全球外汇展望：人民币汇价.docx

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1、Desk Strategy8 July 2019 GlobalFX AND RATESO MACQUARIEThis publication has been prepared by Sales and Trading personnel at Macquarie and is not a product of the Macquarie Research Department.() ddoo SB S B stodx StrategistsMacquarie Bank Limited Singapore Branch、 Gareth Berry +65 6601 0348Macquarie

2、Futures USA LLC、 Thierry Wizman +1 212 231 2082Macquarie Bank Limited Hong Kong BranchO Trang Thuy Le +852 3922 2113Macquarie Capital (Europe) LimitedEimear Daly +44 20 3037 4802 7Global FX Outlook: The CNY Hinge Seatbelts pleaseEventual tariff escalation likelyUS-China trade negotiations have resta

3、rted. But the omens are not good, and we brace for US tariff imposition on all China exports within a few months. That should spark a slow managed CNY depreciation under market forces, which would be less disruptive than a sudden devaluation, but still unnerving, and the ripple effects would be felt

4、 globally. We see USDCNY punching through key psychological levels on its way to 7.05 by 3Q.The broad USD to stay selectively firmA tariff is a tax on US corporations, passed on to US consumers. But everyone feels the hit as global trade contracts. How the broad USD trades w川 depend on (1) the feroc

5、ity of the global slowdown and (2) the degree to which Innocent bystanders5 are caught in the cross-fire. Our best guess is that market events over the coming months will be severe enough to activate the US dollars safehaven appeal, and Asian trade-dependent currencies have most to lose.The Fed dime

6、nsionFed rate cuts are coming, but US policy easing in response to a global slowdown should be met by dovishness elsewhere, leaving the broad US dollar no worse off. Looking into 2020 though, as US political risk intensifies and the Fed reinterprets its inflation-targeting mandate, we expect the USD

7、 to finally lose some of its sheen. Well return to these future themes in later editions.Limited room for further EUR weaknessThe Eurozones growth engine remains highly export-sensitive. Some European manufacturers could benefit from trade diversion as US-China trade contracts, but even a modest glo

8、bal slowdown risks exposing the regions structural fragilities. Another blast of ECB easing should help EURUSD dip to 1.12, but an unwind of EUR-funded carry trades into EM could limit the damage and pave the way for an eventual euro rebound into 2020.Anywhere to hide?The yen has upside potential, a

9、s the Fed eases and global growth stutters; we see USDJPY falling to 103 by end-2019. AUDUSD could benefit when China unleashes stimulus to offset the loss of trade; 72c is within reach by end- 2020, but we see a dip to 68c first. Some EMs could be unscathed, either because domestic issues dominate

10、over trade, or because a global slowdown could scare their policymakers into following through with structural reform: Brazil, Argentina, India, and Russia come to mind.Stay away from sterlingThe launch of the Brexit Party, and its immediate popularity, means the Conservative UK government will be f

11、orced to press ahead with some form of Brexit (or risk electoral annihilation). A hard no-deal Brexit on Oct 31st still seems unlikelv. But an early general election might be used to break the logjam, after which all bets are off.Sales and Trading personnel at Macquarie are not independent and, ther

12、efore, the information herein may be subject to certain conflicts of interest, and 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

13、. Please refer to the important disclosures .Fig 8 Who holds global FX reservesFig 9 USD remains the worlds preferred reserve currencyGlobal FX ReservesGlobal FX Reserves14 Rest of world China Russia12 -10 -Sep-06 Sep-09 Sep-12 Sep-15 Sep-18o o o o o o o7 6 5 4 3 2 1 () -Eoloajp-cs p sb S6U-PO.Casn8

14、0 USD s share of global FX reservesSource: Bloomberg, Macquarie StrategyJun-99 Jun-02 Jun-05 Jun-08 Jun-11 Jun-14 Jun-17Source: IMF, Macquarie StrategyWill the Fed re-iinterpret its inflation targeting mandate?The Jackson Hole Symposium back in 2016 was tantalisingly titled Designing Resilient Monet

15、ary Policy Frameworks for the Future： In the lead-up, speculation was rife that Fed speakers at the conference might endorse a new interpretation of the dual mandate, but it never happened. One by one speakers pointed out the inadequacies of alternatives and concluded that the current approach, thou

16、gh imperfect, was still best.Fast forward to today, and a formal review of the Feds monetary policy framework is currently underway. This time we do expect a re-interpretation, one that makes it explicit that the Fed can allow inflation to run hotter in future to make up for a long period of sub-tar

