>另一方面</b>,通过释放政策信号与资产组合再平衡的途径推高利率水平(价)。</p><p><img src=\"https://static.tigerbbs.com/f3cbd4846cec482586a5a0e39c382859\" tg-width=\"1046\" tg-height=\"864\" referrerpolicy=\"no-referrer\"/></p><p><b>短端利率也会上行。</b>加息主要通过提高资金借贷成本来抑制货币需求,而缩表则直接通过影响货币供给进而推升短端利率。如果剔除加息对短端利率的影响后来看,缩表对短期利率推升事实上也有一定贡献。从上一轮缩表时期来看,短期国债收益率与基准利率目标的差值在美联储缩表前后变化明显,缩表后提高约0.2个百分点。</p><p><img src=\"https://static.tigerbbs.com/72012418d8eb40b08be2fba8a69e4ab9\" tg-width=\"1017\" tg-height=\"609\" referrerpolicy=\"no-referrer\"/></p><p><b>长端利率明显推升。</b>美联储缩表主要通过信号和资产组合再平衡途径影响长端利率。<b>一方面</b>,美联储释放资产负债表正常化信号,进行前瞻指引,改变收益率曲线预期,引导长端利率上行。<b>另一方面</b>,美联储持有长久期资产逐步下降,市场长久期资产供给上升,从而推高长端利率水平。根据Bauer and Neely(2012)的研究发现,GDP规模1%的美联储资产负债表变动将带来十年期国债收益率的变化约8bp,若按照缩表950亿美元的最大规模,预计每月将推升十年期国债收益率约3.3bp,每年的影响大约有0.4个百分点之多。</p><p><img src=\"https://static.tigerbbs.com/2c641c1f98db4e30b518044ee16e8a80\" tg-width=\"1011\" tg-height=\"606\" referrerpolicy=\"no-referrer\"/></p><p><b>美联储缩表将显著降低流动性水平。</b>美联储缩表将同时使得资产和负债端规模有所下降。上轮美联储QE期间,准备金规模大幅上升至2.5万亿美元,并长期维持在这一水平附近。而上一轮缩表开始后,准备金规模大幅下降至约1.5万亿美元左右,隔夜逆回购规模也由2000亿美元降至0。</p><p><img src=\"https://static.tigerbbs.com/0824d93953e841968a3d250d0e23a38f\" tg-width=\"1020\" tg-height=\"611\" referrerpolicy=\"no-referrer\"/></p><p><b>流动性危机短期或不会再现。</b>不过,我们认为,本轮缩表发生流动性危机的风险不高。<b>一方面</b>,市场现存流动性较高,准备金规模保持在4万亿左右的水平,隔夜逆回购规模也维持在1.6万亿的较高水平,远高于每月950亿美元的缩表规模。<b>另一方面</b>,美联储于2021年将国内和国外回购便利设立为常备,用于及时向市场提供流动性,新工具将有效平滑市场流动性波动。</p><p><img src=\"https://static.tigerbbs.com/ef8931ddcdc54ed58a54093ca5ab1815\" tg-width=\"1017\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>主动出售MBS或将推高房贷利率。</b>随着美联储加速收紧货币政策,美国各期限国债收益率均有上升,带动30年期固定抵押贷款利率升破5%,创2011年以来新高。从历史数据来看,房贷利率抬升将提高居民购房成本,抑制购买需求,使房地产市场承压。本轮缩表周期中,美联储大概率将主动出售其持有的机构MBS,或进一步推高抵押贷款利率。</p><p><img src=\"https://static.tigerbbs.com/b99c41fbe3b84095879c0adc27ed6667\" tg-width=\"1022\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>3、缩表下的全球资产变局</b></p><p><b>上轮缩表冲击新兴市场。</b>美联储缩表对于大类资产表现会有怎样的影响?我们不妨先从上轮缩表中寻找线索。我们把上一轮美联储缩表过程划分为缩表开始至半年、达到缩减上限(一年)和整个缩表时期(时长约两年)三个阶段,并分别计算各类资产的收益表现。我们发现,<b>上次缩表对于新兴市场的冲击较大,发达经济体内部则出现比较明显的分化。</b>随着美联储缩表的进行,新兴市场需求占比更高的大宗商品价格明显回落,新兴市场指数也逐步调整,但发达经济体需求占比更高的原油和股指表现相对较好。</p><p><img src=\"https://static.tigerbbs.com/6b8da395bcf04d8792a296aa315b603b\" tg-width=\"1019\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>从行业表现上来看,信息技术涨幅明显,可选消费好于必选。</b>美联储上一轮缩表对于美股各行业表现的影响,整体来看,以信息技术行业涨幅最为突出。而消费板块存在显著分化,可选消费表现名列前茅,但必选消费则相对落后。不过,随着美联储缩表进程的推进,房地产、必选消费和公共事业表现则逐步改善。</p><p><img src=\"https://static.tigerbbs.com/50cf9c0220f14fd1a04ee998d7329dcd\" tg-width=\"1019\" tg-height=\"655\" referrerpolicy=\"no-referrer\"/></p><p><b>美股一枝独秀,其它市场多数下行。</b>全球主要市场股市在上一轮美联储缩表期间呈现震荡态势,但走势上差异较大。其中,除美国以外的发达市场和新兴市场受到缩表冲击更大,呈现出震荡下行走势。而美股在美联储缩表开始后的一年时间内保持上行并创新高。各市场股指在2018年9月至2019年2月均出现短暂回撤,随后走势继续分化。