日本走出流动性陷阱的市场影响

1、日本走出流动性陷阱的市场影响2013年2月7日 Issue No: 13/05 全球经济周评 研究报告日本走出流动性陷阱的市场影响 市场已开始计入日本走出流动性陷阱的预期多米尼克·威尔逊 (212) 902-5924 dominic.wilsongs4>> 日本汇市和股市的走势是过去几个月宏观经济领域发生的最大变化。我们在本文高盛集团 中将探讨成功走出流动性陷阱应该有哪些表现，以及衡量进展状况的一些方法。Kamakshya Trivedi 债券名义收益率稳定、汇率走软和股市上涨同时出现与走出流动性陷阱的早期阶+44(20)7051-4005 kamakshya.trive

2、digs> 段完全相符。 高盛国际 Noah Weisberger 充分可信的2%通胀目标将对市场产生更大影响 (212) 357-6261 noah.weisbergergs> 高盛集团 为了逃脱流动性陷阱，日本需要提升通胀预期。这是政策变化和2%通胀目标的 原因所在。通胀预期已经在升温。尽管通胀市场流动性不足，我们提供了如何将Aleksandar Timcenko 外汇市场作为替代指标的方法。以上两个指标均显示，30年通胀预期目前可能高(212) 357-7628 aleksandar.timcenkogs> 达高盛集团 0.75%。但充分可信的2%通胀目标如果实现可能推

3、动资产市场发生 更大的变化。 Jose Ursua (212) 357-2234 jose.ursuags> 高盛集团 我们从未到达“此处” 考虑到过去20年日本资产市场经历的类似起落，市场参与者担心政策当局的措施George Cole 不足以支撑高涨的预期。无论政策当局能否最终将预期变为现实，我们从未到达+44(20)7552-3779 george.colegs> 高盛国际 “此处”。通胀预期、实际利率和日元远期汇率的变动的确前所未见。而且政策 当局已经大幅放松了金融状况。 Julian Richers (212) 855-0684 julian.richersgs> 高

4、盛集团 基于日元远期汇率的预测显示通胀预期大幅上升 1.5ppts 30-year expected inflation implied by JPY 30Y forwards 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 050607080910111213 资料来源：高盛全球经济、商品和策略研究 投资者不应视本报告为作出投资决策的唯一因素。 有关分析师的申明和其他重要信息，见信息披露附录，或参阅.gs>/research/hedge.html。 高盛集团 2013年2月7日 Global EconomicsWeekly The market consequences

5、 of exiting Japans liquidity trap The moves in Japanese currency and equity markets have been the single biggest change in the macro landscape over the last few months. Markets have clearly responded to shifts in the Japanese monetary policy framework and are anticipating further shifts ahead. Judgi

6、ng the opportunities from here requires two things: ? First, a 6><#00aa00'>view on how policy is likely to change; Naohiko Baba and our Japan Economics team have laid out the possible options for monetary policy in the months ahead, and continue to discuss and monitor the operational ch

7、allenges for delivering fresh easing (see Japan Economics Analyst 13/01, for example). ? Second, a <#00aa00'>view on the shifts that markets are already expecting. That task is complicated by the counterintuitive nature of how markets behave in liquidity traps. To escape the trap, Japan ne

8、eds to raise inflation expectations to lower real rates, since nominal rates cannot be lowered. That is the logic behind the shift in monetary policy and a 2% inflation target. We look here at what a successful exit from the liquidity trap should look like and some simple ways to monitor and benchma

9、rk progress towards that. The combination of stable nominal bond yields, a weakening currency and rising equities is fully consistent with the start of that process. The decline in real rates and the rise in inflation expectations?which we also extract from long-dated currency forwards?defy the noti

10、on that we have seen this all before. Whether policymakers ultimately succeed in validating expectations, the shift in markets on this front is genuinely new. But a fully credible 2% inflation target?if it can ever be achieved?would potentially involve much larger shifts. Liquidity trapsGinza style

