芝加哥商品交易所研報：歐元/美元匯率在財政和貨幣政策的對立中進退維谷
de Euro-Dollar Caught in a Fiscal-Monetary Tug-of-War
By Erik Norland
The euro-U.S. dollar (EURUSD) exchange rate has been trading in a narrow range from 1.15 to 1.25 for the past eight months. In some respects, EURUSD』s lack of direction isn』t surprising. Economic growth remains solid, if unspectacular, on both sides of the Atlantic but the similarities between what』s happening in Europe and in the U.S. end there.The U.S. has rising interest rates and inflation, a shrinking central bank balance sheet, full employment and ballooning budging deficits. By contrast, Europe has low, stagnant interest rates and inflation, an expanding central bank balance sheet, falling but still high unemployment and narrowing budget deficits. Monetary and fiscal policies have been pulling the currency pair in opposite directions, with a narrow scope for price movements that have depressed both real and implied volatility (Figure 1) – a situation that could persist for a while but won』t last forever.
歐元/美元在過去八個月里震蕩於1.15至1.25之間的狹小區間內。從某些方面來講，歐元/美元缺乏明確的方向性並不令人感到驚奇。大西洋兩側的經濟增長態勢雖看上去平談無奇但實際上仍很強勁，但是歐美之間的共同之處也就僅限於此了。美國這邊是正在上升的利率和通脹，正在縮水的央行資產負債表，充分的就業形勢和正在暴增的預算赤字。而在大西洋另一側的歐洲，利率和通脹還在低位徘徊，央行資產負債表仍在擴張，失業率雖然下降但仍很高以及預算赤字正在處於收窄進行時。貨幣和財政政策對歐元/美元匯率的走勢起的是相反作用，匯率波動區間的收窄造成實際波動率和隱含波動率被壓制在低位（見圖一），這種情況持續了一段時間但不可能長期持續下去。
Figure 1: EURUSD Implied Volatility is Nearer Historic Lows Than Historic Highs.
Macroeconomic Indicators
宏觀經濟指標方面
Despite unemployment falling from 10% to 3.9% over the course of the past eight and a half years, U.S. inflation isn』t exactly rip roaring. Core CPI, excluding volatile food and energy prices, is at 2.1%. The Federal Reserve』s preferred measure, the core PCE deflator, has risen 1.9% over the past year. While these numbers may seem a bit modest, they contrast sharply with the situation in Europe where core inflation recently fell to 0.7% YoY and hasn』t exceeded 2% since 2003 (Figure 2).
儘管在過去八年半的時間裡，美國失業率從10%降至3.9%，但美國的通脹率基本上沒有大幅暴漲。不含波動率很大的食品和能源價格的核心消費物價指數為2.1%。而美聯儲最喜歡盯的指標——衡量個人消費支出物價水平的核心指數在去年上升了1.9%。數字雖然看上去比較溫和，但與歐洲的情況形成了鮮明的對比，按年率計算的歐元區核心通脹率增速在近期放緩至0.7%，而2003年以來的漲幅就沒超過2%（見圖二）。
Figure 2: Europe』s Inflation Rate Remains in the Cellar, Whereas U.S. Inflation is Close to 2% Target.
The difference in inflation stems in no small part from the very different states of the European and U.S. labor markets. U.S. unemployment recently fell to a 17-year low and is half a percent below its pre-recession level. European unemployment began falling four years after the U.S. labor market began to recover and remains at 8.5%, over a percent higher than its pre-recession level (Figure 3).