</p><p><img src=\"https://static.tigerbbs.com/8fee8a5cf5d1402d914544119d798119\" tg-width=\"1015\" tg-height=\"610\" referrerpolicy=\"no-referrer\"/></p><p><b>新兴市场风险已有释放。</b>上一轮美联储资产负债表扩张期间,资金大举流向新兴市场,推高了新兴市场的股指表现,直到2013年美联储开始逐步收紧货币政策,全球资金形成回流,发达经济体市场表现较新兴市场更好,而当美联储开始缩表,新兴市场资金进一步流出。不过,本轮QE期间,新兴市场表现事实上不及发达市场。虽然本次货币收紧节奏较快,加息缩表近乎完全重叠,但考虑到新兴市场今年以来资金有所流出,股指已经回调,风险已有一定释放。</p><p><img src=\"https://static.tigerbbs.com/0387aaac6d684000a293b8abfe31ae00\" tg-width=\"1018\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>资金流入规模不足上轮一半。</b>在上轮美联储QE期间,新兴市场股债资金净流入约1.3万亿美元,约占美联储资产负债表变动规模近60%。而本轮QE期间,截至2021年底新兴市场股债资金净流入约5700亿美元,不足上轮的一半,且仅占美联储资产负债表变动规模约13%。此外,<b>多数新兴市场经济体已经进行了预防性加息,因而资本进一步外流的规模可能相对有限</b>。</p><p><img src=\"https://static.tigerbbs.com/6ea99419ab1a44a0bc507c339e0f6c0d\" tg-width=\"1042\" tg-height=\"623\" referrerpolicy=\"no-referrer\"/></p><p><b>债市利率易上难下。</b>从历史表现上来看,我国国债收益率多数情况下和美债收益率走势一致。但在上轮美联储缩表期间,由于美联储收紧货币,而国内继续保持偏宽松的状态,导致两国利差收窄。上轮美联储缩表后期,由于市场出现流动性危机,美联储开始降息并停止缩表,带动美债收益率下行,中美利差再度扩大。当前中美利差倒挂已然出现,随着美债收益率水平的抬升,我们认为,国内以降准降息为代表的货币政策宽松空间受制,国内债市收益率水平易上难下。</p><p><img src=\"https://static.tigerbbs.com/a34509811861401da679c9d2b8fce9f6\" tg-width=\"1018\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>美元维持强势,汇率贬值压力加大。</b>上轮美联储实施缩表使得美国货币政策较欧元区边际收紧,推动美元指数上行。总体来看,随着美联储缩表的不断进行,多数货币较美元贬值,跌幅逐步扩大,但上轮缩表期间泰铢和日元的表现相对较好。而目前美元指数已经超过100,这轮缩表或给全球主要货币都会带来一定的贬值压力。</p><p><img src=\"https://static.tigerbbs.com/5f402c7ee3a74a64953d4aebd576d889\" tg-width=\"1014\" tg-height=\"605\" referrerpolicy=\"no-referrer\"/></p><p><b>供给冲击主导,价格恐居高不下。</b>能源商品在上轮美联储缩表的前中期表现较好,有色金属中除镍以外,均表现较差。而在上轮美联储的整个缩表期间,贵金属呈现先跌后升的局面。<a href=\"https://laohu8.com/S/000061\">农产品</a>中,玉米和大豆走势有所分化。当前来看,能源价格的上行主要来自供给冲击,很可能难以被美元走高所压制,全球定价的大宗商品,特别是受到供给约束的工业品,价格或将居高不下。</p><p><img src=\"https://static.tigerbbs.com/873be73c90154fa3aeebabbfb73560e6\" tg-width=\"1048\" tg-height=\"625\" referrerpolicy=\"no-referrer\"/></p><p><b>风险提示:政策变动,经济恢复不及预期。</b></p></body></html>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>关于缩表,需要担心什么?</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 11px; color: #7E829C; margin: 0;line-height: 11px;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\n关于缩表,需要担心什么?\n</h2>\n\n<h4 class=\"meta\">\n\n\n<a class=\"head\" href=\"https://laohu8.com/wemedia/71\">\n\n\n<div class=\"h-thumb\" style=\"background-image:url(https://static.tigerbbs.com/cb163b204aa14697bd7477df15b8b6b1);background-size:cover;\"></div>\n\n<div class=\"h-content\">\n<p class=\"h-name\">李迅雷金融与投资 </p>\n<p class=\"h-time\">2022-05-02 07:57</p>\n</div>\n\n</a>\n\n\n</h4>\n\n</header>\n<article>\n<html><head></head><body><blockquote><b>5月美联储议息会议召开在即,除去加息之外,很可能会公布关于美联储缩表的路径、方式等细节内容。那么,在疫情后时代的环境之下,美联储本轮缩表与上轮有何不同?又会怎样影响经济和资本市场?本报告对此进行展开分析。