亚洲资本市场监测报告

1、33 7 57 79 95 66 92 115 asia capital markets monitor april 2009 the asia capital markets monitor (acmm) reviews recent developments in emerging asias stock, bond, and currency markets along with their outlook, risks, and policy implications. this inaugural issue features a special section “bringing

2、life to asian money markets.” the acmm covers the capital markets of the peoples republic of china; hong kong, china; india; indonesia; republic of korea; malaysia; philippines; singapore; taipei,china; thailand; and viet nam. contents global and regional environment equity markets bond markets curr

3、ency markets non-deliverable forwards markets special section: bringing life to asias money markets 111 boxes reshaping the global financial architecture 21 funding fiscal stimulus packages 62 shaping yield curves learning from earlier mistakes republic of korea and thailand inside money markets how

4、 to reach us asian development bank office of regional economic integration 6 adb avenue, mandaluyong city 1550 metro manila, philippines telephone +63 2 632 6688 facsimile +63 2 636 2183 e-mail asianbondsonline_ emerging asian capital markets: a regional update h

5、ighlights global and regional environment amid global recession, financial markets are showing signs of stabilizing as aggressive policy measures gain traction. equities worldwide have seen a bear market rally since mid-march, with volatility easing if still elevated. even if markets have reached bo

6、ttom, the road to recovery will likely be long and hard. long-term government bond yields have started edging up, as record government issuance to fund financial rescue and fiscal stimulus packages test government creditworthiness. money market spreads have gradually tightened with extensive liquidi

7、ty injections, though they remain high compared with pre- september 2008 levels. emerging asias market performance and outlook the financial outlook for emerging asia is less bleak than for other regions, with net private capital inflows to the regions capital markets expected to remain positive thi

8、s year, if down sharply from their 2007 peak. equity markets across emerging asia show signs of a tentative recovery, as valuation indicators have begun to look attractive. any sustained recovery, however, could be delayed as uncertainty over the severity and length of the global financial crisis an

9、d recession weighs down investor sentiment. local currency bond issuance should expand in 2009 as fiscal policy moves center stage in the fight against recession and government bond issuance rises to finance fiscal stimulus packages. rising bond yields associated with increased government bond issua

10、nce may raise funding costs of fiscal stimulus packages. most emerging asian currencies fell sharply against the us dollar given massive deleveraging and heightened risk aversion. growing cross-border transactions, rapid investment inflows, and speculative positioning have driven emerging asias non-

11、deliverable forwards markets. continued overleaf abcp abm abs abmi adb albi asean+3 bi bis bnm cds cp cpi eu fdi fdic fx g3 g20 garch hkma it imf ipo korea lcy libor mas mbs acronyms, abbreviations, and notes asset-backed commercial paper asia bond monitor asset-backed securities asian bond markets

12、initiative asian development bank asian local bond index (hsbc) special section: bringing life to asian money markets money markets are central to capital allocation, the efficient distribution of liquidity among financial institutions, and the hedging of short-term risks; they act as an aggregator

13、and clearing house for liquidity and are key to price discovery for financial instruments. aseanassociation of southeast asian nations asean plus peoples republic of china, japan, and republic of korea bank indonesia bank for international settlements bank negara malaysia credit default swap commerc

14、ial paper consumer price index european union foreign direct investment federal deposit insurance corporation foreign exchange eurozone, japan, and united states although the relative underdevelopment of money markets in emerging asia helped insulate the region from the worst effects of the global f

15、inancial turmoil, all money markets experienced some degree of dislocation. building vibrant, resilient money markets in the region will require authorities to ensure market confidence, depth, and liquidity, while consistently updating the supervisory and regulatory environment. g8 gdp msci mdb nie

16、ndf oecd ois orei otc pboc prc q-o-q rbi repo saar sbv us us fed wto y-o-y ytd group of 8 group of 20 generalized autoregressive conditional heteroskedasticity gross domestic product hong kong monetary authority information technology international monetary fund initial public offering republic of k

17、orea local currency london interbank offered rate monetary authority of singapore mortgage-backed securities morgan stanley capital international multilateral development bank newly industrialized economy non-deliverable forward organisation for economic co-operation and development overnight index

