為什麼美國債收益率上揚而美元匯率卻下跌？

Why is the US dollar dropping when yields are rising?

The US inflation update beat forecasts, but USD traders are looking elsewhere

By Max McKegg

Wednesday』s update to the US consumer price index (CPI) beat expectations, the core rate coming in at 0.3% month on month. The actual number was 0.349%, just short of being rounded up to an official 0.4% print which would have been double forecasts and really set the cat amongst the pidgins.

上周三新公布的美國消費物價指數漲幅超預期，核心物價的月度環比漲幅為0.3%，實際的數據為0.349%，但不足以四捨五入到0.4%，即預測結果的兩倍，否則將在市場上真正引起一場軒然大波。

As it was the yield on the 10-year Treasury bond rose to 2.90%, but once again traders who were banking on higher rates lifting the dollar were disappointed. EURUSD moved up (as my FX Trading Analysis/Forecasts projected) even as the spread between Treasuries and the German bund equivalent rose to 215 basis points, a one-year high. The following chart shows an expanding spread eventually toppled the EUR in 2014 but clearly that point hasn』t been reached this time around.

雖然10年美國國債收益率升至2.90%，但寄希望於利率走高會提振美元匯率的交易員再次失望了。雖然10年期美國國債和10年期德國國債收益率之間的利差已經上升到了一年來的最高水平215個基點，歐元/美元還是如我預測的一樣走高。下圖顯示的是2014年歐元最終因該利差走闊而下跌，但是這次情況卻有所不同。

Euro versus 10 year spread

Source: Bloomberg.Create your own charts with SaxoTrader

One explanation for this is that markets are forward looking. They see scope for rate differentials to narrow as the Federal Reserve completes its policy rate normalisation plans in the next 18 months or so just as the European Central Bank is getting underway from a much lower base.

有一種解讀是市場將目光放長遠了，認為利差有縮小的空間，因為美聯儲會在大約18個月後實現利率的正常化，而歐洲央行還遠遠落在後面。

For USD to rally against the EUR something needs to happen to change this mindset. A few basis points on the bond yield won』t do it.

美元要想對歐元上漲就需要發生一些事來改變市場的這種想法，債券收益率區區幾個基點的利差變化達不到這個效果。

The Federal Open Market Committeemeets on March 20-21 The following chart shows the Committee』s December 「dot plot」 for the Federal funds rate versus market expectations based on the OIS (Overnight Index Swap) and fed funds futures curves. The median dot shows the Committee is leaning towards a rate hike in March and the market curves have moved up to price that in (almost).

美聯儲公開市場委員會將在3月20日至21日召開例會，下圖顯示的是12月份例會時預測聯邦基金利率走勢的「點陣圖」與隔夜拆放指數互換率以及聯邦基金利率期貨報價預測的聯邦基金利率曲線的對比情況。點陣圖的中位數顯示美聯儲傾向於在3月份會加息，市場隱含的聯邦基金利率曲線正在向此靠攏，幾乎完全消化了這種可能性。

Traders probably assume we are late in the economic cycle and the 「sugar rush」 of the US administration』s fiscal spending will be shortlived. Photo: Shutterstock

But further out the market curves continue to languish under the dot plot. Traders don』t think conditions will justify rate hikes at that pace, probably on the assumption we are already late in the economic cycle and the 「sugar rush」 of the US administration』s fiscal spending will be shortlived. Hence inflation will struggle to attain and settle at the Fed』s 2% target.

但是再往下走市場預測的收益率曲線就與美聯儲的點陣圖差距越來越大了。交易員並不認為今後的市場環境會讓加息具有合理性，可能認為我們已經處於經濟周期的最後階段了，美國政府增加財政支出的刺激效果只會在短期內奏效。 因此未來將竭盡全力才能達到美聯儲設定的通脹目標。

The Fed thinks otherwise and is likely to stick with the program in March and perhaps even up the ante. The dollar won』t rally until traders are convinced the Fed is right and they are wrong, in other words, until the OIS and fed funds curves rise to the dot plot

美聯儲另有所想，可能會按照先前貨幣政策的指引在三月份加息，甚至可能會加大加息力度。美元匯率將不會出現上漲除非交易員確信美聯儲是正確的而自己先前的看法是錯的，換句話講，除非隔夜拆放指數互換和聯邦基金利率期貨隱含的聯邦基金利率曲線抬升靠近聯儲點陣圖指引的水平。

Dot plot (Federal funds rate versus market expectations)

Source: Bloomberg

But splitting hairs over 25 basis point rate hikes at the short end of the curve has little impact on long-term bond yields.