歐美在通脹方面的迥異狀況與歐美就業市場大不相同的狀態毫無關係。近期美國失業率跌至17年來最低，比2008年大危機前的水平還低0.5個百分點。歐洲失業率在美國失業率自危機後的最低點反彈了四年以後才開始下行，但仍停留在8.5%的位置，比2008年危機前的水平高了一個百分點還多（見圖三）。
Comparing U.S. and European unemployment rates is always an arduous task. European labor laws differ much more from one country to another than U.S. labor laws differ from one state to another. As such, some European countries, notably France, Greece, Italy, Portugal and Spain, have notoriously inflexible labor markets whose regulations protect workers and create, as an unintended consequence, elevated levels of structural unemployment. Many of these countries, by necessity or choice, have begun to reform their labor markets which may have the impact of lowering the level to which Europe』s unemployment rate could potentially fall without generating inflation, barring any misstep by the European Central Bank (ECB) that hinders the economy』s continued recovery.An unemployment rate of 3.9% might not be realistic in Europe, but given the low level of inflation, generous monetary support and the fact that unemployment has been falling at a pace of 1% per year, it』s easy to imagine unemployment falling below 7% by the end of the decade. Whether this would be enough to ignite inflationary pressures is another matter but it might convince the ECB to begin normalizing policy by ending quantitative easing and negative rates.
對比歐美在失業率方面的差別總是一件很艱巨的任務。歐洲各國之間在就業法律方面的差距比美國各州之間的差距要大得多。因此一些歐洲國家，尤其是法國、希臘、義大利、葡萄牙和西班牙在勞動力市場方面素來以死板程度高而臭名昭著，這些國家的陳規陋習過於保護勞動者，無意中造成結構性失業的水平居高不下。很多這些國家，不管願意還是不願意，都開始對就業市場進行改革，這將有可能進一步降低歐洲國家的失業率而且不會導致通脹水平走高，從而避免了歐洲央行所做的阻礙歐洲經濟持續復甦的舉措帶來的惡果進一步蔓延。歐洲應該見不到3.9%的失業率了，但是由於歐洲的低通脹、寬鬆的貨幣政策為經濟帶來了相當大的支持外加失業率以每年百分之一的速度下降，因此很容易可以做出歐元區的失業率會在本世紀末跌至7%以下的預期。這是否足以引發通脹增速加快是另一回事，但應該會證明歐洲央行將結束量化寬鬆和負利率的局面以實現貨幣政策正常化。
Figure 3: Unemployment is 0.5% Below Pre-Recession level in the U.S. but 1.2% Above in Europe.
Fiscal Policy
財政政策方面
One thing is clear: Europe can』t count on any fiscal support to boost its economic prospects in the near term. Chancellor Angela Merkel won』t allow it in Germany, the country that is in the best position to offer a stimulus. Also, no tax cuts or spending increases are on tap in President Emmanuel Macron』s France, which is mainly focused on improving labor market flexibility. Italy』s new populist government would probably like to offer fiscal stimulus but 130% government-debt-to-GDP ratio should be enough to contain any such ambitions. Greece, Ireland, Portugal and Spain were burned badly by the most recent financial and fiscal crisis to entertain the idea of tax cuts and spending increases.
有件事很清楚：歐洲不能指望通過財政支持的手段來提振短期經濟增長前景。德國總理默克爾不會允許這種情況發生在德國，雖然德國在經濟刺激方面手段最多。馬克龍領導下的法國也不準備使用減稅和增加開支的辦法，而是將精力主要放在提升就業市場的靈活性上。義大利新的民粹主義政府有可能會出台財政刺激方案，但是義大利國債相當於GDP130%的現實應足以讓新政府打消此類念頭。希臘、愛爾蘭、葡萄牙和西班牙被最近幾年的財政金融危機搞得焦頭爛額，因此對減稅和增加政府開支的想法根本不感興趣。
在財政政策方面歐美之間的差距簡直大得不能再大了。儘管美國經濟步入復甦已經八年，國會還是在去年12月份通過了減稅法案並在三月份通過了預算開支法案。在2009年至2016年期間美國的預算赤字佔GDP的比例從10%下降到2.2%，而在所有減稅和增加開支等舉措出台之前的2017年預算赤字佔GDP的比例已經回升到3.5%。到今年一季度末預算開支增加的影響被人感知之前，預算赤字佔GDP的比例為3.8%，到2019年有可能會到相當於為5.0%至5.5%的GDP的程度（見圖四）。
Figure 4: U.S. Fiscal Deficits are Expanding as European Deficits Continue to Shrivel.