18、swap office of regional economic integration overthe-counter peoples bank of china peoples republic of china quarter-on-quarter reserve bank of india repurchase agreement seasonally-adjusted annualized rate state bank of viet nam united states united states federal reserve world trade organization y

19、ear-on-year year-to-date despite the diversity among emerging asian markets, there is a common architecture that can enhance the development of money markets: - a transparent and robust legal and regulatory framework; - prudent regulation and effective risk management practices; and - continued libe

20、ralization of domestic financial markets and better cross-border collaboration. bp = basis points note: to conform with market practice, the asia bond monitor uses two-letter official iso country codes and three-letter currency codes rather than adbs standard symbols. the asia capital markets monito

21、r april 2009 was prepared by adbs office of regional economic integration and does not necessarily reflect the views of adbs board of governors or the countries they represent. 0 1 35.5 1 emerging asian capital markets at a glance figure h1: world gdp,1 world trade volume,2 and growth (y-o-y change,

22、 %) 15 12 9 6 trade 4.0 12.3 11.0 5.2 6.2 global economic activity slows at an alarming speed, recession sets in, and trade volumes plummet. 3 -1.0 -3 -6 1981 1985 1.5 1989 gdp growth 1993 1997 2001 -1.0 -3.5 2005 2009f3 export volume. 2gdp = gross domestic product. 3f = forecast. sources: asian dev

23、elopment outlook 2009, asian development bank; world economic outlook database (oct 2008), global economic policies and prospects for the g20 meeting of the ministers and central bank governors, international monetary fund. figure h2: writedowns and capital raised by major banks since july 2007 (usd

24、 billion, as of 31 mar 2009) 1400 1200 1000 800 600 1295.4 1113.1 869.8 646.3 asset writedowns capital raised the global banking system remains the weakest link in the chain of global financial and economic crises. 400 390.1 397.8 200 0 worldamericaseurope 69.1 asia source: bloomberg. figure h3: net

25、 private capital flows emerging asia1 (usd billion) 350 300 250 equity flows credit flows 315 for emerging asia, the financial outlook is less bleak than for other regions, with net private capital 200 150 100 50 179 private flows 201.9 112.9 85.7 65 inflows to the regions capital markets expected t

26、o remain positive this year. 0 -50 -100 19951997 -63.3 1999 2001200320052007 -20.8 2009 forecast refers to peoples republic of china; india; indonesia; malaysia; philippines; republic of korea; and thailand. source: institute of international finance. 254 1 -10 -20 0 1 figure h4: 10-year and 2-year

27、government bond yield spreads (% per annum) 3.0 2.5 2.0 1.5 1.0 0.5 eurozone united states 0.58 2.10 2.51 1.87 1.80 0.93 0.91 japan a sharp rise in government bond supply to finance financial rescue and fiscal stimulus packages are starting to put upward pressure on long-term bond yields. 0.0 -0.5 -

28、0.22 -1.0 jan- mar- may- jul- sep- dec- feb- apr- jun- sep- nov- jan- mar- 07 07 07 07 07 07 08 08 08 08 08 09 09 source: datastream. figure h5: 3-month libor minus ois1 spreads (basis points) 400 350 300 250 200 150 100 50 110 362 united states united kingdom eurozone 122 98 83 money market spreads

29、 have gradually narrowed with extensive liquidity injections, although they remain elevated compared with pre-september 2008 levels. 0 9 -50 jan- 07 apr- 07 jul- 07 nov- 07 feb- 08 may- sep- 08 08 dec- 08 mar- 09 ois=overnight index swap. sources: staff calculations based on bloomberg data. figure h

30、6: bear markets in asia1 (% change) -30 -40 current oct-2007- present asian financial crisis jul-1997-sep-1998 emerging asias equity markets show tentative signs of stabilizing after being hit hard by the global financial crisis. -50 -60 -70 -66.4 -65.3 -55.8 it crash mar-2000oct-2002 02468 10 12 14

31、 16 18 20 22 24 26 28 30 32 month based on morgan stanley capital international (msci) asia (excluding japan) index. source: bloomberg. 120 buys bear stearns 100 80 60 40 50 1 3 2008 2007 3 1 3 figure h7: msci indexesemerging asia1 (2 jan 2007 = 100) 160 140 bnp paribas hedge funds collapse us housi

