全球外汇展望：没有2020愿景的全球贸易提升.docx

JPMorganGlobal FX Strategy27 November 2019FX Outlook: Trading global lift without 2020 visionJPMorganG>oMFXSVW0y& Global EM ReeearchGlobal FX Strategy 2020Trading global lift without 2020 visionFX StrMf9y A EM MxketsGlobal FX StrategyPaul MeggyesiACHead, FX strategy (44-20)7134 2714J.P. Morgan Securities plcAll charts are sourced from J.P. Morgan unless otherwise specified.Thomn ArrthonjIP UO/tMKSjityMAuldw»y FMOGjHvaproor j p uarjjr amhi.Jon»th*n C«ven3Qh “oenfiUvyr CMM B*rt NA. Sr9wetv Br*xfiMe«raC>undan3 smocmxAnexka Chrtetovova &SQKaax xezu cr«w>Crnof9r> w*RobeaHjb4bUP Ucrar SWVMUX DjmMPHubaarw ruep*wipn oor» JP MOf9r UCtfVM uxLdiUAv Jjflkovic3*conup wo5»*G<rarmuCLorenzoPhD09ape9r jp Uxj>-i<cxrr»«pc Arvxbm Imddyj 2； xrar»tmvyMtf««orgar acn >V0QXC*M»BX4. MA. SrQVCO er»XftTohru&MMi (WIC7M-T7I7Wu tMartTnofan c©» KOfRn8. LBBen)jmin Shxhl ：97gxnoww.)pmm.cxMn,Re9earch>GlobairxstrategyClick here to view our Global FX Outlook 2020See the end pages of this presentation for analyst certification and important disclosures.Theme 4: Is NIRP outliving its welcome?DM countries with the weakest inflation have all embraced NIRP. But low inflation hasn't meant weak growth for the majority. The absence of economic crisis may eventually dull support for NIRP, or at least allow greater discussion of adverse side-effects Cumulative change in real GDP and CPI since 2010. Countries with negative central bank policy rates are circledHigh on the list of side-effects is financial repression that weighs heavily on banks (not to mention savers)Ratio of bank share prices to the overall local equity market. Mid-2014 = 10003Z uos-douo6UBlpa>_wnEnoCumulative change in real GDP since 2010Source: Haver Analytics40Source: Haver AnalyticsThe failure of NIRP central banks to ease aggressively this year could well indicate that enthusiasm for negative rates is starting to wane.While the Riksbank exiting NIRP will not necessarily set a precedent for other central banks that are faced with weaker inflation and growth (inflation is especially low in Switzerland and Japan), it does serve to symbolise a broader debate and possible reappraisal about the continuing merits of NIRP. High on the list of side effects of negative rates are the consequences of quasi-permanent financial repressionJ.PMorganNIRP currencies, there could be significant upsideNegative rate countries apart from Japan have ample fiscal capacity. Central banks might be part of the problem if their eagerness to ease has alleviated pressure for fiscal actionGovernment deficits and debts of the NIRP countries plus the DM averageNegative rate countries apart from Japan have ample fiscal capacity. Central banks might be part of the problem if their eagerness to ease has alleviated pressure for fiscal actionGovernment deficits and debts of the NIRP countries plus the DM averageNIRP countries all boast large current a/c surpluses. This is no coincidence - in many cases NIRP is designed to frustrate pressure for FX appreciation and to limit imported disinflation. The limits to NIRP is potentially significant for these currenciesCurrent a/c vs 2Y rates. NIRP countries are circledpan Japan Jada9%-SPW eu0>09180 160 140 120SwedenDenmarkSwitz.Government balance, % GDPSource: Haver AnalyticsEuro area 100 .8060 40 20Current a/c, % GDPSource: Haver AnalyticsDG s2015sacowOCMOCMxooiino XLI<mo10There is a broad recognition that fiscal policy is under-utilised and monetary policy over-burdened. This is especially true of the NIRP countries that, apart from Japan, have substantial untapped fiscal capacityIn addition to being for the most part very cheap and with ample fiscal capacity, the NIRP currencies share a third common characteristic that augurs well for them if the tide does turn against negative rates: extremely strong current account positions.ioJPMorganquestions sustainability of large external surplusesWhat distinguishes the Euro area and especially Switzerland from other surplus countries like Japan is that they don't generate sufficient outflows of long-term capital. They are more reliant on short-term or official outflowsBasic balance, % of GDP. The basic balance = Current account +net equity capital + net FDIThe cumulative volume of short-term outflow needed from CHF is enormous (only the SNB has been able to supply this). It is rising in EUR and declining in JPY. Cumulative basic balance surplus, % of GDP account +net equity capital + net FDI, % GDP-10%00Q1 02Q1 04Q1 06Q1 08Q1 10Q1 12Q1 14Q1 16Q1 18Q1 Source: BloombergSource: J.P. MorganA key differentiating factor between the major current account surplus countries in DM, some (EUR & CHF) generate comparatively few long-term investment outflows and hence have large basic balance surpluses. Others, most notably Japan, generate sizable outflows of equity and corporate FDI