17、get inflation in the past.The implication would be that the Fed Funds target would, over the next 10 years or so, be lower under the new regime than under the old, and the shift could spark some mild USD weakness across the board. We anticipate a final decision in Q1 2020.But we would not want to ov

18、er-estimate the significance of this. Over in Europe, ECB President Draghi is already starting to talk more forcefully of a symmetric inflation target: well have to define the medium term in a way that, if the inflation rate was for a long time below 2%, it will be above 2% for some time. Even befor

19、e that, former ECB President Trichet was fond of referring to the average Eurozone inflation rate since the euros inception.So the Feds impending interpretative change would only bring the two major central banks into line rather than expose the USD to intense selling pressure. Besides, against a ba

20、ckdrop where central banks are unable to sustain above-2% inflation rates anyway, the interpretive distinction is largely academic for now.What about political jawboning?The US political establishment is becoming gradually more vocal in calling for a weaker USD. Sceptics would point out that Trump h

21、imself hasnt had much luck in that department, despite two years of trying. Still, on a multi-year horizon, the rhetoric could eventually take its toll.Trang Thuy Le+852 3922 2113CNY: Breaking above 7G20 truce may keep RMB in a narrow trading range in the next month or two, but we expect depreciatio

22、n pressure to resume by end 3Q, leading to an eventual break above 7 as trade war re-escalates.We see no strong incentive or urgency for US and China to strike a deal soon. Both sides face political pressure at home not to yield to the others demand. And neither the financial markets nor the economi

23、es are weak enough to force them to change their position.A comparison of the economic and financial market performance now versus conditions in the lead up to the G20 meeting in Argentina in December 2018 explained the lack of urgency now versus stronger wiliness to strike a deal then.In China, the

24、 Shanghai composite index entered a bear market in mid-2018; the economy was suffering from a major credit tightening, and policy makers appeared to panic. The word “danger” featured extensively in policy communication, referring to the risks to the economy. The US economy arguably still looked soli

25、d back in 2H 2018, but concerns on earning growth and US- China trade war caused a 10% correction in the S&P ahead of the Argentina G20. The Fed was still hawkish and projecting further hikes.Fast forward to now, S&P is trading at a new record high, and the Fed has signalled rate cuts. In China, the

26、 SHComp has recovered half of its drop in May and is up a whopping 20% YTD. China growth has weakened again, but the pace of deterioration appears more manageable, and policy makers have refrained from broad-based stimulus.We think the lack of urgency is not merely posturing. Trump has said he is ha

27、ppy where we are now as the US is taking in “a fortune from higher tariffs on Chinese goods. China meanwhile have laid out clearly 3 pre-conditions for a deal with the US in its White Paper, namely 1/ removal of all tariffs, 2/ reasonable purchase of US goods, and 3/equal language in the statement 一

28、 a position that will be difficult to reverse publicly.This backdrop suggests to us that the risk of trade talks breaking down again after a month or two of negotiation is high (at least 60%). A 10% tariff on the remaining Chinese goods will prove too attractive an option to pass for Trump in that s

29、cenario. It could either be applied in isolation or combined with other measures to restrict Chinese companies5 operation or US exports of tech sensitive products to China.Ultimately, this may create the necessary market and economic pressure to force concessions and drive a deal by year end.Fig 10

30、CNY underperformance to DXY is not yet extremeFig 11 RMB is likely to weaken further against its trade basket as trade war re-escalatesHow the PBoC will respond to yuan depreciation is crucial to its path. We expect initial resistance, similar to what we have seen in the past, but for 7 to eventuall

31、y be tested when new tariffs are applied to Chinese goods.Rather than an attempt to weaponize the yuan in trade war, we think the PBoC will view such an adjustment as needed to reflect weaker China growth outlook, and a fundamental shift in FX market demand and supply for USD (more demand for hedgin

32、g versus less supply from exporters) to justify weaker yuan equilibrium level.Yi Gangs recent comments where he deemphasized the importance of the 7 line in the sand and advocated FX flexibility as an automatic stabilizer for the economy supported our view.Overall, we have pencilled in USDCNY rising

33、 to 7.05 in 3Q before moderating below 7 by year end with the base case of escalation in tariffs near term, followed by an attempt to strike a deal some time in 4Q.We expect CNYCNH spread to remain elevated, especially on an initial test close to 7. The FX options market has cut the probability it s