11、Liquidity traps?the point at which conventional monetary policy becomes ineffective because nominal interest rates fall below zero?have become a common feature of the landscape in the US, UK and other major economies. But Japan remains the archetype, and a cautionary tale. It is the first case in mo

12、dern history?and so the longest-lasting?of an economy coming hard up against the zero bound. But it is also the only case so far where a slide into deflation has meant that real interest rates (the nominal rate less expected inflation) are positive even with rates at zero. Unlike the US, where the m

13、arket still prices an eventual exit, Japanese rates markets have long priced policy to be stuck effectively at zero into the indefinite future. As a result, unlike the US, the ability to influence even long-term nominal interest rates through asset purchases has largely been exhausted. Raising infla

14、tion expectations is the only plausible channel to shift the real rate structure. While Japan first slid into deflation 15 years ago, the constraints of the liquidity trap intensified with the 2008 financial crisis. The classic symptoms of a liquidity trap?real rates that are too high and a real exc

15、hange rate that is too strong?have been starkly visible since then. Where the Fed offset deflationary pressures through sharp falls in long-term nominal and real interest rates, Japans long-term real interest rates rose through the crisis and stayed above pre-crisis levels from mid-2008 through 2012

16、 (Exhibit 1). The impact was compounded by the sharp reductions in interest rates in the US and elsewhere. The real interest rate differential between the US and Japan swung from positive to negative in late 2008 and moved further as the Feds unconventional policies lowered US real rates further in

17、2011, without a sufficiently aggressive offsetting BoJ response. As a result, the JPY strengthened during the crisis and strengthened more through the recovery (Exhibit 2). 高盛全球经济、商品和策略研究 2 2013年2月7日 Global EconomicsWeekly Exhibit 1: Japanese real rates higher post-crisis, even as Exhibit 2: A narro

18、wing real rate differential pushed the US rates fell JPY stronger 52.0130%pptsJapan 10Y real rateUS-Japan 10-year real rate differentialUS 10Y real rate1.5JPY (RHS)12041.011030.510020.090-0.5180-1.0070-1.5-1-2.06005060708091011121307080910111213 Source: GS Global ECS Research. Source: GS Global ECS

19、Research. Japan?like most other countries?has many problems besides monetary policy. But an overly tight (real) monetary policy has been the dominant macro problem of recent years. At its simplest, much of the strength of the JPY and weakness in Japanese asset markets over this period can be traced

20、to this source. Even counting the recent shifts, the JPY remains 24% stronger against the USD than in January 2007 and Japanese stocks are 35% weaker, the worst performer of the major markets (including a crisis-affected Euro area). What a liquidity trap exit should look like in asset markets Beyond

21、 the question of whether Japanese policymakers achieve success, a good anchoring point is to look at what a complete exit from a deep liquidity trap like Japans would look like across asset markets. As an economy moves into a liquidity trap, nominal rates become unable to fall below the zero bound.

22、The result is that real rates remain above where they would naturally be and the real (and nominal) exchange rate tends to be stronger than it would otherwise be. As a result, local asset markets are also weaker than otherwise, reflecting an excessively high real interest rate structure. A successfu

23、l exit essentially involves the reversal of these asset market effects. With little scope to lower nominal interest rates, the only way to push real interest rates lower is to raise inflation expectations. Precisely because the economy is in a liquidity trap, real rates are higher than they would be

24、 without the zero bound, so rising inflation expectations would not be expected to raise nominal interest rates, at least over the zone in which the liquidity trap was binding. So, the main shifts should involve a downward shift in the real rate curve, not an upward shift in the nominal 1rate curve.

