Markets Weekly December 2, 2023
发布时间 2023-12-02 19:02:09 来源
Hello, my friends. Today is December 2nd, and this is Markets Weekly. I hope all of you had a fantastic Thanksgiving break because we have a lot to talk about. This past week was an exciting week in Global Macro.
大家好，我的朋友们。今天是12月2日，欢迎来到本期的《市场周报》。希望你们都度过了愉快的感恩节假期，因为我们有很多事情要讨论。上周在全球宏观经济领域发生了许多令人激动的事情。
First, let's talk about the tremendous, tremendous rally we've seen in US interest rates. Let's break it down and see what's driving it.
首先，让我们来谈一谈美国利率所经历的巨大急剧上升。让我们分析一下是什么推动了这种变化。
Secondly, let's talk about how the decline in interest rates is fading through to other asset classes, from equities to effects to commodities.
其次，让我们谈谈利率下降对其他资产类别的影响，从股票、汇率到大宗商品。
And lastly, I want to talk a little bit about what's going on in the US banking sector based on the latest data from the FDIC, and we'll see how once again the doomers are totally and completely wrong.
最后，我想稍微谈谈根据美国联邦存款保险公司的最新数据所了解到的美国银行业的情况，我们将看到一次又一次的末日论者完全错误的预测。
Okay, starting with US interest rates. So this past week, we saw a huge decline in the 10-year treasury yield by about 30 basis points, continuing its decline over the past few weeks.
好的，从美国利率开始。所以在过去的一周里，我们看到了10年期国债收益率大幅下降，大约下降了30个基点，延续了过去几周的下降趋势。
Now, when we see declines in US interest rates, we can break it down into two components. Now, the decline could be due to a change in the markets' expectation of the path of Fed policy, or it could be a decline in the premium that the market is demanding to hold treasury securities.
现在，当我们看到美国利率下降时，我们可以将其分为两个组成部分。现在，这种下降可能是由于市场对美联储政策路径预期的变化，或者是市场对持有国债证券的权益溢价的下降。
The way that we tease out the market's expectation of Fed policy going forward is to locate interest rate futures, in this case, sofor futures. So when you look at the implied path of Fed policy based on sofor futures, you walk away with a very striking result.
我们通过寻找利率期货的方式来揣摩市场对美联储政策的预期走向，特别是sofor期货。因此，当您根据sofor期货推断美联储政策走势时，会得出一个非常惊人的结果。
Over the past week, market has significantly, significantly, reprised their Fed policy expectations. As of Friday, the market is pricing in a better than even chance of rate cuts beginning next March. And not just that, they're pricing in as many as five cuts the next year. Now, that's a huge change.
在过去的一周里，市场出现了显著、显著的重新定价美联储政策的预期。截至上周五，市场正在定价明年三月开始降息甚至超过一半的机会。并且不仅仅如此，他们正在定价明年可能会有多达五次降息。现在，这是一个巨大的变化。
If you just think back a couple months ago, the market was saying, you know, maybe the Fed is going to cut starting the second half of next year, and they're probably going to not going to cut a lot. The market has really changed its mind, which should not be a surprise to any of you.
如果您回想一下几个月前，市场的声音是，您知道吧，也许联邦储备局将在明年下半年开始降息，并且幅度可能不会很大。市场的看法确实发生了很大变化，这对您们中的任何人都不应该感到惊讶。
Over the past six weeks, I've discussed how we've had very good progress on inflation and that the rise of long-roaded treasury yields is tightening policy. So the Fed probably doesn't have to stay as hawkish as long as it has been saying, and it's probably going to cut earlier than expected.
在过去的六周里，我已经谈论了我们在通胀方面取得了非常好的进展，并且长期国债收益率的上升正在收紧货币政策。因此，联邦储备系统可能不必像一直所说的那样持鹰派立场，并且可能会比预期提前进行减息。
Now, that being said, what I see in the markets is, again, from my personal perspective, way too aggressive, and the market is again going to its bad habit of just assuming that the Fed is just going to massively cut interest rates. I think that this is probably going to be wrong, but we still have, you know, it's three to four cuts next year.