</b></blockquote><p><b>概要</b></p><ul><li><p><b>这次缩表有什么不一样?首先</b>,从货币收紧的成因上来看,本轮加息缩表主要受到通胀的推动。<b>其次</b>,从全球货币政策的动向上来看,上轮缩表前,除个别新兴市场加息外,全球主要经济体未见明显收紧,而本轮缩表前,全球多数央行都加快了货币收紧进程。<b>第三</b>,从加息和缩表两种货币政策收紧方式的配合性上来看,本次缩表两者协同性更高。<b>第四</b>,从实施方式上来看,本轮缩表方式以被动为主,但或主动出售部分未到期的MBS。<b>第五</b>,从缩表的速度上来看,本轮推进节奏明显加快,加息与缩表间隔或由上轮的22个月降至2个月。<b>第六</b>,从强度上来看,本次缩减的目标规模占GDP比重相较上轮明显提升。<b>第七</b>,从缩表影响的预防应对上来看,本次联储提前设立常备回购便利工具,尽可能保证市场流动性的充裕。<b>最后</b>,从缩表的总规模上来看,我们估算,本轮缩表约达1.63万亿,也远超上轮,并持续约18个月至2023年底结束。</p></li></ul><ul><li><p><b>缩表如何影响流动性环境?</b>美联储缩表对利率水平的影响存在三大传导路径。<b>一方面</b>,通过<b>降低负债端的准备金规模</b>减少货币供给(量)。<b>另一方面</b>,通过<b>释放政策信号与资产组合再平衡</b>的途径推高利率水平(价)。缩表对于短端利率也会有一定推升,而在长端利率上的作用效果更为明显,我们预计,本轮缩表每年约推升十年期美国国债收益率0.4个百分点。虽然<b>缩表将显著降低流动性水平,但流动性危机短期或不会再现</b>。<b>一方面</b>,市场现存流动性较高。<b>另一方面</b>,美联储设立新工具将有效平滑市场流动性波动。不过,在本轮缩表周期中,美联储大概率将主动出售其持有的机构MBS,或进一步推高抵押贷款利率。</p></li></ul><ul><li><p><b>缩表下的全球资产变局</b>。<b>上轮缩表对新兴市场冲击较大,发达经济体内部表现则有所分化</b>。从美股的行业表现上来看,信息技术涨幅明显,消费板块显著分化,可选消费好于必选,不过房地产、必选消费和公共事业的板块表现则随着美联储缩表的推进而逐步改善。全球股指方面,上轮缩表时期美股一枝独秀,而其它市场多数下行。<b>新兴市场风险已有释放</b>。不过,本轮QE期间,新兴市场表现事实上不及发达市场。考虑到新兴市场今年以来资金有所流出,股指已经回调,风险已有一定释放。截至2021年底新兴市场资金流入约5700亿美元,不足上轮QE期间的一半。多数新兴市场经济体已经进行了预防性加息,因而<b>资本进一步外流的规模可能相对有限</b>。从历史经验来看,上轮美联储缩表期间,<b>中美利差因货币政策错位先收窄后扩大</b>,当前中美利差倒挂已然出现,我们认为,国内以<b>降准降息</b>为代表的<b>货币政策宽松空间受制</b>,<b>国内债市收益率水平易上难下</b>。汇率方面,美元维持强势,或给全球其它<b>主要货币</b>带来一定的<b>贬值压力</b>。目前来看,能源价格的上行主要来自<b>供给冲击</b>,很可能难以被美元走高所压制,全球定价的大宗商品,特别是<b>受到供给约束的工业品,价格或将居高不下。</b></p></li></ul><p><b>1、这次缩表有什么不一样?</b></p><p>在经历过几轮QE之后,2017年美联储正式宣布缩表,直至2019年结束,虽然其作为少数可供参照的缩表时期,但是,本轮缩表很可能与上一轮存在较大的不同。</p><p><b>通胀引发货币收紧。</b>首先,从货币政策收紧的成因上来看,本轮加息缩表主要受到通胀的推动。上轮缩表前,美国经济已经步入复苏通道,制造业PMI稳定在荣枯线以上,失业率也创新低,就业市场整体良好,通胀水平一直以来在2%附近波动。而本轮就业市场虽也存在改善,但自2021年年中以来,美国通胀持续高企并逐步攀升,创下自大滞胀时期以来的新高,并且目前尚未出现见顶回落的迹象。</p><p><img src=\"https://static.tigerbbs.com/7576a05bc1a949508d2d4248ed308199\" tg-width=\"1029\" tg-height=\"612\" referrerpolicy=\"no-referrer\"/></p><p><b>加息抢跑防患未然。</b>其次,从全球货币政策的动向上来看,上轮缩表前,除个别新兴市场加息外,全球主要经济体未见明显收紧。而2021年下半年,随着美联储货币收紧预期上升,俄罗斯、巴西等新兴经济体先后采取预防性加息,防范汇率贬值、资本外流风险。今年以来,俄乌危机推动能源价格高企,为了抑制通胀,<b>全球多数央行都加快了货币收紧进程</b>。多个新兴市场经济体单次加息至少50个基点,新西兰、加拿大、韩国等发达经济体也进入加息队列,全球已经迎来新一轮加息潮。</p><p><img src=\"https://static.tigerbbs.com/d3afd5e4e00c4fa8a1fc0f261bafc20c\" tg-width=\"985\" tg-height=\"871\" referrerpolicy=\"no-referrer\"/></p><p><b>缩表加息紧密配合。</b>第三,从加息和缩表两种货币政策收紧方式的配合性上来看。持续几轮的量化宽松使得美联储资产负债表规模在上一轮缩表前夕,较金融危机发生前扩大近4倍,准备金过度宽裕令美联储试图将总<b>资产规模正常化</b>。同时,由于此前连续加息导致美元指数居高不下,通胀水平低位徘徊,当时在某种意义上,其实是以缩表作为加息的替代手段,这使得收紧方式上<b>更加灵活</b>,相对而言对于汇率和通胀的影响也比加息更为缓和。而反观本轮缩表,其主要目的在于配合加息这一方式,<b>加快抑制通胀上行</b>,缩减资产负债表和准备金规模回收过剩的流动性,特别是<b>推高长端利率进而扩大期限利差,为持续加息创造条件</b>。</p><p><img src=\"https://static.tigerbbs.com/73a89f02a52041679744bd5a198e62a4\" tg-width=\"1014\" tg-height=\"613\" referrerpolicy=\"no-referrer\"/></p><p><b>被动缩表为主,部分主动出售。