全球-外汇策略-全球外汇展望：美元坚挺但并非不可战胜.docx

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1、Desk Strategy19 February 2019 GlobalFX AND RATESLooking a little stretchedFed*s Broad Dollar Index135 1130 -O MACQUARIE125 .105 -100 -95 .Source: Bloomberg, Macquarie Strategy90Jan-95 Jan-00 Jan-05 Jan-10 Jan-15120 -o 115 -o- 110 -StrategistsMacquarie Bank Limited Singapore BranchGareth Berry +65 66

2、01 0348Macquarie Futures USA LLCThierry Wizman +1 212 231 2082Macquarie Bank Limited Hong Kong BranchTrang Thuy Le +852 3922 5718 ,t Macquarie Capital (Europe) LimitedEimear Daly +44 20 3037 4802 Macquarie Securities (Australia) LimitedThis publication has been prepared by Sales and Trading personne

3、l at Macquarie and is not a product of the Macquarie Research Department.Global FX OutlookDollar firm, but not invincibleWe stick to our view that the US dollar should remain generally firm over the next couple of months, despite the Fed having hit the pause button on rates. Dovish overtones from ce

4、ntral banks elsewhere have saved the USD from a steeper selloff; its attractive carry and safe haven appeal have helped too.But signs that quantitative tightening could end this year reinforce our belief that mild downside risks are building. A long list of international factors could start to chip

5、away at the dollars foundations from mid-year onwards. With valuations already stretched it wouldnt take much to tip the balance the other way.For now though the euro must endure increased ECB dovishness, the threat of auto tariffs, and a potential Italy downgrade later this week. But the outlook im

6、proves around mid-year as Brexit risks diminish, German manufacturing heals organically, and the EU parliamentary elections fail to wreck the EU from the inside. Parliament is weak, and the heads of state mostly call the shots. We see EURUSD at 1.18 by end-2019.The yen could strengthen temporarily a

7、s UK PM May waits until the last moment to bulldoze her Brexit deal through the House of Commons in late March. We look for a sharp GBP rally afterwards as a hard no-deal Brexit is avoided one way or the other. Cable to 1.40 by year-end.Risks are skewed towards further CNY appreciation as the US and

8、 China inch towards extending their fragile trade truce. So higher tariffs may not kick in on March 1st after all. Portfolio inflows should be supportive too, spurred on by capital market opening and index events in local bonds and equities. USDCNY to fall to 6.60 by end-2019.Despite the RBAs surpri

9、se shift to a neutral policy stance weve kept our AUDUSD forecasts essentially flat at 71-72c for all of 2019. A full rate cut is now priced in over the next 12m, so AUD can settle at current levels unless the RBA signals a cut is imminent. The jump in iron ore prices helps and 70c should represent

10、a solid line of support on any dip.NZD should largely shadow the AUD. Both central banks are in neutral mode, but there are many shades of neutraHty and AUDNZD has a nose for sniffing out policy shifts, however subtle. Relative commodity prices will matter as well, alongside a key question: when wil

11、l NZ house prices fall too?We remain bearish CAD in anticipation of a dovish shift from the Bank of Canada which could come in April. USDCAD to 1.40 by year-end.In EM Asia, IDR probably has most to gain from the Feds pivot, with INR a close second. EM LatAm should be mixed with the Brazilian real ap

12、preciating, while the Mexican peso could weaken. In EMEA, we are bearish ZAR and TRY.Ric Deverell +61 2 8232 4307Hayden Skilling, CFA +61 2 8232 2623Sales and Trading personnel at Macquarie are not independent and, therefore, the information herein may be subject to certain conflicts of interest, an

13、d may have been shared with other parties prior to publication. Note: To the extent Macquarie Research is referenced, it is identified as such and the associated disclaimers are included in the published research report. Please refer to the important disclosures .Fig 14 Policy ammunition is depleted

14、 on the rates sideFig 15 Additional liquidity injection is an optionECB policy rates1200ECB liquidity provision5Jan-04 Jan-08 Jan-12 Jan-16Source: Bloomberg, Macquarie StrategySource: Bloomberg, Macquarie Strategy2. PMIs to base soon as idiosyncratic issues overcome. The euro has tracked the PMIs lo

15、wer over the past year. But our Europe economist, Matt Turner, sees scope for a slow gradual improvement in German manufacturing as 2019 progresses and emissions issues are addressed.3. Brexit resolution. This has been primarily a sterling story for the past 3 years, while the euro has mostly ignore