现在，话虽如此，但从我的个人观点来看，我认为市场上的情况过于激进，市场再次陷入一种坏习惯，即假设联邦储备委员会会大规模降低利率。我认为这可能是错误的，但我仍然认为明年会有三到四次降息。
Now, why did the market suddenly get, begin to reprice so aggressively this past week? I think that the reason has to do with what Governor Waller said. Now, Governor Waller doing a great job, but also a noted hawk over the past two years.
现在，为什么市场在过去的一周里突然开始如此激烈地重新定价呢？我认为原因与沃勒州长说的话有关。沃勒州长在过去两年间表现出色，但也被认为是一个坚定鹰派。
Let's see what he said this past week. Now, if you think about in central banking, we talk about a Taylor rule or various types of Taylor rules to kind of give us a rule of thumb about how we think we should set policy.
让我们来看看他在上周说了什么。现在，如果你考虑到中央银行的情况，我们谈论的是泰勒法则或不同类型的泰勒法则，以提供给我们一个经验法则，告诉我们如何制定政策。
And every one of those things would say, if inflation's coming down, you don't need to keep, you know, once you get rates are inflation down low enough, you don't necessarily have to keep rates up at those levels.
每一件事都会表明，如果通货膨胀在下降，你就不需要继续保持，你知道的，一旦通胀率降低到足够低的水平，你并不一定需要保持利率在那个水平上。
So there's certainly good economic arguments from any kind of standard Taylor rule that would tell you if inflation, if we see this inflation continuing for several more months, I don't know how long that might be, three months, four months, five months, that we feel confident that inflation is really down and on its way, that you could then start lowering the policy rate just because inflation's lower.
因此，无论采用何种标准泰勒规则，都存在着一些有利的经济论据，告诉你如果通胀情况持续数月，我不知道可能有多久，可能是三个月、四个月、五个月，我们就能有信心地认为通胀真的下降并且正在走向正常水平，那么你可以开始降低政策利率，仅仅因为通胀率降低了。
It has nothing to do with trying to save the economy or recession. Now, it sounds like Governor Waller is saying that, you know, if we continue to have very positive inflation prints, I'm open to cutting interest rates in a few months. And the market, of course, heard this and just ran with it.
这与试图拯救经济或应对经济衰退无关。现在，沃勒州长似乎在说，如果我们继续出现非常积极的通胀数据，我愿意在几个月内降低利率。当然，市场听到了这一消息，迅速做出了反应。
Now, before, before we move on, I'd like to also address an alternative explanation. So some of the doomers I hear are thinking that we're pricing in aggressive cuts because the economy is falling apart.
现在，在我们继续之前，我想提出另外一个解释。所以，我听到有些悲观的人认为我们正在定价激进的减产，因为经济正在崩溃。
But we also got some pretty good economic data the past week. We got the second revision of third quarter GDP. Now, to level set, US GDP growth, potential US GDP growth is thought to be about 1.8, basically slightly below 2%.
但是，上周我们也获得了一些相当不错的经济数据。我们得到了第三季度GDP的第二次修订数据。现在，为了调整标准，美国的GDP增长，潜在的美国GDP增长预计约为1.8，基本上略低于2%。
First quarter will be grew above 2%, second quarter we grew above 2%, and third quarter we grew at 4.9%, which is bumpers. So throughout the year, we basically be growing GDP above trend.
第一季度的增长率将超过2%，第二季度我们的增长率也将超过2%，而第三季度我们的增长率将达到4.9%，这是很不错的成绩。因此，在整个年度中，我们的GDP增长基本上将超过趋势水平。
The second revision of third quarter GDP revised the third quarter numbers a bit. It revised them higher. And not just that, it revised inflation lower. So the revised data shows that the US economy continues to be fine.
第二次修订第三季度国内生产总值（GDP）稍微修正了第三季度的数据。修正的方向是上升的。不仅如此，它还修正了通货膨胀率下降的情况。因此，修订后的数据显示美国经济继续保持良好的状态。
So I think this doomer interpretation of what's happening in rates is totally wrong. It really does just seem to be a massive reprising and fed policy expectations that is probably too aggressive.