</b>第四,从缩表的实施方式上来看,上轮缩表主要是通过减少到期资金再投资的方式来进行的被动缩表,而并没有采取主动缩表(在市场上出售尚未到期的持有证券)的形式。不过,根据3月美联储议息会议纪要,<b>本轮缩表方式以被动为主,但或主动出售未到期的MBS。</b>一方面,3月议息会议上与会官员认为,MBS本金提前还款可能会低于缩表的每月上限。纽约联储和里士满联储研究估算,MBS提前偿还月均规模约在240-250亿左右,低于MBS缩减上限。另一方面,联储预计未来持有资产组合应主要由国债构成,考虑主动出售MBS是合适的。</p><p><img src=\"https://static.tigerbbs.com/dc95bfdf73c74954b55706a9dcfc835e\" tg-width=\"1042\" tg-height=\"627\" referrerpolicy=\"no-referrer\"/></p><p><b>缩表速度明显加快。</b>第五,从缩表的速度上来看。美联储在加息已达四次,历经22个月后才正式启动上轮缩表,首月缩减目标定为60亿的美国国债与40亿的MBS,并每三个月分别提高60亿和40亿额度,历时一年达到每月300亿美债及200亿MBS的缩减上限。在持续7个月后,美联储开始降低缩表上限,首次将国债和MBS上限分别降至150亿和200亿额度,再历经3个月后将二者上限降为零。而本轮缩表从时间上来看,美联储推进节奏明显加快,加息与缩表时间间隔或降至2个月,且最快或于缩表后3个月就达到每月600亿美债及350亿MBS的缩减上限。</p><p><img src=\"https://static.tigerbbs.com/eeacdf4a12cb48feab3e4da6108ca8ea\" tg-width=\"1021\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>缩表强度有所提升。</b>第六,从缩表的强度上来看。上次缩表过程中,美联储目标缩减规模占联储总资产比重最高约1.3%,占GDP比重最高约0.24%。尽管本次缩减上限提升至950亿美元且缩减速度大幅提升,但由于目前美联储达到历史最高规模的总资产,目标缩减规模占联储总资产比重未见明显变化,约为1.1%,而目标缩减规模占GDP比重约为0.41%,相较上轮明显提升。</p><p><img src=\"https://static.tigerbbs.com/560e37ba85754134b4140c53a89691a0\" tg-width=\"1040\" tg-height=\"627\" referrerpolicy=\"no-referrer\"/></p><p><b>缩表影响提前应对。</b>第七,从缩表影响的预防应对上来看。流动性危机是美联储终止上轮缩表进程的主要原因。金融危机后,为增强银行系统抵御流动性风险的能力,美联储在监管方面提高了对流动性资产的要求。2019年9月,由于缩表、缴税和国债认购缴款三重因素叠加,隔夜拆借利率一度飙升至10%,联邦基金利率也一度突破目标上限升至2.3%,迫使纽约联储近十年来首次出手干预隔夜回购市场,<b>流动性短缺最终导致美联储退出缩表</b>。本次联储充分吸取上轮缩表所暴露出的流动性问题,提前设立常备回购便利工具,尽可能保证市场流动性的充裕。</p><p><img src=\"https://static.tigerbbs.com/28895693a9c642b884a4f059e48857c4\" tg-width=\"1023\" tg-height=\"609\" referrerpolicy=\"no-referrer\"/></p><p><b>缩表规模远超上轮。</b>最后,从缩表的总规模上来看。在2017年-2019年整个缩表周期中,联储目标缩减规模为7550亿美元,实际缩减了约6500亿美元的总资产,占缩表前美联储总资产规模的15%,占当年GDP规模约3%。考虑到目前准备金充足,流动性较为宽松,本次加息进程不会因此重蹈覆辙。但未来若通胀势头有所遏制,加息缩表进程或也不排除提前结束。参照上轮缩表经验以及近期联储官员发言,准备金规模占名义GDP比例为8%时,市场流动性较为合适。若按IMF预测美国2023年名义GDP为26.7万亿,则合意准备金规模约为2.14万亿美元,粗略估算本轮缩表规模1.63万亿,占现有总资产规模的18.2%,缩表持续约18个月至2023年底结束。</p><p><img src=\"https://static.tigerbbs.com/015d51beb2ab46118d5e35bb5a5d0535\" tg-width=\"1014\" tg-height=\"612\" referrerpolicy=\"no-referrer\"/></p><p><b>2、缩表如何影响流动性环境?</b></p><p><b>美联储缩表对利率水平的影响存在三大传导路径。</b>美联储资产负债表的扩张是在短期利率无法突破0利率下限约束的情况下,通过继续购买中长期国债,释放流动性并压平收益率曲线,降低长期限利率水平,从而达到继续刺激经济的手段。而<b>缩表本质上是对扩表的逆向操作。一方面</b>,通过降低负债端的准备金规模减少货币供给(量)。<b>另一方面</b>,通过释放政策信号与资产组合再平衡的途径推高利率水平(价)。</p><p><img src=\"https://static.tigerbbs.com/f3cbd4846cec482586a5a0e39c382859\" tg-width=\"1046\" tg-height=\"864\" referrerpolicy=\"no-referrer\"/></p><p><b>短端利率也会上行。</b>加息主要通过提高资金借贷成本来抑制货币需求,而缩表则直接通过影响货币供给进而推升短端利率。如果剔除加息对短端利率的影响后来看,缩表对短期利率推升事实上也有一定贡献。从上一轮缩表时期来看,短期国债收益率与基准利率目标的差值在美联储缩表前后变化明显,缩表后提高约0.2个百分点。</p><p><img src=\"https://static.tigerbbs.com/72012418d8eb40b08be2fba8a69e4ab9\" tg-width=\"1017\" tg-height=\"609\" referrerpolicy=\"no-referrer\"/></p><p><b>长端利率明显推升。