32、ng activity slowed in the third quarter of 2007 equity markets across emerging asia show signs of a tentative recovery, as valuation indicators have begun to look attractive; still, jpmorgan chase the us federal reserve cuts the discount rate lehman brothers declares by 50 basis points bankruptcy; b

33、ank of america takes over merrill lynch prc 3rd quarter gdp growth continued to slow registering a single digit growth for the first time in 5 years us bails out fannie mae and freddie mac 63 55 the road to sustained recovery could be long and hard. jan-07may-07sep-07feb-08jun-08nov-08mar-09 refers

34、to peoples republic of china ; india; indonesia; republic of korea; malay- sia; philippines; taipei,china; and thailand. 2prc=peoples republic of china. gdp = gross domestic product. source: morgan stanley capital international (msci) barra. figure h8: total bonds outstanding 2007 and 2008 (usd tril

35、lion) c hina, p eoples r ep. of k orea, r ep. of india malays ia thailand s ingapore hong k ong, c hina indones ia p hilippines viet nam lcy bond issuance is expected to increase in 2009 as fiscal stimulus packages have become a primary tool of governments across the region in the fight against rece

36、ssion. 00.51.01.52.02.5 figure h9: regional currencies1 (1 july 2008 to 30 march 2009, % change) korean won -24.9 indonesian rupiah eu2 euro indian rupee malaysian ringgit singaporean dollar philippine peso thai baht vietnamese dong prc renminbi hong kong dollar japanese yen -20.2 -16.4 -15.4 -10.6

37、-10.5 -7.0 -6.1 -5.3 0.3 0.6 9.0 most emerging asian currencies fell sharply against the us dollar amid massive deleveraging and heightened risk aversion; while they have stabilized somewhat lately, volatility remains high. -30.0-25.0-20.0-15.0-10.0-5.00.05.010.015.0 latest closing as of 30 march 20

38、09, based on the usd value of local currency. negative values indicate depreciation. 2eu = european union. prc = peoples republic of china. source: orei staff calculations based on reuters data. 200720082007200820072008200720082007200820072008200720082007200820072008 1 1 figure h10: implied volatili

39、ty of exchange ratesasean-4 (3-month atm1) 50 45 40 35 30 25 20 15 10 philippines 5 0 jan- jun- nov- 05 05 05 apr- sep- feb- 06 06 07 indonesia thailand malaysia jul- dec- may- oct- mar- 07 07 08 08 09 23.9 13.5 10.9 10.4 foreign exchange volatility is at its highest level in a decade; although the

40、current global credit crisis influenced volatility less than past financial crises. at-the-money strike. source: bloomberg. table h1: average daily ndf turnover (usd million) 2008200920032004 growing cross-border transactions, rapid investment inflows, and cny inr krw idr php myr 1,000 800 3,000 400

41、 500 500 50 20-50 700-1,000 50 20-30 speculative positioning are driving emerging asias non-deliverable forward markets. source: deutsche bank. figure h11: outstanding short-term debt securities1 (% of gdp)2 50 krmoney markets require further 40 30 20 sg ch th hk ph p riv a te g o v e rn m e n t dev

42、elopment to effectively allocate capital, efficiently distribute liquidity among financial 10 my in id institutions, and hedge short-term 0 note: kr=republic of korea; sg=singapore; ch=peoples republic of china; th=thailand; hk=hong kong, china; ph=philippines; my=malaysia; in=india; id=indonesia. d

43、ebt securities with remaining maturity up to 1 year, including those issued in domestic and international markets. private sector debt covers securities issued by financial institutions and the corporate sector. domestic securities for 2008 are as of september 2008. 2fiscal year 2008 gross domestic

44、product data for india is world economic outlook estimate; for rep of korea estimate from published fiscal year budget ratios. sources: orei staff calculations based on data from bank for international settlements; ceic; world economic outlook update oct 08, international monetary fund. risks. 2 eme

45、rging asian capital markets a regional update 1. global and regional environment global financial market developments amid global recession, financial markets are showing signs of stabilizing as aggressive policy measures gain traction. having traversed rough waters in 2008 and early 2009, global fi

46、nancial markets are starting to show signs of stabilizing, with stock prices around the world edging upward and credit conditions improving, albeit slowly. since february, global indicators have been sending some signals that the bottom may be near (figures 1.1a, 1.1b, 1.1c, 1.1d). extensive policy