所以我认为对于利率走势的悲观看法是完全错误的。实际上，这似乎只是一次大规模的重新定价和对美联储政策预期的过于激进回应。
Now, let's talk about what this means to the broader markets. In my weekly blog post, I'll talk about how this in my perspective, I suggest the potential for a significant upside risk in equity markets.
现在我们来谈谈这对整个市场意味着什么。在我的每周博客文章中，我会谈论我个人的观点，我认为股票市场存在显著的上行风险。
But first, let's just look at what happened this past week. Now, of course, as we all know, when interest rates go down, that's bullish for risk assets. And the S&P 500 responded accordingly. We saw the S&P 500 do pretty well continuing. It's a persistent rise over the past few weeks.
首先，让我们先来看看上周发生了什么。当然，众所周知，当利率下降时，这对风险资产是有利的。标普500指数对此作出了相应的反应。我们看到标普500指数表现得相当不错，持续上涨了几周。
When you think of mechanisms, you can postulate a few. If you look at textbooks, they'll tell you that, oh, cash flows are discounted because with low interest rates, and so the present value is higher. There are probably some people who think that way, or you can think of it as people seeing the industries are lower.
当你思考机制时，你可以假设一些情况。如果你看教科书，它们会告诉你，啊，现金流量是因为低利率而贴现，所以现值会更高。可能有些人是这样想的，或者你可以认为人们看到行业价格降低了。
Maybe they prefer risk assets, or you can think of it as, let's say, your big portfolio manager, interest risk got cut, your bonds appreciated in value just to maintain your allocation. You sell a little bit of your bonds and you buy more equities. In any case, many potential mechanisms, but when you have a decline in interest rates, that's usually positive for equities.
也许他们更喜欢风险资产，或者你可以这样想，假设你是一位大型投资组合经理，利率风险被削减，你的债券升值只是为了保持你的配置。你卖掉一点债券，买更多的股票。无论如何，存在许多潜在的机制，但当利率下降时，通常对股票是有利的。
Now, the reprising in the path of fit policy, of course, is going to have a big impact on currency. And we saw the dollar sell off notably against, let's say, Canadian dollar, GBP, and the Japanese yen. But interestingly, the dollar didn't really sell off against the Euro, because we also got some pretty interesting news from the Eurozone.
现在，在适应政策的道路上的重新展开，当然会对货币产生重大影响。我们看到美元在加拿大元、英镑和日元方面明显下跌。但有趣的是，美元对欧元并没有真正下跌，因为我们也从欧元区得到了一些相当有趣的消息。
Now, Eurozone inflation looks like it's declining faster than expected. The market took one look at that and began to price in earlier than expected cuts from the ECB. So on the one hand, you had a reprising lower of Fed expectations. And on the other hand, you had a reprising lower of expectations of the ECB. And so that kind of washed out and led to the dollar a bit stronger against the euro over the week.
现在，欧元区的通胀看起来比预期下降得更快。市场一看到这个情况，就开始预期欧洲央行会进行早于预期的降息。一方面，美联储预期被重新定价为更低。另一方面，欧洲央行预期也被重新定价为更低。因此，这种情况抵消了美元对欧元在本周的一些加强。
Now, I suspect that as inflation has come down sooner than expected in the US and the Eurozone, we'll probably see some of that in other jurisdictions like Canada and the UK as well. So maybe going forward, we can also see policy expectations for the Central Bank of Canada and the Bank of England also come down a bit.
现在，我怀疑随着美国和欧元区的通胀早于预期的下降，我们很可能也会看到加拿大和英国等其他司法管辖区出现类似情况。所以，也许在未来，加拿大和英国的央行政策预期也会有所下降。
Now, of course, when we have a weaker dollar, that feeds through to commodities, which are priced in dollars. Now commodities, though, it's a bit more complicated because we have a lot of other supply and demand stuff going on because commodities are used in the real economy.