</b>美联储缩表主要通过信号和资产组合再平衡途径影响长端利率。<b>一方面</b>,美联储释放资产负债表正常化信号,进行前瞻指引,改变收益率曲线预期,引导长端利率上行。<b>另一方面</b>,美联储持有长久期资产逐步下降,市场长久期资产供给上升,从而推高长端利率水平。根据Bauer and Neely(2012)的研究发现,GDP规模1%的美联储资产负债表变动将带来十年期国债收益率的变化约8bp,若按照缩表950亿美元的最大规模,预计每月将推升十年期国债收益率约3.3bp,每年的影响大约有0.4个百分点之多。</p><p><img src=\"https://static.tigerbbs.com/2c641c1f98db4e30b518044ee16e8a80\" tg-width=\"1011\" tg-height=\"606\" referrerpolicy=\"no-referrer\"/></p><p><b>美联储缩表将显著降低流动性水平。</b>美联储缩表将同时使得资产和负债端规模有所下降。上轮美联储QE期间,准备金规模大幅上升至2.5万亿美元,并长期维持在这一水平附近。而上一轮缩表开始后,准备金规模大幅下降至约1.5万亿美元左右,隔夜逆回购规模也由2000亿美元降至0。</p><p><img src=\"https://static.tigerbbs.com/0824d93953e841968a3d250d0e23a38f\" tg-width=\"1020\" tg-height=\"611\" referrerpolicy=\"no-referrer\"/></p><p><b>流动性危机短期或不会再现。</b>不过,我们认为,本轮缩表发生流动性危机的风险不高。<b>一方面</b>,市场现存流动性较高,准备金规模保持在4万亿左右的水平,隔夜逆回购规模也维持在1.6万亿的较高水平,远高于每月950亿美元的缩表规模。<b>另一方面</b>,美联储于2021年将国内和国外回购便利设立为常备,用于及时向市场提供流动性,新工具将有效平滑市场流动性波动。</p><p><img src=\"https://static.tigerbbs.com/ef8931ddcdc54ed58a54093ca5ab1815\" tg-width=\"1017\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>主动出售MBS或将推高房贷利率。</b>随着美联储加速收紧货币政策,美国各期限国债收益率均有上升,带动30年期固定抵押贷款利率升破5%,创2011年以来新高。从历史数据来看,房贷利率抬升将提高居民购房成本,抑制购买需求,使房地产市场承压。本轮缩表周期中,美联储大概率将主动出售其持有的机构MBS,或进一步推高抵押贷款利率。</p><p><img src=\"https://static.tigerbbs.com/b99c41fbe3b84095879c0adc27ed6667\" tg-width=\"1022\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>3、缩表下的全球资产变局</b></p><p><b>上轮缩表冲击新兴市场。</b>美联储缩表对于大类资产表现会有怎样的影响?我们不妨先从上轮缩表中寻找线索。我们把上一轮美联储缩表过程划分为缩表开始至半年、达到缩减上限(一年)和整个缩表时期(时长约两年)三个阶段,并分别计算各类资产的收益表现。我们发现,<b>上次缩表对于新兴市场的冲击较大,发达经济体内部则出现比较明显的分化。</b>随着美联储缩表的进行,新兴市场需求占比更高的大宗商品价格明显回落,新兴市场指数也逐步调整,但发达经济体需求占比更高的原油和股指表现相对较好。</p><p><img src=\"https://static.tigerbbs.com/6b8da395bcf04d8792a296aa315b603b\" tg-width=\"1019\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>从行业表现上来看,信息技术涨幅明显,可选消费好于必选。</b>美联储上一轮缩表对于美股各行业表现的影响,整体来看,以信息技术行业涨幅最为突出。而消费板块存在显著分化,可选消费表现名列前茅,但必选消费则相对落后。不过,随着美联储缩表进程的推进,房地产、必选消费和公共事业表现则逐步改善。</p><p><img src=\"https://static.tigerbbs.com/50cf9c0220f14fd1a04ee998d7329dcd\" tg-width=\"1019\" tg-height=\"655\" referrerpolicy=\"no-referrer\"/></p><p><b>美股一枝独秀,其它市场多数下行。</b>全球主要市场股市在上一轮美联储缩表期间呈现震荡态势,但走势上差异较大。其中,除美国以外的发达市场和新兴市场受到缩表冲击更大,呈现出震荡下行走势。而美股在美联储缩表开始后的一年时间内保持上行并创新高。各市场股指在2018年9月至2019年2月均出现短暂回撤,随后走势继续分化。</p><p><img src=\"https://static.tigerbbs.com/8fee8a5cf5d1402d914544119d798119\" tg-width=\"1015\" tg-height=\"610\" referrerpolicy=\"no-referrer\"/></p><p><b>新兴市场风险已有释放。</b>上一轮美联储资产负债表扩张期间,资金大举流向新兴市场,推高了新兴市场的股指表现,直到2013年美联储开始逐步收紧货币政策,全球资金形成回流,发达经济体市场表现较新兴市场更好,而当美联储开始缩表,新兴市场资金进一步流出。不过,本轮QE期间,新兴市场表现事实上不及发达市场。虽然本次货币收紧节奏较快,加息缩表近乎完全重叠,但考虑到新兴市场今年以来资金有所流出,股指已经回调,风险已有一定释放。