and hence have smaller basic balance surpluses.EUR and CHF are hence more viable candidates for currency appreciation than JPY should global interest rates continue to decline in an otherwise low-volatility economic and market environment.11J.PMorganFX vols are entering 2020 with the deepest cyclical undershoot on recordResidual from regressing VXY Global on level of JPM global composite PMI (business cycle indicator), volatility of global PMI (proxy for growth surprises) and the average inter-quartile forecast dispersion of 4-qtr ahead US real GDP, unemployment and headline CPI provided by the Philadelphia Fed's Society of Professional Forecasters (SPF) quarterly survey (uncertainty proxy).oCMoe*oo，lnoxL_J<coo_J0FX markets are heading into another new year at fresh extremes of cyclical undershoot in volatility. The decline in currency vol over the past two years is perhaps more egregious than at any other point in recent historyDespite their potency on show so far, we do not think that policy puts have permanently banished FX vol. However having been frequently surprised by the longevity of the ongoing, somewhat artificially manufactured financial market stability, we are understandably loath to bet big on bullish mean-reversion in 2020 .In our view, the path of least resistance to higher FX vol next year, if any, runs through politics, not economics - be it through US-China trade relations, US 2020 elections, or Hong Kong SAR.12JPMorganEUR had weakened in line with the economy since the start of 2018. While this cyclical headwind is no longer intensifying, there's a long way to go before it becomes a 2017-style-tailwind EUR NEER = 0.76 + 0.6 (EUR - Global manufacturing PMI). Annual changes for both. R2 = 19%, SE = 4.4%Shifts in Euro area and US economic confidence have been negative for EUR/USD all year, yet with little volatility (ergo the narrow EUR/USD range). The set-up is still problematic for EUREUR/USD = 0.9 + 3.95 (EUR - US Forecast Revision Index). 3m changes for both. R2 = 22%, SE = 3.2 % 4%Source: J.P. MorganSource: J.P. MorganThe Euro area economy disappointed again in 2019, so too EUR. We had expected a four cent rally on European reflation, instead we got a three cent declinein EUR/USD on an extended European downturnThe 2020 forecastenvisages a belated lessening in cyclical headwinds that should enable a modest EUR recovery in line with the pull from cheap valuation and its record balance of payments support.13JPMorganThere seems to be a fair degree of economic optimism as EUR/USD risk reversals have rallied sharply and are now bid for EUR calls despite still very poor economic conditionsEUR/USD 1Y 25D risk reversal versus the EUR - US Forecast Revision Index.Potential fiscal activism is the best hope for EUR next year. There are some grounds for optimism, albeit the bigger story is the loss of fiscal thrust in the US in 2020Fiscal thrust, i.e. estimated fiscal contribution to GDP0.6%0.5%0.4%0.3%0.2%0.1%0.0%-0.1%-0.2%-0.3%-0.4%Fiscal policy should turn supportive for EUR/USD in 2020, not so much from a loosening in Euro area policy (this will add maybe 0.2-ppt to growth), but instead the end of Trump's Keynesian boom.Monetary policy offers little respite from record-low vol in EUR/USD but on balance should be supportive for spot. The Fed is poised to cut once more whereas Lagarde's ECB may be more cautious in expanding QE and exploring the ELB.14JPMorganEUR: Japanification of the EUR curve has kept a firm cap on EUR/USD FV. A steeper curve is a prerequisite for a stronger EURThe disproportionate flattening in the EUR curve explained EUR's failure to capitalise on Fed easing this year. Our rate strategists see some reversal next year. Together with 50bp of BTP spread tightening this could lift FV to 1.20 Contribution in cents to changes in EUR/USD FV from the model in Exhibit 8. 2019 actual and 2020 forecastOur rate model puts FV for EUR/USD at 1.13. This would rise to 1.20 through 2020 if EUR curve can re-steepenEUR/USD = 1.27 + 0.08 (EUR-US 5Y) + 0.2 (EUR-US 2s/10s) - 0.037 BTP-Bund. R2 = 83% over 4Y. SE = 0.025y spread 2s/10s curve Bund/BTP Fair value ActualSource: J.P. MorganSource: J.P. MorganOur models should temper any hopes that EUR is on the cusp of a 2017 style boom. Even a 5% EUR/USD rally requires a 1-ppt upgrade in Euro area growth or a 20bp relative steepening in the EUR curve.15JPMorganA jump in net equity & FDI inflows to 345bn has pushed the Euro area's overall basic balance surplus to a record 670bn over the past yearBasic balance = current account plus net equity & FDI flows. bnSource: BloombergThe incessant rise in Europe's basic balance surplus does constitute an important tailwind for EUR. It supports the presumption of bullish medium term mean reversion in EUREUR NEER, % oya = 5.25 + 0.012*(Euro area basic balance, 12m sum bn) + 7.6*(EUR - G10 rate spread).Source: J.P. MorganEUR's basic balance surplus is 5.7% of GDP versus modest deficits in the US and Japan. This surplus should cushion the EUR against further cyclical disappointment and leverage it to genuine reflation. The option market concurs with this asymmetry to judge from the positive EUR/USD skew.But while EUR's structural factors are compelling, they won't fully compensate the currency should the economy continue to underwhelm. A meaningful EUR recovery requires economic reflation, evidence for which is so far inadequate.16j.KiviorganStructural rise in Japanese outflows contributing to sustained net Yen selling% of GDP, 4qma, residents1 net outflowsStructural factors continue to dominate the outlook:Narrowing in US-Japan inflation differentials reflecting both a decline in US inflation and post-Abenomics rise in Japan inflation;Decline in Yen-funded carry trades as short JPY positions have been scaled back, dampening Yen moves on swings in risk sentiment;Inexorable rise in unhedged Japanese investment outflows from pension funds, lifers, and insurance funds as well as direct investment, reflecting anemic onshore returns.17JPMorganAn upswing in global sentiment could prompt sharp NEER weakness.An upswing in global sentiment could prompt sharp NEER weakness.Source: J.P. Morgan.while Japan-centric recessions have also tended to invite Yen weakness%-pt spread, Japan less US 12-mo recession probabilityRisks skewed toward JPY weakness into 2020, with the Yen likely to test the upper range of our 109-110 forecast range in the near term.Neither BoJ policy nor domestic politics likely to become key 2020 currency drivers.But improvement in global business sentiment could induce JPY NEER weakness to a greater degree than seen in 2017 growth upswing given less support from trade balance and larger domesticoutflows. Recession risk presents a wildcard: A Japan-centric recession, in contrast to global downturns, has been consistent with JPY weakness.18JPMorgan2019 was a year in which markets waited in vain for a resolution to geopolitical uncertainty and for a rebound in the global growth cycle. Markets look to be entering 2020 the same way, with balance of the year dependent on a number of (potentially) binary outcomes including US-China, Brexit, US elections, and US impeachment.What is more certain is that the global economy is still late-cycle, and the likelihood of resolving all the uncertainties in a confidence-restoring, growth-positive way seems quite low.USD in 2019 benefitted this year from the slowdown in global growth slightly more than it was harmed by the cooling in the US and U-turn by the Fed. USD in 2020 remains a delicate balancing act of US and global growth, albeit complicated by idiosyncratic, USD-negative factors (US election and Fed review).The key macro issues for USD are: 1) whether and to what extent global lift materialises and weakens the USD; and 2) whether Fed cuts were mid-cycle (the pause that refreshes USD), or the precursor to a full-blown easing cycle (USD still up vs high-beta, but potentially breaking lower vs reserveccy).We see broad USD losses early in 2020 on global lift, but doubt whether this extends to a secular bear market as this would require a V-shaped recovery. Moreover, USD is already priced for a 0.5ppt upgrade in global growth, so could rally on less. JPM USD index is forecast up 0.5% in 2020 after a 1.3% gain this year. Forecast top G10 performers are EUR (3.5%) and its satellites, worst is AUD (-5.7%), CAD & NZD (-3.5%). CNY is -0.9% at7.10.Trades: Own optionality on European reflation through upside in EUR/USD and CHF/JPY and fading the rally in EUR/NOK. Long 3M3M USD/CHF vol for US election primaries risk, short AUD/CHF through options to part hedge the pro-growth trades. Hold small EM FX OW through Latam FX.Key forecasts EUR/USD: 1.13 2Q, 1.14 4Q, JPM USD Index +0.6% USD/JPY: 109 2Q, 110 4Q, GBP/USD: 1.32 2Q, 1.33 4Q, USD/CHF: 0.96 2Q, 0.95 4Q, AUD/USD: 0.66 2Q, 0.64 4Q, NZD/USD: 0.63 2Q, 0.62 4Q, USD/CAD: 1.37 2Q 1.38 4Q USD/CNY: 6.98 1Q, 7.10 4Q, USD/MXN: 19.75 2Q, 20.00 4Q, USD/TRY: 6.00, 6.50J.PMorganAll aboard the Boris bus - the Tory lead over Labour has extended out to 13-14 ppt versus a small deficit in JulyConservative - Labour share of the vote, last five opinion pollsSource: WikipediaTory chances of forming the next government have been helped by the loss of Labour support to the Lib Dems. The Tory vote, by contrast, hadn't been split as badly over BrexitShare of the vote in the 2015 & 2017 general elections and opinion polls for 2019Source: WikipediaOnly the small matter of a general election now stands between GBP and a resolution to Brexit, or rather the first phase of Brexit, after 3-1/2 painful years. Opinion polls give PM Johnson a 13-14 point lead. While former PM May demonstrated in 2017