47、actions to prevent a major downturn and restore market confidence are also gaining traction, especially with the latest plan by the united states (us) treasury to buy up toxic assets from banks. the recent quantitative easing by the us federal reserve (us fed) is also providing some relief to credit

48、 markets, tentatively halting the markets downfall. equity markets worldwide have experienced a bear market rally since mid-march after the major sell- offs in mid-september. a synchronized downturn in major industrial countries and the growing spillover effects on emerging market economies have wei

49、ghed heavily on global equity markets. the year-end rebound was cut short when most equity markets around the globe experienced renewed weakness after worse-than-expected earnings reports and fresh economic data pointed to a deeper- than-expected recession in early 2009. but attractive valuations ar

50、e starting to draw investors attention in a very low (and in some cases zero) interest rate environment. priceearnings ratios have dropped as well, even as earnings expectations declined further in early 2009. equity valuations in emerging markets also fell to very low levels, particularly in centra

51、l and this section was prepared by cyn-young park. for any inquiries, please contact . a bear market rally refers to an increase in equity prices during a primary down- ward market trend, or “bear market.” 5 60 g l o b a l a n d r e g i o n a l e n v i r o n m e n t figure 1.1a: baltic

52、dry index1 14000 figure 1.1b: copper future prices (usd per lb) 1200011440 4 4.0 10000 8000 3 6000 2 1.8 4000 2000 1646 1 1.3 0 jan- 07 apr- 07 jun- 07 sep- 07 dec- 07 mar- 08 jun- 08 sep- 08 dec- 08 mar- 09 0 jan- 07 apr- 07 jun- sep- 07 07 dec- mar- jun- 07 08 08 sep- dec- mar- 08 08 09 figure 1.1

53、c: jpmorgan global manufacturing output index2 figure 1.1d: private housing starts and prices3us 55 57.5starts (million units) 3 prices (mean, $ 000) 300 50 45 2 2.27 prices 276 258 250 40 35 35.2 1 starts 242 1.09 210 200 30 0.58 25 29.3 0150 jan- 07 apr- 07 jun- sep- dec- 07 07 07 mar- 08 jun- 08

54、sep- 08 dec- 08 mar- 09 jan- jun- nov- apr- sep- feb- jul- dec- may- oct- feb- 05 05 05 06 06 07 07 07 08 08 09 the index indicates the price of moving major raw materials by sea. 2a component of the jpmorgan global manufacturing purchasing managers index (pmi), which serves as an indicator of globa

55、l manufacturing business conditions, based on data collected from surveys around the world. a reading above 50 indicates an increase in the variable since the previous month and below 50, a decrease. seasonally-adjusted levels. source: bloomberg, datastream, jpmorgan, ceic. eastern europe, where the

56、 global credit crunch severely hit the banking sector and the real economy. recent improvements in investors risk appetites have lifted emerging market stocks. while the morgan stanley capital international (msci) world index fell 4.6%, the msci emerging markets index rose 12.2% figure 1.2: msci ind

57、exes (2 jan 2007 = 100) year-to-date (figure 1.2). even as most markets plungedled 160 140 120 100 80 60 144 95 emerging markets world 61 by the decline in the financial sector in january and february some emerging markets made noticeable comebacks. the top year-to-date performers include the people

58、s republic of china (prc) (33.9%), peru (41.9%), and russia (49.7%). 54 49 40 jan- mar- may- jul- sep- dec- feb- apr- jun- sep- nov- jan- mar- 07 07 07 07 07 07 08 08 08 08 08 09 09 the last date used for daily market movements throughout the publication is 10 april. source: morgan stanley capital i

59、nternational (msci) barra. 120 40 20 400 300 200 1000 800 600 400 g l o b a l a n d r e g i o n a l e n v i r o n m e n t figure 1.3: implied volatilities1 volatility has come down from the highs of late 2008, although it remains elevated as uncertainty over 100 80 60 nikkei ftse s 2009 figures are

60、preliminary. source: orei staff calculations based on data from the us department of labor, bureau of labor statistics. financial wealth worldwide.6 with the global credit crunch still broadening, banks are tightening lending to businesses and activity1 united states 50.8 50 50.8 50 40 35 30 25 jan-