</p><p><img src=\"https://static.tigerbbs.com/0387aaac6d684000a293b8abfe31ae00\" tg-width=\"1018\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>资金流入规模不足上轮一半。</b>在上轮美联储QE期间,新兴市场股债资金净流入约1.3万亿美元,约占美联储资产负债表变动规模近60%。而本轮QE期间,截至2021年底新兴市场股债资金净流入约5700亿美元,不足上轮的一半,且仅占美联储资产负债表变动规模约13%。此外,<b>多数新兴市场经济体已经进行了预防性加息,因而资本进一步外流的规模可能相对有限</b>。</p><p><img src=\"https://static.tigerbbs.com/6ea99419ab1a44a0bc507c339e0f6c0d\" tg-width=\"1042\" tg-height=\"623\" referrerpolicy=\"no-referrer\"/></p><p><b>债市利率易上难下。</b>从历史表现上来看,我国国债收益率多数情况下和美债收益率走势一致。但在上轮美联储缩表期间,由于美联储收紧货币,而国内继续保持偏宽松的状态,导致两国利差收窄。上轮美联储缩表后期,由于市场出现流动性危机,美联储开始降息并停止缩表,带动美债收益率下行,中美利差再度扩大。当前中美利差倒挂已然出现,随着美债收益率水平的抬升,我们认为,国内以降准降息为代表的货币政策宽松空间受制,国内债市收益率水平易上难下。</p><p><img src=\"https://static.tigerbbs.com/a34509811861401da679c9d2b8fce9f6\" tg-width=\"1018\" tg-height=\"608\" referrerpolicy=\"no-referrer\"/></p><p><b>美元维持强势,汇率贬值压力加大。</b>上轮美联储实施缩表使得美国货币政策较欧元区边际收紧,推动美元指数上行。总体来看,随着美联储缩表的不断进行,多数货币较美元贬值,跌幅逐步扩大,但上轮缩表期间泰铢和日元的表现相对较好。而目前美元指数已经超过100,这轮缩表或给全球主要货币都会带来一定的贬值压力。</p><p><img src=\"https://static.tigerbbs.com/5f402c7ee3a74a64953d4aebd576d889\" tg-width=\"1014\" tg-height=\"605\" referrerpolicy=\"no-referrer\"/></p><p><b>供给冲击主导,价格恐居高不下。</b>能源商品在上轮美联储缩表的前中期表现较好,有色金属中除镍以外,均表现较差。而在上轮美联储的整个缩表期间,贵金属呈现先跌后升的局面。<a href=\"https://laohu8.com/S/000061\">农产品</a>中,玉米和大豆走势有所分化。当前来看,能源价格的上行主要来自供给冲击,很可能难以被美元走高所压制,全球定价的大宗商品,特别是受到供给约束的工业品,价格或将居高不下。</p><p><img src=\"https://static.tigerbbs.com/873be73c90154fa3aeebabbfb73560e6\" tg-width=\"1048\" tg-height=\"625\" referrerpolicy=\"no-referrer\"/></p><p><b>风险提示:政策变动,经济恢复不及预期。</b></p></body></html>\n\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/a8fca69a364eb1ccaf6e9078f1721480","relate_stocks":{".DJI":"道琼斯"},"source_url":"","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"2232733784","content_text":"5月美联储议息会议召开在即,除去加息之外,很可能会公布关于美联储缩表的路径、方式等细节内容。那么,在疫情后时代的环境之下,美联储本轮缩表与上轮有何不同?又会怎样影响经济和资本市场?本报告对此进行展开分析。概要这次缩表有什么不一样?首先,从货币收紧的成因上来看,本轮加息缩表主要受到通胀的推动。其次,从全球货币政策的动向上来看,上轮缩表前,除个别新兴市场加息外,全球主要经济体未见明显收紧,而本轮缩表前,全球多数央行都加快了货币收紧进程。第三,从加息和缩表两种货币政策收紧方式的配合性上来看,本次缩表两者协同性更高。第四,从实施方式上来看,本轮缩表方式以被动为主,但或主动出售部分未到期的MBS。第五,从缩表的速度上来看,本轮推进节奏明显加快,加息与缩表间隔或由上轮的22个月降至2个月。第六,从强度上来看,本次缩减的目标规模占GDP比重相较上轮明显提升。第七,从缩表影响的预防应对上来看,本次联储提前设立常备回购便利工具,尽可能保证市场流动性的充裕。最后,从缩表的总规模上来看,我们估算,本轮缩表约达1.63万亿,也远超上轮,并持续约18个月至2023年底结束。缩表如何影响流动性环境?美联储缩表对利率水平的影响存在三大传导路径。一方面,通过降低负债端的准备金规模减少货币供给(量)。另一方面,通过释放政策信号与资产组合再平衡的途径推高利率水平(价)。缩表对于短端利率也会有一定推升,而在长端利率上的作用效果更为明显,我们预计,本轮缩表每年约推升十年期美国国债收益率0.4个百分点。虽然缩表将显著降低流动性水平,但流动性危机短期或不会再现。一方面,市场现存流动性较高。另一方面,美联储设立新工具将有效平滑市场流动性波动。不过,在本轮缩表周期中,美联储大概率将主动出售其持有的机构MBS,或进一步推高抵押贷款利率。缩表下的全球资产变局。上轮缩表对新兴市场冲击较大,发达经济体内部表现则有所分化。从美股的行业表现上来看,信息技术涨幅明显,消费板块显著分化,可选消费好于必选,不过房地产、必选消费和公共事业的板块表现则随着美联储缩表的推进而逐步改善。全球股指方面,上轮缩表时期美股一枝独秀,而其它市场多数下行。新兴市场风险已有释放。不过,本轮QE期间,新兴市场表现事实上不及发达市场。考虑到新兴市场今年以来资金有所流出,股指已经回调,风险已有一定释放。