但是在聯邦基金利率是否加息25個基點方面鑽牛角尖不會對長期限美國國債收益率造成什麼影響。

Bond yields are a combination of two key factors: the risk neutral yield and the term premium. The risk neutral yield is set by market expectations of where short term rates will be in the future.

美國債收益率的水平取決於兩個因素：風險中性收益率和期限溢價。風險中性收益率是市場預測的短期利率在未來會達到的水平。

The dot plot guidance is that the Fed funds rate will gradually rise to around 3% over the medium term and settle there.

聯儲點陣圖的指引顯示聯邦基金利率將在未來中期逐漸升至3%左右並駐留於此。

On this 「risk neutral basis」 then, the yield on the 10-year Treasury should be about 3%, as illustrated by the green line on the chart below.

基於這個「風險中性基差」的判斷，10年期美國國債的收益率應在約3%的水平，見下圖中綠線所示。

The second factor influencing yields is the term premium: the extra return investors demand to compensate them for the risk of holding medium term bonds. As the following chart shows, the term premium has actually been negative for some time. Deduct the negative term premium from the risk neutral yield and you end up with the current yield of about 2.9%.

影響債券收益率的第二個因素是期限溢價：也就是投資者要求對持有中期債券的風險進行額外補償的部分。見下圖所示，期限溢價一段時間以來實際上是負的。從風險中性收益率中剔除負的期限溢價就等於現在約2.9%的10年期美國國債收益率。

US 10 year risk neutral chart

Source: Nordea

The market is roughly in agreement with the Fed』s outlook for short term rates in the long term and so little change in the risk neutral curve can be expected (it would require a substantial revision of the US economy』s medium term growth prospects). That means a rise in the term premium will be needed to drive the 10-year bond yield higher from here. A rise of 100 basis points, still below the term premium』s long term average, would drive the 10-year yield up to 4%.

市場大致認可美聯儲對短期利率的長期展望結果，所以可預期風險中性利率曲線不會有什麼變化，除非對美國經濟中期增長預期做明顯的調整。這意味著期限溢價水平需要抬升才能導致10年期美國國債收益率走高。期限溢價即使上升100個基點，仍低於長期均值水平，但會促使10年期美國國債收益率升至4%以上的水平。

That would start attracting some interest in US dollar. Why is the term premium below zero?

There are two main reasons:

這樣就會開始給美元帶來一些吸引力。為什麼期限溢價會低於零？有兩個原因：

Any talk by the FOMC in March that their balance sheet reduction could be sped up would add some of that back quickly.

市場上任何關於美聯儲公開市場委員會在三月份加速削減資產負債表的議論都會造成期限溢價水平加速回歸歷史均值。

The reason the dollar is unable to gain traction of late is that money markets, not the Fed, are behind the curve. Traders and investors need to get on board with the Fed』s flight path for the policy rate over 2019-2020 and, more importantly, start pricing in a higher risk premium.

近來美元匯率上升乏力的主因是貨幣市場的反應，而不是美聯儲，落後於美國債收益率曲線的變化。交易員和投資者需要跟上美聯儲對2019至2020年間政策性利率的目標指引，更重要的是，需要開始在市場定價中體現出更高的風險溢價水平。

It』s not as if the risks aren』t there for all to see: just look at the fiscal largesse being promised by the US administration and the expansion of the bond issuance program that will accompany it.

也並不是說沒什麼風險了：只需看看美國政府承諾的財政開支的驚人規模以及隨之而來的美國國債新增發行規模就知道了。

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