新興市場將導致全球量化緊縮

Global investors have been in thrall to the central banks ever since quantitative easing (QE) started in 2009 and, of course, all eyes are on the Federal Reserve this week. The Fed has now frozen its QE programme, and may raise rates sometime this year, though perhaps not as early as next Thursday. Nevertheless, global investors have been comforted by the extremely large increases in balance sheets proposed by the Bank of Japan (BoJ) and the ECB, and the overall scale of worldwide QE has seemed likely to remain sizeable for the foreseeable future.

自從2009年“量化寬鬆”啓動以來，全球投資者一直受制於央行，當然，本週所有的目光將聚焦於美聯儲(Fed)。美聯儲現在已凍結其量化寬鬆政策，並可能在今年某個時間加息（但或許不會在本週四就加息）。不過，日本央行(Bank of Japan)和歐洲央行(ECB)打算大規模擴張資產負債表的計劃曾讓全球投資者感到寬慰，在可預見的未來，全球量化寬鬆的整體規模原本似乎仍將十分可觀。

However, in recent months, an ominous new factor has arisen. Capital outflows from the emerging market economies (EMs) have surged, and have resulted in large declines in foreign exchange reserves as EM central banks have intervened to support their exchange rates.

然而，最近幾個月，一個不祥的新因素出現了。新興市場的資本流出激增，並導致外匯儲備大幅下降，原因是新興市場央行採取干預措施，以支撐本幣匯率。

Since these reserves are typically held in government bonds in the developed market economies (DMs), this process has resulted in bond sales by EM central banks. In August, this new factor has more than offset the entire QE undertaken by the ECB and the BoJ, leaving global QE substantially in negative territory.

由於這些外匯儲備通常以發達經濟體的政府債券的形式持有，因此這一過程導致新興市場央行拋售發達經濟體債券。今年8月，這個新因素不僅僅抵消了歐洲央行和日本央行採取的全部量化寬鬆舉措，還讓全球量化寬鬆出現很大的負值。

Some commentators have become concerned that this new form of “quantitative tightening” will result in a significant reversal of total central bank support for global asset prices, especially if the EM crisis gets worse. This blog examines the quantities involved, and discusses the analytical debate about whether any of this matters at all for asset prices.

一些評論人士開始擔心，這種新形式的“量化緊縮”將導致央行對全球資產價格的支持出現大逆轉，特別是如果新興市場危機加劇的話。這篇博文分析了相關的數值，並試圖評述各方探討這些數值對資產價格是否重要的辯論。

The conclusion is that the EM factor is likely to offset part, but perhaps not quite all, of the QE planned by the ECB and the BoJ in the next year. Overall, global QE will provide much less stimulus than it has since 2006.

結論是，新興市場因素可能會在一定程度上抵消——但或許不會全部抵消——歐洲央行和日本央行明年計劃推出的量化寬鬆計劃。總的來說，全球量化寬鬆政策帶來的刺激將遠遠小於2006年以來的水平。

The major sources of central bank balance sheet expansion at present are of course the bond purchase programmes announced by the BoJ and the ECB. Together these programmes are running at an average of about $130 billion a month. The average maturity of the bonds purchased is probably around 7 years, so an enormous amount of “bond duration” is still being removed from private sector hands in the developed economies.

目前，央行資產負債表擴張的主要原因是日本央行和歐洲央行的債券購買計劃。它們的規模加起來達到平均每月1300億美元左右。央行購買的債券的平均期限大概在7年左右，因此在發達經濟體，數量龐大的“債券期限”仍在從私營部門投資者手中移出。

The question is how much of this stimulus is likely to be offset by the sale of EM bond holdings as a result of the foreign exchange intervention by EM central banks. Fulcrum estimates that total EM central bank balance sheets may have declined by about $450 billion in the 3 months since the crisis worsened in the summer, of which about $170 billion has come from China alone.

問題是，新興市場央行干預匯市引發的債券拋售，可能會在多大程度上抵消這種刺激效應。Fulcrum估計，在此次危機於今年夏季加劇以來的3個月裏，新興市場央行的資產負債表總規模可能已縮減4500億美元左右，其中僅中國就縮減了約1700億美元。

Consequently, global QE, measured by this metric, has probably turned substantially negative [1]. Nomura (and others) estimate that foreign exchange intervention by the EMs was probably around $160 billion in August alone, and this would have directly triggered bond sales in the US and Europe.

因此，以這個指標衡量，全球量化寬鬆可能已轉變爲一個相當大的負值[1]。野村(Nomura)（以及其他機構）估計，單單今年8月，新興市場的外匯干預力度就可能高達1600億美元，這應該會在美國和歐洲直接引發債券拋售。

Of course, no-one can prove that this drain of central bank liquidity caused the rise in global bond yields and the drop in risk assets last month; market interpretations of Fed policy have probably been just as important. Nevertheless, it is an interesting fact that has grabbed the attention of macro investors. The release of China’s foreign exchange reserve figures has suddenly become one of the most watched global data releases each month.

當然，沒有人能證明，央行流動性的減少導致上月全球債券收益率上升和風險資產下跌；市場對於美聯儲政策的解讀可能同樣重要。不過，這個有趣的情況吸引了宏觀投資者的目光。中國的外匯儲備數據突然變成最受關注的全球月度數據之一。

What is the outlook for this measure of global liquidity over the next year or so? The BoJ and the ECB are, if anything, considering further extensions of their bond purchase programmes. Consequently, global QE will return to positive territory unless the large drain on EM foreign exchange reserves continues.