截至2021年底新兴市场资金流入约5700亿美元,不足上轮QE期间的一半。多数新兴市场经济体已经进行了预防性加息,因而资本进一步外流的规模可能相对有限。从历史经验来看,上轮美联储缩表期间,中美利差因货币政策错位先收窄后扩大,当前中美利差倒挂已然出现,我们认为,国内以降准降息为代表的货币政策宽松空间受制,国内债市收益率水平易上难下。汇率方面,美元维持强势,或给全球其它主要货币带来一定的贬值压力。目前来看,能源价格的上行主要来自供给冲击,很可能难以被美元走高所压制,全球定价的大宗商品,特别是受到供给约束的工业品,价格或将居高不下。1、这次缩表有什么不一样?在经历过几轮QE之后,2017年美联储正式宣布缩表,直至2019年结束,虽然其作为少数可供参照的缩表时期,但是,本轮缩表很可能与上一轮存在较大的不同。通胀引发货币收紧。首先,从货币政策收紧的成因上来看,本轮加息缩表主要受到通胀的推动。上轮缩表前,美国经济已经步入复苏通道,制造业PMI稳定在荣枯线以上,失业率也创新低,就业市场整体良好,通胀水平一直以来在2%附近波动。而本轮就业市场虽也存在改善,但自2021年年中以来,美国通胀持续高企并逐步攀升,创下自大滞胀时期以来的新高,并且目前尚未出现见顶回落的迹象。加息抢跑防患未然。其次,从全球货币政策的动向上来看,上轮缩表前,除个别新兴市场加息外,全球主要经济体未见明显收紧。而2021年下半年,随着美联储货币收紧预期上升,俄罗斯、巴西等新兴经济体先后采取预防性加息,防范汇率贬值、资本外流风险。今年以来,俄乌危机推动能源价格高企,为了抑制通胀,全球多数央行都加快了货币收紧进程。多个新兴市场经济体单次加息至少50个基点,新西兰、加拿大、韩国等发达经济体也进入加息队列,全球已经迎来新一轮加息潮。缩表加息紧密配合。第三,从加息和缩表两种货币政策收紧方式的配合性上来看。持续几轮的量化宽松使得美联储资产负债表规模在上一轮缩表前夕,较金融危机发生前扩大近4倍,准备金过度宽裕令美联储试图将总资产规模正常化。同时,由于此前连续加息导致美元指数居高不下,通胀水平低位徘徊,当时在某种意义上,其实是以缩表作为加息的替代手段,这使得收紧方式上更加灵活,相对而言对于汇率和通胀的影响也比加息更为缓和。而反观本轮缩表,其主要目的在于配合加息这一方式,加快抑制通胀上行,缩减资产负债表和准备金规模回收过剩的流动性,特别是推高长端利率进而扩大期限利差,为持续加息创造条件。被动缩表为主,部分主动出售。第四,从缩表的实施方式上来看,上轮缩表主要是通过减少到期资金再投资的方式来进行的被动缩表,而并没有采取主动缩表(在市场上出售尚未到期的持有证券)的形式。不过,根据3月美联储议息会议纪要,本轮缩表方式以被动为主,但或主动出售未到期的MBS。一方面,3月议息会议上与会官员认为,MBS本金提前还款可能会低于缩表的每月上限。纽约联储和里士满联储研究估算,MBS提前偿还月均规模约在240-250亿左右,低于MBS缩减上限。另一方面,联储预计未来持有资产组合应主要由国债构成,考虑主动出售MBS是合适的。缩表速度明显加快。第五,从缩表的速度上来看。美联储在加息已达四次,历经22个月后才正式启动上轮缩表,首月缩减目标定为60亿的美国国债与40亿的MBS,并每三个月分别提高60亿和40亿额度,历时一年达到每月300亿美债及200亿MBS的缩减上限。在持续7个月后,美联储开始降低缩表上限,首次将国债和MBS上限分别降至150亿和200亿额度,再历经3个月后将二者上限降为零。而本轮缩表从时间上来看,美联储推进节奏明显加快,加息与缩表时间间隔或降至2个月,且最快或于缩表后3个月就达到每月600亿美债及350亿MBS的缩减上限。缩表强度有所提升。第六,从缩表的强度上来看。上次缩表过程中,美联储目标缩减规模占联储总资产比重最高约1.3%,占GDP比重最高约0.24%。尽管本次缩减上限提升至950亿美元且缩减速度大幅提升,但由于目前美联储达到历史最高规模的总资产,目标缩减规模占联储总资产比重未见明显变化,约为1.1%,而目标缩减规模占GDP比重约为0.41%,相较上轮明显提升。缩表影响提前应对。第七,从缩表影响的预防应对上来看。流动性危机是美联储终止上轮缩表进程的主要原因。金融危机后,为增强银行系统抵御流动性风险的能力,美联储在监管方面提高了对流动性资产的要求。2019年9月,由于缩表、缴税和国债认购缴款三重因素叠加,隔夜拆借利率一度飙升至10%,联邦基金利率也一度突破目标上限升至2.3%,迫使纽约联储近十年来首次出手干预隔夜回购市场,流动性短缺最终导致美联储退出缩表。本次联储充分吸取上轮缩表所暴露出的流动性问题,提前设立常备回购便利工具,尽可能保证市场流动性的充裕。缩表规模远超上轮。最后,从缩表的总规模上来看。在2017年-2019年整个缩表周期中,联储目标缩减规模为7550亿美元,实际缩减了约6500亿美元的总资产,占缩表前美联储总资产规模的15%,占当年GDP规模约3%。考虑到目前准备金充足,流动性较为宽松,本次加息进程不会因此重蹈覆辙。但未来若通胀势头有所遏制,加息缩表进程或也不排除提前结束。参照上轮缩表经验以及近期联储官员发言,准备金规模占名义GDP比例为8%时,市场流动性较为合适。若按IMF预测美国2023年名义GDP为26.7万亿,则合意准备金规模约为2.14万亿美元,粗略估算本轮缩表规模1.63万亿,占现有总资产规模的18.2%,缩表持续约18个月至2023年底结束。2、缩表如何影响流动性环境?美联储缩表对利率水平的影响存在三大传导路径。美联储资产负债表的扩张是在短期利率无法突破0利率下限约束的情况下,通过继续购买中长期国债,释放流动性并压平收益率曲线,降低长期限利率水平,从而达到继续刺激经济的手段。而缩表本质上是对扩表的逆向操作。一方面,通过降低负债端的准备金规模减少货币供给(量)。另一方面,通过释放政策信号与资产组合再平衡的途径推高利率水平(价)。短端利率也会上行。加息主要通过提高资金借贷成本来抑制货币需求,而缩表则直接通过影响货币供给进而推升短端利率。如果剔除加息对短端利率的影响后来看,缩表对短期利率推升事实上也有一定贡献。从上一轮缩表时期来看,短期国债收益率与基准利率目标的差值在美联储缩表前后变化明显,缩表后提高约0.2个百分点。长端利率明显推升。美联储缩表主要通过信号和资产组合再平衡途径影响长端利率。一方面,美联储释放资产负债表正常化信号,进行前瞻指引,改变收益率曲线预期,引导长端利率上行。另一方面,美联储持有长久期资产逐步下降,市场长久期资产供给上升,从而推高长端利率水平。