当我们的美元走弱时，这当然会对以美元计价的大宗商品产生影响。然而，对于大宗商品来说，情况要稍微复杂一些，因为我们还要考虑其他供需因素，毕竟大宗商品在实体经济中扮演着重要角色。
Looking at oil, for example, oil was moving a lot this past week, because we had these geopolitical components as to whether or not OPEC will cut and so forth. But overall, if you have a weaker dollar, you would expect commodities to rally. One of the purest reads on that, of course, is gold, which responds strongly to monetary policy. Now, this past week, we saw gold soar.
以石油为例，石油在过去一周内波动较大，因为我们涉及到是否OPEC将会减产等地缘政治因素。但总体而言，如果美元走弱，你会预期大宗商品会反弹。其中最直观的体现就是金价，它对货币政策反应强烈。现在，过去一周我们看到金价飙升。
And that could be, well, likely is because of the reevaluation of what's happening with Fed policy, plus reevaluation of what's happening to ECB monetary policy. And as we move towards a world where global central banks may be synchronized in their cutting, I would think that gold can continue to shine. And of course, as it goes up, you have even more people who go and chase momentum. So it seems like it's a very positive environment for gold going forward.
这可能是因为重新评估美联储政策和欧洲央行货币政策的影响。随着全球各央行可能采取协调的降息行动，黄金可能继续表现出色。当然，随着黄金价格上涨，还会有更多的人会追逐势头。所以看起来，黄金未来的前景非常积极。
And the last thing that I want to talk about, of course, is what's happening in the US banking sector. Now, if you think back earlier in the year, we had a panic involving Silicon Valley Bank and we had all sorts of doomers come out and say that, you know, the US banking system is solving because it has all these unrealized losses.
我想要讨论的最后一件事，当然是关于美国银行业发生的事情。现在，如果你回想一下年初，我们曾经出现了一个与硅谷银行有关的恐慌，各种末日论者纷纷出来说，美国银行体系正在解决问题，因为它拥有所有这些未实现的损失。
There's going to be many bank failures. And even if the bank doesn't fail because the short term interest reaches so high, you know, the banks are going to go bust because they're going to have negative interest rate income. And if you've been following over the past few months, I told you that was all complete nonsense. But doomers are going to doom.
将会有很多银行倒闭。即使银行不会因为短期利率过高而倒闭，你也知道，银行将因为负利率的收入而破产。如果你在过去几个月一直跟踪的话，我告诉过你那些都是完全的胡言乱语。但愤世嫉俗的人注定会朝着灾难的方向走。
So we got this new data from the FEIC showing the state of the US banking sector system as of a third quarter of this year. And it's positive. First though, let's look at how their loan portfolio is doing because banks can give you a very good reading on the health of the US economy.
所以我们从FEIC获取了这份新数据，展示了截至今年第三季度美国银行业系统的状况。而且情况是积极的。首先，让我们来看看他们的贷款组合表现如何，因为银行的情况可以很好地反映出美国经济的健康状况。
If banks start seeing a lot of defaults in their loan portfolio, well, that could mean that there's a lot of businesses and people struggling in the US economy.
如果银行开始看到他们的贷款组合中出现许多违约，这可能意味着美国经济中有许多企业和人民遇到困难。
When we look at data from the FEIC, we see that, you know, we see noncurrent, that is to say people not paying their, making their monthly payments, ticked up a little bit. And we can see that, say, charge offs, that is to say that defaults and never want to get that money back also increased a little bit. But we're seeing though that they're basically normalizing to the trend that prevailed over the past 10 years. It doesn't seem that the increases in noncurrent and charge offs are increasing in a meaningful way. And that's really in line with what you see in credit spreads, which are very narrow. And what you see in the GDP data, which shows an economy that continues to grow above trend.