Generally speaking, larger budget deficits are bearish for currencies. As such, Europe』s comparative fiscal discipline should support the euro at the expense of the U.S. dollar, which has often weakened in response to past expansions in both fiscal and trade deficits (Figure 5). At the very least the combination of a shrinking Federal Reserve balance sheet and increasingly large deficits should boost the amount of U.S. debt on the market at a time when European debt remains relatively restrained amid continued (if slowed) quantitative easing and shrinking budget deficits.
一般情況下，一國預算赤字擴大對該國貨幣的匯率不利。因此，歐洲相對嚴格的財政紀律應利好歐元/美元的匯率，美元過去經常因財政和國際貿易收支雙赤字的擴大而走弱（見圖五）。至少可以這麼講，美聯儲縮減資產負債表和預算赤字的日益增加這一增一減的局面加在一起增加了市場上的美國國債供應量，與此同時，在歐元區的量化寬鬆繼續進行以及預算赤字減少的背景下歐元區的債券流通量仍得到相對有效控制。
Figure 5: Larger Deficits Often Sink the Dollar.
Monetary Policy
貨幣政策方面
Monetary policy is the most obvious area of divergence between the two currencies. On the one hand, the Fed is raising rates vigorously and promises to continue doing so even as it shrinks its balance sheet. On the other hand, the ECB continues to buy bonds and probably won』t raise rates until late next year at the earliest.
歐美之間最明顯的差異是在貨幣政策方面。一方面，聯儲在大幅加息並宣示將繼續加息進程即使已經開始縮減資產負債表的規模；而另一方面，歐洲央行繼續購債並且有可能至少在明年末以前都不會加息。
How EURUSD reacts to divergences in the U.S. versus eurozone monetary policy varies over time, (Figure 6) but the direction is always consistent: higher rate expectations in the U.S. correlate to a stronger dollar and a weaker euro. In the past year, the relationship has been unusually weak, perhaps owing to the market』s attention to the U.S. fiscal expansion and the legislation that Congress passed in December 2017 and in March this year. That said, no similar legislation will likely pass Congress during the current Administration. As such, markets will be free to concentrate on monetary policy divergence again, even as U.S. fiscal deficits grow and European fiscal gaps narrow.
歐元/美元的匯率對歐美在貨幣政策方面的對立局面在不同時期的反應程度並不相同（見圖六），但是方向卻是一致的：對美元利率走高的預期總是跟美元匯率的走強和歐元的走弱聯繫在一起。但在去年這種關聯關係變得前所未有地弱化了，原因也許是市場對美國財政開支增加的後果以及2017年12月份和今年3月份議會通過特朗普總統的一系列提案的過程給與了過多的關注和擔憂。也就是說，市場認為美國現政府的一系列提案不太可能通過國會的審核，因此再次將聚焦於歐美貨幣政策方面的差異，儘管美國財政赤字出現上升而歐元區的財政赤字卻在縮小。
Figure 6: Expectations of Higher Fed Funds Rates in the Future Typically Support the Dollar.
The Fed』s dot plot suggests two or three additional rate hikes in 2018, followed by two or three more in 2019 and one or two more in 2020. Markets are in partial agreement. Fed Funds futures prices 2-3 additional hikes in 2018 and then one or two more in 2019 followed by an indefinite pause. The ECB won』t likely tighten policy until late 2019 at the earliest.
美聯儲點陣圖的預測結果顯示2018年還有2到3次加息，之後在2019年還有兩到三次，2020年還有一到兩次。市場在一定程度上認可了這一預測結果。聯邦基金利率期貨的定價預示著2018年有另外兩到三次加息，2019年有一到兩次加息，之後加息將無限期地暫停，並預測歐洲央行至少在2019年末以前將不會緊縮貨幣政策。
The focus for the ECB in 2018 is the ending of additional quantitative easing measures. In 2019, the focus will likely turn to leadership changes when ECB President Mario Draghi』s term ends in October next year. The battle over his succession will be crucial to determining whether the ECB pursues the dovish and accommodative stance it has undertaken since Draghi became leader or whether its new leadership will focus on fighting inflation, no matter how non-existent that inflation may be. In any case, it is conceivable that Draghi will try to normalize policy slightly before leaving, perhaps at least ending the ECB』s experiment with negative interest rates.