根据Bauer and Neely(2012)的研究发现,GDP规模1%的美联储资产负债表变动将带来十年期国债收益率的变化约8bp,若按照缩表950亿美元的最大规模,预计每月将推升十年期国债收益率约3.3bp,每年的影响大约有0.4个百分点之多。美联储缩表将显著降低流动性水平。美联储缩表将同时使得资产和负债端规模有所下降。上轮美联储QE期间,准备金规模大幅上升至2.5万亿美元,并长期维持在这一水平附近。而上一轮缩表开始后,准备金规模大幅下降至约1.5万亿美元左右,隔夜逆回购规模也由2000亿美元降至0。流动性危机短期或不会再现。不过,我们认为,本轮缩表发生流动性危机的风险不高。一方面,市场现存流动性较高,准备金规模保持在4万亿左右的水平,隔夜逆回购规模也维持在1.6万亿的较高水平,远高于每月950亿美元的缩表规模。另一方面,美联储于2021年将国内和国外回购便利设立为常备,用于及时向市场提供流动性,新工具将有效平滑市场流动性波动。主动出售MBS或将推高房贷利率。随着美联储加速收紧货币政策,美国各期限国债收益率均有上升,带动30年期固定抵押贷款利率升破5%,创2011年以来新高。从历史数据来看,房贷利率抬升将提高居民购房成本,抑制购买需求,使房地产市场承压。本轮缩表周期中,美联储大概率将主动出售其持有的机构MBS,或进一步推高抵押贷款利率。3、缩表下的全球资产变局上轮缩表冲击新兴市场。美联储缩表对于大类资产表现会有怎样的影响?我们不妨先从上轮缩表中寻找线索。我们把上一轮美联储缩表过程划分为缩表开始至半年、达到缩减上限(一年)和整个缩表时期(时长约两年)三个阶段,并分别计算各类资产的收益表现。我们发现,上次缩表对于新兴市场的冲击较大,发达经济体内部则出现比较明显的分化。随着美联储缩表的进行,新兴市场需求占比更高的大宗商品价格明显回落,新兴市场指数也逐步调整,但发达经济体需求占比更高的原油和股指表现相对较好。从行业表现上来看,信息技术涨幅明显,可选消费好于必选。美联储上一轮缩表对于美股各行业表现的影响,整体来看,以信息技术行业涨幅最为突出。而消费板块存在显著分化,可选消费表现名列前茅,但必选消费则相对落后。不过,随着美联储缩表进程的推进,房地产、必选消费和公共事业表现则逐步改善。美股一枝独秀,其它市场多数下行。全球主要市场股市在上一轮美联储缩表期间呈现震荡态势,但走势上差异较大。其中,除美国以外的发达市场和新兴市场受到缩表冲击更大,呈现出震荡下行走势。而美股在美联储缩表开始后的一年时间内保持上行并创新高。各市场股指在2018年9月至2019年2月均出现短暂回撤,随后走势继续分化。新兴市场风险已有释放。上一轮美联储资产负债表扩张期间,资金大举流向新兴市场,推高了新兴市场的股指表现,直到2013年美联储开始逐步收紧货币政策,全球资金形成回流,发达经济体市场表现较新兴市场更好,而当美联储开始缩表,新兴市场资金进一步流出。不过,本轮QE期间,新兴市场表现事实上不及发达市场。虽然本次货币收紧节奏较快,加息缩表近乎完全重叠,但考虑到新兴市场今年以来资金有所流出,股指已经回调,风险已有一定释放。资金流入规模不足上轮一半。在上轮美联储QE期间,新兴市场股债资金净流入约1.3万亿美元,约占美联储资产负债表变动规模近60%。而本轮QE期间,截至2021年底新兴市场股债资金净流入约5700亿美元,不足上轮的一半,且仅占美联储资产负债表变动规模约13%。此外,多数新兴市场经济体已经进行了预防性加息,因而资本进一步外流的规模可能相对有限。债市利率易上难下。从历史表现上来看,我国国债收益率多数情况下和美债收益率走势一致。但在上轮美联储缩表期间,由于美联储收紧货币,而国内继续保持偏宽松的状态,导致两国利差收窄。上轮美联储缩表后期,由于市场出现流动性危机,美联储开始降息并停止缩表,带动美债收益率下行,中美利差再度扩大。当前中美利差倒挂已然出现,随着美债收益率水平的抬升,我们认为,国内以降准降息为代表的货币政策宽松空间受制,国内债市收益率水平易上难下。美元维持强势,汇率贬值压力加大。上轮美联储实施缩表使得美国货币政策较欧元区边际收紧,推动美元指数上行。总体来看,随着美联储缩表的不断进行,多数货币较美元贬值,跌幅逐步扩大,但上轮缩表期间泰铢和日元的表现相对较好。而目前美元指数已经超过100,这轮缩表或给全球主要货币都会带来一定的贬值压力。供给冲击主导,价格恐居高不下。能源商品在上轮美联储缩表的前中期表现较好,有色金属中除镍以外,均表现较差。而在上轮美联储的整个缩表期间,贵金属呈现先跌后升的局面。农产品中,玉米和大豆走势有所分化。当前来看,能源价格的上行主要来自供给冲击,很可能难以被美元走高所压制,全球定价的大宗商品,特别是受到供给约束的工业品,价格或将居高不下。风险提示:政策变动,经济恢复不及预期。","news_type":1},"isVote":1,"tweetType":1,"viewCount":1702,"authorTweetTopStatus":1,"verified":2,"comments":[],"imageCount":0,"langContent":"CN","totalScore":0},{"id":616362091,"gmtCreate":1651492480528,"gmtModify":1651492480528,"author":{"id":"4088697337305540","authorId":"4088697337305540","name":"Wwqj","avatar":"https://static.tigerbbs.com/d47900ede61ad5e29478b929047decf8","crmLevel":1,"crmLevelSwitch":0,"followedFlag":false,"authorIdStr":"4088697337305540","idStr":"4088697337305540"},"themes":[],"htmlText":"<a 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href=\"https://laohu8.com/S/.IXIC\">$纳斯达克(.IXIC)$</a>拿出V斯达克的气势出来","listText":"<a 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