34、ees USDCNH rising above 7 by year end to 25% now from close to 40% earlier. Such pricing looks to be on the low side, in our view. PBoC easing of liquidity has also cheapened the cost of short yuan forward positions, making them attractive for hedging.We recommend buying USDCNH 3m forward below 6.90

35、, and own protection in vols and skews for hedging a weaker yuan in trade war in 2H.What if we are wrong on tariff escalation?We do acknowledge; however, that the chance of additional tariffs would fall if growth data start to surprise more sharply to the downside than we forecast in the next month,

36、 and financial markets start to correct themselves on growth concerns. Such a scenario would increase the pressure on the two leaders to act and prevent a breakdown in trade talks. The Fed put and upcoming ECB easing we expect in September may help prevent a sharp market selloff, but ultimately it i

37、s all about growth.Should growth weaken enough in the near term to force a deal without the need for additional tariffs, CNY is still likely to experience depreciation pressure initially although 7 may be narrowly avoided.Below we review the key questions around RMB and PBoC policy objectives and to

38、ols to manage RMB depreciation.Where does yuan depreciation pressure come from?1/ Hedging demand from corporatesThis is likely to be the main chunk of USD demand near term.China went through a period of deleveraging of onshore FX debt after the August 2015 devaluation. However, offshore FX debt issu

39、ance has exploded since, in particularly amongst the non-financial corporates - largely real estate developers.Combining the data from SAFE for onshore FX debt, and BIS international bond issuance, we estimate that total FX debt has increased to $1667bn at the end of 2018, a 14%yoy increase versus 2

40、017. Of this, $1trn came from offshore FX debt issuance.Amongst the offshore debt issuance, $483bn (end 2018) is from non-financial corporates, of which $67bn matures in 2019. Hedging demand alone could easily amount to $150bn-$200bn in the coming months.Fig 12 FX debt has continued to increase, esp

41、ecially in offshore issuanceFig 13 Foreigners have also bought into China assets YTD$bnChina FXdebt,$bn2000 China foreign debt, FX denominated, $bn05 06 07 08 09 10 11 12 13 14 15 16 17 18Source: Bloomberg, Macquarie StrategySource: Bloomberg, Macquarie Strategy21 Foreign selling/hedging of Chinese

42、assetsThe other pressure comes from some foreign selling of Chinese assets as well as hedging demand from foreign investors after relatively large inflows YTD. Equity and bond investors bought a total of RMB193bn ($28bn) in 1Q this year. Foreign equity investors appeared more sensitive to trade rela

43、ted headlines, having sold RMB72bn in April and May but bought back RMB42.6bn in June.Selling pressure from bond investors may be more limited, as aside from the recent inflows, buyers of Chinese bonds in 2017/18 are primarily reserve managers, who are unlikely to cut their yuan exposure despite dep

44、reciation.3/ Lack of USD selling by exportersExporters act as stabilizers in CNY depreciation episodes as they tend to sell USD to lock in favourable USDCNY rate in anticipation of future RMB appreciation. However, when trade tariffs is their primary concern, FX will become a natural hedge against t

45、ariffs. Exporters are likely to hold back from repatriating or exchanging their USD earnings for RMB in hope that RMB would depreciate should US apply further tariffs on China.4/ Speculative capitalsFinally, speculative capital will also drive some demand for USD as it is sensitive to yuan direction

46、. But given strict capital controls remain in place, capital outflows are likely to be limited - similar in scale to late 2018, rather than the stampede seen in 2015/16.What is the policy objective: RMB as a weapon, FX anchor, or Economic stabilizer?1/ As a weapon? Not really.The signals from the PB

47、oC so far are clear that they do not wish to weaponize RMB in a trade war. Both the government and the PBoC continue to emphasize yuan fundamental strength and PBoC has acted to cap depreciation pressure via both intervention and lower USDCNY fixes.We dont think the PBoC will use RMB devaluation as

48、a strategy to gain advantage in a trade war and to inflict pain on the US. The damage to China would be too high, and the benefit (if any) limited. Besides, China has other more conventional policy tools at hand to support growth.CNY August 2015 devaluation (which saw USDCNY fix rise by 4.6% in 3 successive trading days) rattled global markets and drove a 11% plunge in S&P. However, Chinas Shanghai Composite also fell by 27% in August 2015. The CNY devaluation unleashed a wall of domestic outflows and China ended up spending nearly a fifth of its FX reserves stock (