市場對歐洲央行2018年的關注焦點是量化寬鬆舉措會不會被終結，而對2019年的關注焦點將轉向歐洲央行人事變動，屆時現任歐洲央行總裁德拉基將在10月份交棒。圍繞其繼任者的爭奪將決定是德拉基上任以來實施的鴿派寬鬆貨幣政策繼續得以持續還是換上一位著眼於對抗通脹而不管事實上有沒有通脹的候選人。不管何種情況，可以相見德拉基將致力於使貨幣政策在其離任前向正常化方向有些許轉變，也許至少可以讓歐洲央行的負利率政策退出歷史舞台。
Outlook
前景展望
EURUSD』s trajectory depends on which set of factors, fiscal or monetary, gain the upper hand. Options prices imply that monetary policy will likely be the stronger of the two influences in the near term. EURUSD』s implied volatility skews to the downside, with options prices below the at-the-money (ATM) level priced higher than options an equivalent distance above the ATM price. This pattern holds true for a variety of different maturities (Figure 7).
歐元/美元匯率的走行路徑取決於財政政策或貨幣政策中的哪個因素能佔上風。期權報價顯示貨幣政策有可能會在近期發揮更大的影響力。歐元/美元的隱含波動率偏向下行，行權價低於平價的看跌期權，即價外看跌期權的期權費報價比行權價高於平價的看漲期權，即價外看漲期權的期權費報價要高，這兩個期權的價外程度相同，這種情況在不同期限的期權報價中均顯示出來（見圖七）。
Figure 7: Investors are More Worried About the Euro』s Downside Than its Upside.
There is some logic to this view. Normally, fiscal policy changes at a glacial pace. It requires a seismic event like the outcome of the 2016 U.S. Presidential election to change its course and, even then the recent tax and spending legislation cleared Congress by only the narrowest of margins. There is no reason to expect another such shock before 2020 even if party control of Congress changes after the November mid-term elections. Likewise, Europe』s fiscal state is unlikely to evolve much over the next year.
這種看法有其邏輯上的根據。通常，財政政策變化的速度會很慢，財政政策的改弦更張需要諸如2016年美大選結果令人大跌眼鏡這樣的突發事件作為誘因，甚至近幾個月美國稅改法案和財政開支法案在國會的通過也是一波三折，只是僥倖過關。因此沒理由預期2020年之前會有另一次類似的驚天事件爆發，即使在今年11月份舉行的中期選舉中參議院控制權易手也不足以令局勢有如此之改變。同樣，歐洲的財政狀況也不可能在明年發生多大變化。
Compared to fiscal policy, monetary policy is much more flexible. Central banks often act with a great deal of inertia. Unchanged short-term rates tend to beget more unchanged short-term interest rates. Rate rises tend to lead to more rate rises. Central banks often tighten policy until something goes wrong.
相較於財政政策，貨幣政策更具有靈活性。各家央行的施策經常具有很強的慣性，短期利率的缺乏變化就越會導致短期利率愈加穩定。利率的提升常常會導致更多的加息行動，央行經常會一路悶著頭緊縮貨幣政策直到走過頭了才突然驚醒。
Occasionally, they achieve soft landings as the Fed successfully engineered in the mid-1980s and again in the mid-1990s. More often, however, they tighten until something goes wrong. In the ECB』s case, they may leave policy easy until something goes right: unemployment falls further and core inflation finally begins to make a serious approach to their 2% target – a prospect that seems far off.