当我们看到来自FEIC的数据时，我们可以看到，就是说，我们看到非流动资产，也就是说人们没有按时付款的情况有所增加。我们还可以看到，即拖欠款项，也就是说违约并且不想追回欠款的情况也有所增加。但我们看到的是它们基本上在趋势中逐渐恢复到过去10年的水平。不过，拖欠款项和违约的增加并没有以有意义的方式增加。这与信用利差非常小的情况以及GDP数据显示的经济仍保持超过趋势的增长相符。
So looking at the loan portfolio data, you can see that there really are no credit problems in the commercial banking sector. And so, you know, they're not going to have big losses there. I would also note that there's been an uptick in delinquencies when it comes to commercial real estate. But remember, the domestic US banking sector is about 20 trillion in assets. The uptake looks like it's about 20 billion in delinquencies. It could go higher, but at the end of the day, it's a fraction of a percent.
所以从贷款组合数据来看，你可以看到商业银行业没有真正的信用问题。因此，他们在那方面不会有大的损失。我还要指出，在商业房地产方面，拖欠款项有所增加。但要记住，美国国内银行业资产规模约为20万亿美元。这个增长看起来大约是拖欠款项200亿美元，可能会增加，但归根结底，这只是一个百分之几的比例。
Now then, let's look at their net interest income. Has it been the case that because the Fed hydrates to let's say five and a half percent and the commercial banks paying a lot of interest on their deposits are going bust? Well, actually, that's not the case at all either. Because as interest rates rose, their income, that they receive on their loans went up much faster than the interest rate expense they pay on their deposits.
现在，让我们来看他们的净利息收入。是否因为美联储将利率调整到5.5%左右，并且商业银行在存款上支付了大量利息，所以它们破产了？实际上，也并非如此。因为随着利率上升，他们从贷款中获得的收入增长速度比他们支付的存款利息要快得多。
Remember, overall, there's still a lot of people who hold deposits at banks who basically receive nothing. Maybe they don't care because they don't have that much money in the bank or maybe they value the convenience of having a checking deposit at a bank. In any case, you can see that net interest margins at banks remain basically in line with what they've been over the past few years. They've narrowed very, very, very slightly the past quarter. But as the Fed can expect to cut interest rates next year, they're probably going to re widen again. So net interest rate margin, interest income from the banking sector is totally fine. That was never going to be a problem.
记住，整体而言，仍然有很多人在银行持有存款，基本上收益微乎其微。也许他们不在意，因为他们在银行的存款并不多，或者他们看重在银行拥有支票存款的便利性。无论如何，你可以看到银行的净利差基本上与过去几年持平。它们在上个季度略微缩小了一点点。但随着联邦储备可能在明年降息，它们很可能会再度扩大。因此，净利差和银行业的利息收入是完全正常的。这从来不会是一个问题。
Now, the last common thing that we talk about when we hear about in the banking sector is the tremendous unrealized losses they have in their securities portfolio. So banks bought a lot of treasuries and agency MBS when rates are low, not that rates have gone up, but they're sitting on a lot of unrealized losses. So they are basically insolvent, right? Actually, that's totally wrong.
现在，当我们在银行业听到的最后一个共同事情是他们在证券投资组合中遭受的巨大未实现损失。所以在利率较低时，银行购买了大量的国债和机构抵押贷款支持证券，现在利率已经上涨，但他们仍然面临着大量未实现的损失。那么他们基本上是无力偿还债务的，对吗？实际上，这完全是错误的。
Why is it totally wrong? Well, so I've explained this before, but I'll just give you the brief version. So you're right that as interest rates go up, your assets, fixed income assets, they're marking their declines, right? So that's assets. But when you're talking about solvency, when you're talking about net worth, it's assets minus liabilities. What are the bank's liabilities? Well, they're largely deposits, right?
为什么这完全是错误的呢？好的，我之前已经解释过了，但我简略地再给你概括一下。你是对的，随着利率上升，你的固定收益资产会贬值，对吗？这是资产。但是当谈到偿债能力、净值时，它是指资产减去负债。银行的负债是什么？嗯，主要是存款。
Now, what is a deposit? Is it an overnight? Are you lending to the bank overnight? Or are you lending to the bank for 30 years? Or are you lending to the bank for 10 years? You know, that's kind of a hard thing to say. Now, in theory, I can go and take my money out of a bank anytime I want, right? Let's say I have $100,000 in checking deposits out of bank. In theory, I'm just borrowing, I'm just lending to the bank overnight. And the next day, I can take all of that back.