未來一年左右，這一衡量全球流動性的指標會如何變化？日本央行和歐洲央行或許正考慮進一步擴大債券購買計劃。因此，除非新興市場的外匯儲備繼續大規模減少，否則全球量化寬鬆將恢復正值，

But this drain is likely to be maintained for a while. A recent detailed analysis of global reserve holdings by Deutsche Bank economists [2] suggests that total global reserves could fall by $1,500 billion during the current drawdown, about a third of which has already happened. This might take EM central bank balance sheets roughly back to where they were just before the 2008 financial crash as a share of EM GDP – a pessimistic but not extreme outcome.

但這種流動性減少可能會保持一段時間。最近德意志銀行(Deutsche Bank)的經濟學家對全球外匯儲備的一份內容詳實的分析[2]表明，在本輪外匯儲備下降趨勢中，全球外匯儲備總額可能會減少1.5萬億美元，到目前已經減少了其中的約三分之一。這可能會讓新興市場央行的資產負債表佔新興市場GDP的比例，大致回到2008年全球金融危機爆發以前的水平，這是一個悲觀的結果，但並不是十分嚴重。

On this and other assumptions, Fulcrum estimates that the total increase in global central bank balance sheets as a percentage of world GDP, which is one indicator of the stimulus from global QE, would be fairly close to zero next year, compared to an average injection of about 2 per cent of global GDP in recent years. Apart from a short period at the end of 2009, this would be the lowest rate of expansion since 2006:

根據這種或其他假設，Fulcrum估計，全球央行資產負債表擴大的規模佔全球GDP的比例（這個指標衡量全球量化寬鬆政策所帶來的經濟刺激）將在明年非常接近零——最近幾年平均爲2%左右。除了2009年底很短的一段時間以外，這將是自2006年以來全球央行資產負債表最慢的擴張速度。

There is huge uncertainty here. If China and other EMs stop intervening in the foreign exchange markets, then the drain on reserves and on global liquidity would soon end as EM exchange rates fall towards their equilibrium levels. Alternatively, private sector EM capital outflows might end spontaneously, as they did aFTer the “taper tantrum” in 2013. But the deterioration in economic fundamentals in the EMs looks more serious than in 2013, so the current shock could be long lasting.

這裏存在巨大的不確定性。如果中國和其他新興市場不再幹預外匯市場，那麼隨着新興市場匯率跌向均衡水平，外匯儲備和全球流動性的下滑將很快結束。或者，新興市場的私人部門資本外流可能自動結束，就像2013年的“削減恐慌”(taper tantrum)之後的情況一樣。但新興市場經濟基本面的惡化看起來比2013年更爲嚴重，因此當前的衝擊可能相當持久。

What then? Some economists, like Matthew Klein at FT Alphaville, and Paul Krugman, argue that sales of bond holdings by foreign central banks do not matter anyway. Krugman argues that they hold bonds of very short maturity, which are close to cash, and he points out that sales of these bonds can always be easily offset by Fed action to hold short rates down. But the average maturity of US bond holdings by foreign central banks, at 3.95 years, is not negligible. Furthermore, since the Fed is thinking about raising rates, it may not want to offset the impact of foreign bond sales on US medium dated bond yields.

接下來會出現什麼情況？一些經濟學家——比如英國《金融時報》旗下FT Alphaville的馬修凱文(Matthew Klein)，保羅克魯格曼(Paul Krugman)——認爲，外國央行拋售政府債券的行爲並不重要。克魯格曼認爲，他們持有的債券的期限非常短，這近似於現金。他指出，這些債券的拋售始終可以被美聯儲維持短期利率處於低水平的舉措抵消。但是，外國央行持有的美國國債的平均期限是3.95年，這並非不重要。此外，既然美聯儲正考慮加息，它可能不想要抵消外國債券拋售對美國中期債券收益率的影響。

In my opinion, one of the few analytical lapses made by the Keynesian camp after 2010 has been a reluctance to believe that QE – or bond buying by foreign central banks – could impact asset prices and economic activity, except through a signalling effect about the future path of Fed short rates. Yet studies by the Fed [3] and the ECB [4] suggest that these bond purchasing programmes have had important effects on yields through “portfolio balance” effects, as private investors are induced to extend bond duration and hold riskier assets.

在我看來，凱恩斯學派在2010年之後的分析中犯下的錯誤之一是，他們不願相信量化寬鬆（或者外國央行的債券購買行爲）可能影響資產價格和經濟活動，除了釋放出關於美聯儲短期利率未來路徑的信號以外。然而美聯儲[3]和歐洲央行[4]的研究表明，由於“資產組合平衡”(portfolio balance)效應，這些債券購買項目對收益率有重大影響，因爲私人投資者被誘使延長債券期限，並持有風險更高的資產。

Surely, the same could now happen in reverse when EM central banks trim their bond holdings. If so, the EM reserve drain is another item to add to investors’ long list of concerns at the moment.

當然，當新興市場央行削減他們持有的債券時可能會發生相反的情況。若果真如此，新興市場外匯儲備減少將在投資者長長的焦慮清單上又添上一筆。