偶爾央行也會實現貨幣政策的軟著陸，美聯儲在1980年代中期以及後來的1990年代中期均成功地實現了軟著陸。但是更多的時候，央行會將既定的貨幣政策頑固地執行到不想要的情況出現為止。而歐洲央行的情況卻是，歐洲央行會一直讓貨幣政策保持寬鬆直到想要的情況出現為止：即失業率進一步下行，核心通脹開始真正地貼近其2%的政策目標。但現在看，離這一目標的實現似乎還遙不可及。
As such, options traders may be right to cast their lot with the idea that monetary policy will, more likely than not, pull the dollar higher and the euro lower over the next 12 months. Where the dollar will really get into trouble will be when the U.S. economy slows and eventually falls into a recession. That would bring the fiscal and monetary factors into alignment with falling interest rates and exploding budget deficits. This scenario, however, almost certainly won』t happen in 2018 and probably won』t happen in 2019 either.
因此，期權交易員關於貨幣政策將很有可能在未來12個月里推高美元/歐元匯率的判斷應該是對的。美國經濟增長出現放緩並且最終步入衰退的時候正是美元匯率將真正陷入困境之時，這會在財政政策和貨幣政策方面同時出現利率走低和預算赤字暴漲等麻煩。但這種情景出現在2018年的可能性幾乎可以肯定不會有，2019年也應該不會發生。
It may, however, happen in the early 2020s, depending upon how much further the Fed tightens policy and if its policy tightening inadvertently derails economic growth. The eurozone may eventually suffer the consequences of a U.S. recession but the two currencies』 economies aren』t perfectly synchronized. For example, the U.S. went into a recession in 1990 and 1991, but that storm didn』t come ashore in Europe until 1992 and 1993. European currencies rose 15-20% versus USD in 1990. Likewise, in 2007, the first signs of trouble began to appear in the U.S. subprime mortgage market about 18 months before European credit markets began their own very different sovereign debt crisis. In 2008, the euro reached its all-time high of nearly 1.60 versus USD as the U.S. economy sank while Europe appeared to avoid the crisis, at least in its early stages. As such, if the U.S. experiences a downturn in 2020 or 2021 as a result of excessive monetary tightening, a still easy ECB could prevent or delay such a reckoning in Europe for a year or two, sending the euro soaring.
但這種情況可能會出現在2020年年代早期，當然還得看聯儲加息政策會走多遠以及這種貨幣政策的緊縮是否會在不經意間危及經濟成長勢頭。屆時，歐元區終會感受到美國經濟衰退的後果。歐美這兩邊的經濟增長步調並非完全一致，例如，美國經濟在1990和1991年陷入衰退，但是歐洲直到1992和1993年才受到波及，主要歐洲國家的貨幣兌美元的匯率在1990年上漲了15%-20%。同樣，在2007年美國次級債券市場開始顯露出危機跡象18個月後歐洲才開始受到自家頗具特色的主權債務危機的影響，2008年隨著美國經濟的衰退，歐元/美元的匯率達到將近1.60的歷史最高點，而歐洲卻似乎至少在美國的危機處於早期階段時免受其負面影響。因此如果美國經濟在2020年或2021年受到貨幣政策過度緊縮的影響而遭遇下行，歐洲央行仍相對寬鬆的貨幣政策應能夠將類似的危機在歐元區的爆發時間推遲一到兩年，在此期間歐元/美元的匯率會因此暴漲。
Bottom Line
要點
Monetary and fiscal policy in opposite directions on EURUSD
貨幣政策和財政政策對歐元/美元匯率的走行方向產生了截然不同的影響
Monetary policy may win out over the next 12 months and push the dollar higher
貨幣政策會在未來12個月里發揮更大的影響，推動美元匯率走高
Options traders see more downside than upside risk to the euro
期權交易員認為歐元/美元下行的概率大於上行概率
A U.S. recession, perhaps around 2020 or 2021, could align fiscal and monetary policy and seriously weaken the U.S. dollar versus the euro early in the next decade.
美國經濟衰退可能會發生在2020年或2021年前後，其影響會在財政政策或貨幣政策方面同時顯現出來，並在下個世紀初嚴重地削弱美元/歐元的匯率走勢
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