16、d every twist and turn in the tale. But its clear from narratives accompanying recent PMI releases that the risk of a disorderly departure is depressing corporate sentiment - especially in Germany and France. Take that risk away, and the euro should benefit once the data visibly turns.Fig 16 Calm ha

17、s descended, but for how long?Italy sovereign yieldsFig 17 The corporate mood is down in the dumpsSource: Bloomberg, Macquarie StrategyThe new tariff issue could be settled within a few months. Europe displayed an early eagerness to satisfy President Trumps concerns during the steel tariff saga, whe

18、n EUs Juncker showed up in Washington at short notice in July 2018 and a trade truce was quickly declared. Autos were conspicuously excluded from that agreement but, we note that the same intensity of engagement could quickly defuse the upcoming frictions too. Admittedly, addressing US concerns this

19、 time would take longer, as under WTO rules, theEU cannot lower auto tariffs on US exports without doing the same for all trading partners. So a more time-consuming multi-lateral approach may be called for, involving Asian manufacturers. But the odds of success are still good.4. China. Our China eco

20、nomist Larry Hu sees more stimulus arriving later this year, which should be enough to stabilise growth in one of the EUs biggest export markets. Our base case is that higher US tariffs will not be applied and the truce will be extended (although our confidence levels on this cannot be super-high).5

21、. EU parliamentary elections. Downside risks around the European parliamentary elections in May are fairly minor to begin with, so a benign outcome is unlikely to massively re-energise the euro. Populist forces are likely to gain parliamentary seats, but the new arithmetic should still favour the ma

22、instream status quo. Besides, parliaments power is limited - so much so that critics still lament the perceived democratic deficit5 at the heart of the EU. The 28 heads of state still mostly call the shots, especially in sensitive areas of economic policy.The big question.All six factors above, in c

23、ombination, have the potential to boost EURUSD towards 1.18 by yearend. But the critical question after that concerns sequencing: can the ECB deliver a rate hike before the sovereign debt crisis flares up again? The order in which these two events strike will have a major bearing on how EURUSD trade

24、s over the next two years.Our working assumption is still yes, the hike can come first, but our conviction levels have declined somewhat over the past month.The tone of recent European dataflow has clearly set back ECB normalisation plans, postponing a hike until 2020. The delay will also rob the eu

25、ro of the upside pressure it would have felt in July, when Draghis successor is likely to be named.Meanwhile the debt dynamics now look even more challenging. Italy can tolerate multiple sovereign downgrades before banking sector access to ECB liquidity is put at risk. But we have now seen two succe

26、ssive quarters of GDP contraction, so Rome can no longer rely on the miracle of the denominator, to stabilise the debt-to-GDP ratio. That means downgrades could become more frequent up ahead, taking us closer to the edge.More broadly, if the global slowdown intensifies in 2020, we should expect anot

27、her broad-based deterioration in European fiscal accounts, pushing debt levels deeper into the danger zone.Fig 18 A third of the ECB cash has gone to ItalyFig 19 Pushing our luck30o oo 52cqan 山50ECB liquidity provision to Italian Banks0 i1Mar-00 Mar-05 Mar-10Mar-15Sovereign Debt-to-GDP ratios140 -0J

28、an-07 Jan-10 Jan-13Source: Bloomberg, Macquarie StrategyJan-16 Jan-19Source: Bloomberg, Macquarie StrategyGareth Berry+65 6601 0348Trang Thuy Le+852 3922 5718Fig 20 Diversification abroad continuesSource: Company filings, Macquarie Strategy() o-otod -Boloala5us B SBSource: Company filings, Macquarie

29、 StrategyEl) ssnYen: Awaiting the reboundThe yen5s Identity crisis5 continues. Despite its long-standing status as a safe-haven currency, it has been mostly indifferent to bouts of global risk aversion over the past 9 months. It has even turned a blind eye to the slowdown in global growth so far.We

30、doubt this state of affairs will last much longer though. We see temporary downside risks for USDJPY over the coming weeks until the Brexit cliff-edge on March 29th is avoided. After that, a slow structural drift lower to 100 by end-2020 seems likely, and there is very little the Bank of Japan can d

31、o to stop it.The yens recent personality change was due to FX hedge reduction by Japanese real money investors as hedging costs rose together with USD OIS. A further diversification push by government-linked entities is also part of the story.Fig 21 Government-linked entities have deep pocketsBut wi

32、th the Fed now formally in pause mode, the urgency for further hedge reduction has diminished somewhat, which takes away one source of USDJPY demand.Outbound diversification flows still have further to run, but might not be enough to keep USDJPY propped up for much longer. They are powerful, but not

