全球外汇展望:美元峰值.docx
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1、Error! Bookmark not defined. 7 9 12 14 17 19 20 22 26 31 44ContentsForecast SummaryUSD: Peak US dollar has arrivedCNY: On recovery trackEUR: Basing at lastAUD, NZD: The allure of unconventional measuresGBP: A relief rallyJPY: Rally on holdCAD: Rates Cuts Will Undermine the Loonies Strength. EM FX As
2、ia: A change of fortuneEMEA: The risk-reward weighing scalesLatin America: Will Politics Drive Performance in 2020? Detailed FX Forecasts TableFig 10 CNH vol curves have shifted lower - own protection at the back-end of the curve makes sense early in 2020Fig 11 China FX vols should be structurally h
3、igher as FX regime increasing shift to a more flexible float/oCNH vol curve,%5.84.84.61 m 2m 3m6m9mAt the money implied volsSource: Bloomberg, Macquarie Strategyiy 2y%CNY 1y implied vol against FX regime, %15.013.011.09.07.05.03.01.0-1.0Managed USDManagedpeg regimebasket regimeCNH vol curve has shif
4、ted downward in recent months. Long-end vols are at the lower end of their 4-year range, but skews are still well bid for calls. We think owning protection at the back-end of the vol curve makes sense in early 2020, especially if RMB gains we expect early in the year further drive down skews and vol
5、s from current levels.Chinas effort to open-up its financial market to foreign portfolio investors will make the RMB more susceptible to hot money flow. This combined with the governments desire to allow RMB to be more market determined should lead to a repricing of RMB vols structurally higher - ap
6、proaching those of more flexible FX regime, such as KRW.The evolution of China FX regime is on-going. China vols were well below the basket-managed SGD vols pre 2015 when CNY FX regime was seen as a managed USD peg. Vols rose structurally from August 2015 to par with SGD vols after China made an exp
7、licit link of the CNY fix to the CFETS basket.Since the trade war broke down, China vols have traded above SGD vols. This may reflect a market premium for trade war, but also a policy realization that a flexible FX regime is best suited for China in an environment of high external stress.Gareth Berr
8、y+65 6601 0348Eimear Daly+44 20 3037 4802EUR: Basing at lastWe keep our rising EURUSD forecast profile, partly in anticipation of some mild USD weakness later in 2020 courtesy of the US political cycle.The Eurozone is well positioned to benefit from the mini-global growth upswing too, as the lagged
9、effect of previous tariff imposition fades, and the prospect of a partial US-China trade deal boosts sentiment. Even the absence of further escalation represents progress of sorts.Owing to an open economy, the burden of escalating US-China tensions so far has fallen disproportionately on the Eurozon
10、e, despite the region not being a party to the dispute. The same logic should also hold in reverse as relations eventually thaw. A headwind could become a tailwind.Fig 12 Manufacturing mood needs a boostFig 13 Sensitivity to the external environmentEurozone PMIsApr-15 Apr-16 Apr-17Apr-18Apr-19Source
11、: Bloomberg, Macquarie Strategy0Exports as a share of GDPSource: World Bank, Macquarie StrategySo although Eurozone PMIs are subdued now, they could turn soon, helped too by the avoidance of a hard Brexit. A negotiated ELI withdrawal deal means Europes hard-pressed manufacturing sector should contin
12、ue to enjoy unfettered access to a key export market, and their complex supply chains will be safeguarded for now at least.All of this should help EURUSD mount a tentative rebound, although an upswing may be delayed until the results of the UK general election on December 12th are announced. Until t
13、hen, the FX technicals look too challenging.Also, the FX carry earned by EURUSD shorts is superior to the yield on a 30y UST; in a low yield world, thafs an important consideration.The speculative positioning picture does not argue for a sudden euro surge either. There is a legacy euro net short out
14、 there but its not substantial. So a cascade of short-covering on any positive shock could only go so far before the propellant runs out.From a real-money flow perspective the latest indications suggest a base may be forming in EURUSD, but nothing more than that for now. Fixed income outflows from t
15、he Eurozone have essentially stopped, but equity inflows from abroad arc still nowhere to be seen. The latter is the missing ingredient, and its absence keeps our euro upside expectations in check.The market remains overweight US equities though. So anything that triggers an equity rebalancing out o
16、f the US and back into the Eurozone would force us to raise our EURUSD forecasts. Such a shock would have to originate inside the US though, and selectively cripple the US growth outlook. Outside of extreme US political developments, ifs hard to imagine what might realistically provide the spark.The
17、re is much talk of two possible wild-card outcomes that could theoretically trigger a sharp euro upswing, but we5re not convinced:(1) Eurozone fiscal stimulus would admittedly attract new equity inflows, boost PMIs, and drive bond yields higher. But even if it happens, it would be small in scale, an
18、d not a game-changer in our view. It is ironic that the countries keenest to launch stimulus (like Italy) are those with the least scope to do so. Meanwhile, Germany is likely to remain ideologically opposed to large-scale active stimulus outside of a deep recession scenario.(2) We dont hold out muc
19、h hope for a hawkish policy reset at the ECB either, despite Lagardes arrival as ECB President. Her promised policy review is likely to conclude that existing accommodative settings should be maintained. Even if the wisdom of negative interest rates is reconsidered, the same econometric models used
20、to justify their introduction will probably be consulted again. We see no reason why the models should recommend a different course of action this time. The conclusion is likely to be that negative rates are a necessary evil, and must remain in place until inflationary pressures reappear.Gareth Berr
21、y+65 6601 0348AUD, NZD: The allure of unconventional measuresWe keep an upward bias in our AUD FX forecasts, reflecting the likelihood of a tentative upswing in global growth over the coming year. Our view still hinges on an eventual de-escalation in US- China trade tensions, which would boost CNY a
22、nd drag AUD and NZD along for the ride.So a mild recovery in AUDUSD to 71c still seems likely over the next 6 months. But we lower our longer-term forecasts, to capture the risk of unconventional measures eventually being deployed by the RBA.To be clear, we doubt this w川 happen imminently. Australia
23、s domestic economy appears to have reached a gentle turning poinf, as RBA Gov Lowe puts it. We tend to agree, even if our growth forecasts are less optimistic (see page 71 here). The danger has passed for Australias residential property market too.But if our expectations of another rate cut in Febru
24、ary are realised, conventional firepower will soon be all but depleted. The next logical step could involve a foray into the unconventional arena, and the market is likely to start positioning for that well in advance.It is a mystery why AUD OIS pricing is still so benign as we go to print. Another
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