现在，存款是什么意思呢？它是隔夜的吗？你是借给银行过夜吗？还是借给银行30年？或者是借给银行10年？你知道，这有点难说。理论上，我可以随时从银行取走我的钱，对吗？假设我在银行的支票存款中有10万美元。理论上来说，我只是借给银行过夜。第二天，我可以全部取回来。
But in practice, no one is going to take all of their money out of the bank, right? They're going to leave, you know, a lot of money in there, and they're going to take money out as they need it. In practice, though, even though a checking deposit is like lending to a bank overnight, in practice, it's more like a term loan, because you usually keep your money there for some time. Now, when you look at the data, it's more like a five-year loan to a bank.
但是实际上，没有人会把他们所有的钱从银行取出来，对吧？他们会留下很多钱在里面，需要用的时候才会取出来。然而在实际操作中，尽管活期存款就像是一夜之间向银行出借资金，但实际上更像是个期限贷款，因为你通常会将钱存在里面一段时间。现在，当你看数据时，它更像是向银行借款五年期。
So that is to say that people usually keep their checking deposits in a bank for some time. Deposits are sticky. So as interest rates go up, you got mark-to-market losses on your securities. That's very clear.
那是说人们通常会将他们的支票存款在银行保留一段时间。存款是固定的。所以当利率上升时，你的证券会出现标记-市值亏损。这一点非常明确。
But what is a lot less clear, though, is that your liabilities, their market value also goes down. And so when you go, let's say assets, finance liabilities, it's not really clear whether or not the banking sector is insolvent or not.
然而，较为不清楚的是，你的负债，它们的市场价值也会下降。所以当你进行资产和负债的金融处理时，银行业是否破产仍然不太清楚。
Of course, if everyone asks for their deposits back at the same time, that's going to be a problem. And so banks go into great lengths to try to manage the deposit franchise, maybe by giving their people toasters, maybe by locking them in their ecosystem, say, for example, if you have a bank account at Chase, maybe they'll also give you a mortgage, maybe they'll also give you a credit card, maybe they'll also give you a brokerage account and you have all these big relationships and so forth.
当然，如果每个人都同时要求取回他们的存款，那将是一个问题。因此，银行会尽一切努力来管理存款的特许经营权，可能通过送给他们的人烤面包机，可能通过将他们锁定在其生态系统中，比如，如果你在JP摩根大通银行有一个银行账户，也许他们还会给你提供抵押贷款，也许他们还会给你提供信用卡，也许他们还会给你提供经纪账户，你可以建立这些大型关系等等。
But there's a lot of ways that banks can manage deposits so that whereas in theory, people can take out older deposits overnight the next day in practice, they keep them there so that they are in practice fixed-term liabilities. And you have to take that into account when you're measuring a bank's net worth.
但是银行有很多方法来管理存款，以便在理论上，人们可以在第二天过夜取出较旧的存款，但实际上，他们保持存款并使其成为实际上的定期负债。当你衡量一家银行的净值时，你必须考虑到这一点。
In any case, the banking system remains sound. Banks continue to also create loans a bit at a slower pace than they did in the past. Obviously interest rates are higher, people don't want to borrow as much as interest rates are high, but everything is fine and all the banking doomers are totally wrong.
无论如何，银行系统仍然稳健。银行继续以比过去稍慢的速度发放贷款。显然，利率较高，人们不愿意借入那么多，但一切都好，所有那些预言银行崩溃的人都完全错了。
If you've noticing a trend is that if you listen to doomers, you will go broke. Okay, so anyway, that's all I've prepared for today. Hope you enjoyed it.
如果你注意到一个趋势，那就是如果你听信厄运者的话，你将会破产。好了，总之，这就是我今天为你准备的全部内容。希望你喜欢。
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