33、 almighty. Theyve been underway for years yet could not prevent the yen rallying sharply during the last global growth scare in 2016, which also coincided with the Bank of Japans misadventure into negative interest rates.Fig 22 USDJPY is vulnerable to an intensification of the global growth scare Ba

34、ck then, USDJPY fell from 121 to 100 in just nine months, before President Trump arrived on the scene with promises of powerful fiscal stimulus and growth-friendly reforms.Jan-04Jan-07Jan-10Jan-13Jan-16Source: Bloomberg, Macquarie StrategyIfs unclear what might rescue the global growth story on this

35、 occasion, but somethina constructive needs to happen soon before USDJPY loses its foothold above 110.There are a number of potential candidates, which we covered above such as a generalised reduction in threats to global trade, a Brexit resolution, or more China stimulus.But the Feds pivot is not r

36、eally one of them; it is a mixed blessing for USDJPY. Yes, the dovish shift alleviates market concerns that Fed over-tightening might send the global economy into a tailspin. Global risk appetite has improved in response, with potentially further to go, and the boost to risk sentiment would normally

37、 support USDJPY.Fig 23 BoJ already owns 46% of the JGB marketBut its not a one-way ticket. Recent Fed manoeuvring is also a reminder that the central bank is at the mature end of its tightening cycle, and if markets begin to fear that UST yields are close to peaking, then USDJPY could start to rollo

38、ver.Fig 24 And the yen T-bill market has been abandoned to facilitate USD provision by foreigners through the FX swapsSource: Bloomberg, Bo J, Macquarie StrategySource: Bloomberg, Bo J, Macquarie Strategy() B0-Eolo一B-Cs e sbSource: Bo J, Macquarie Strategy() 6PUElslno s三 qloqs e sbBig picture, the g

39、lobal economy is slowing and while policy support can help cushion the blow, there are limits to how much help can be provided. Ten years of aggressive policy easing means we have already eaten tomorrows lunch, and ammunition levels are running low.This is especially true in Japan5s case: Rates cann

40、ot get more negative without risking damage to the banking systemThe BoJ already owns 46% of the JGB market The BoJs footprint in yen T-bills is smaller, but that market has limited capacity to absorb more buying without compromising the supply of USD to Japanese banks.All of this is fertile ground

41、for a structural rally in the yen, and the BoJ is virtually powerless to stop it unless it becomes even more inventive with its policy toolbox. We cannot rule out helicopter money - it would be the logical next step - but the hurdle is high.We see USDJPY falling to 107 by end-2019, and 100 by end-20

42、20.Gareth Berry+65 6601 0348Eimear Daly+44 20 3037 4802Sterling: White knuckles for now, but a brighter futureWe still look for a sharp sterling rally over the next two months as a hard no-deal Brexit is avoided. Either the existing Brexit deal (or something very similar) is approved by parliament,

43、or the March 29th deadline is extended to allow time to find another way forward.We put the risk of a hard no-deal Brexit at just 15%. Thafs low, but still uncomfortably high. We cant rule it out entirely for five reasons: A key assumption underlining any game theory analysis is that all actors beha

44、ve rationally according to their incentives. Yet anyone familiar with European history will know that bad things can happen which benefit no one, and which no one ever wanted. The UK is on a pre-set course to leave the Ell on March 29th as a matter of law. An Act of Parliament probably will be requi

45、red to change that, and action of any kind has a high hurdle in a divided parliament.Outside the House of Commons, a large proportion of the governing Conservative partys grassroot members favour a hard Brexit, and this could persuade sufficient MPs that it would not be a disaster - at least from an

46、 electoral perspective.Negotiations have descended into a high-stakes game of chicken, where all sides have dug in, hoping that someone else blinks first. But what if no one does, the time runs out, and an accident happens?PM May now aims to bulldoze a vote through at the last minute, in the hope ei

47、ther of securing an eleventh-hour concession from the EU, or simply relying on time pressure to help persuade enough MPs to give their assent to the existing deal. The meaningful vote5 could be held between the EU Summit on March 21st and Brexit Day itself on March 29th. Eight days leaves little mar

48、gin for error, if she miscalculates.Fig 25 Brexit was a game-changer; Neutralising Brexit should be tooFig 26 FX option-implied vol sees max uncertainty at the 1 3m horizon, but ongoing uncertainty afterwards tooSource: Bloomberg, BoE, Macquarie StrategySo at a minimum, a white-knuckle ride lies ahead for sterling over the coming weeks. Signs of stockpiling and activation of contingency plans could add to the sense of impending crisis.