25、 As a result of falling real rates, equities and other local assets should rise. The currency should also weaken. Because the shift in interest rate markets should push real rates lower while leaving nominal rates stable, the weakness in the spot currency rate should be accompanied by an equivalent

26、shift in long-dated currency forwards. This, we shall see, is an important and underappreciated feature of a liquidity trap exit. And it means that stable nominal interest rate differentials alongside a depreciating currency are not an anomaly, but the exact combination you should expect to see from

27、 a successful liquidity trap exit. 1 If the market came to believe in a successful exit, it is possible that very long-dated nominal rates might rise, since the pricing at very long horizons is less likely to be deeply trapped than at short horizons. 高盛全球经济、商品和策略研究 3 2013年2月7日 Global EconomicsWeekly

28、 Exhibit 3: Inflation swaps show rising inflation Exhibit 4: The JPY 30 years forward has broken out of its expectations since late 2011 old range 1.5 75pptsJPY, 30Y forward1.0700.5650.060-0.555-1.05010Y inflation swap rate-1.54520Y inflation swap rate-2.04030Y inflation swap rate-2.535-3.0300809101

29、112020304050607080910111213 Source: GS Global ECS Research. Source: GS Global ECS Research. Japanese asset markets consistent with a monetary policy shift How does this compare to what we see? The two most obvious aspects of the shift are easily visible: a sharp rise in equity markets and a sharp de

30、cline in the JPY. What is also striking is that Japanese bond markets have been remarkably stable. Japanese nominal bond yields have fallen at the front of the yield curve and may already have shifted to price duration extension in asset purchases from 3 to 5 years and a cut in interest on excess re

31、serves. At the 30-year point, there has been a mild increase in yields over the last 6 months, but less than the equivalent rise in the US. Some modest steepening in the back end of the curve is in any case consistent with the template we just described. Measures of real interest rates have fallen s

32、harply. Inflation swap markets show a significant rise in inflation expectations at all horizons: 10- and 30-year inflation swaps have moved from pricing persistent deflation to pricing positive inflation (of around 0.7%), and breakeven rates from index-linked Japanese bonds tell a similar story (Ex

33、hibit 3). The rise in inflation views seems to have occurred in two main steps: one in late 2011/early 2012 and another in the last few months. The result is that 5-year market measures of real interest rates have finally turned firmly negative and longer-dated measures of real rates have fallen to

34、around their lowest levels on record. At the same time, Exhibit 4 shows that the sharp depreciation in the spot level of the JPY has been matched by an equally sharp decline in where the JPY will trade 30 years forward, breaking out of the range of the last decade (excluding a brief temporary spasm

35、during the depth of the 2008 crisis). As a result, the tight link between the JPY and nominal interest rate differentials has broken down, as it should. Whether or not it is ultimately justified, the broad picture across markets is very consistent with the belief that something is changing in the co

36、nduct of monetary policy. Using FX markets to track inflation expectations The ability to measure inflation expectations is critical to tracking the progress and success of an exit policy in a deep liquidity trap such as Japans. Both index-linked markets and inflation swaps exist in Japan and have b

37、een used in calculating the real interest rates shown already. But those markets are a lot less liquid than in the US, so the risk that they are not truly representative of 高盛全球经济、商品和策略研究 4 2013年2月7日 Global EconomicsWeekly market views or are dominated by particular hedging needs is always a concern

38、. Survey expectations are another potential source of information and any sustained increase in inflation expectations will need to shift views there. But those measures may be much slower to move than the markets <#00aa00'>view. Fortunately, as suggested above, FX markets offer another cr

39、oss-check (see the Box on page 7). At very long horizons, the forward USD/JPY exchange rate can be viewed as a reflection of the price level expected at that date relative to the price level expected in the US. Long-dated forward FX markets are not highly liquid either. But the spot and interest rat

40、e markets that pin them down are liquid, so the price signals here may still be quite reliable. What is remarkable looking at the 30-year forward USD/JPY rate is how stable that rate was over much of the last decade. In fact, decomposing the appreciation in the JPY from the start of 2007, the entire

41、 appreciation to the lows in late 2011/early 2012 came without any shift in the 30-year forward currency rate (Exhibit 5). The entire shift in $/JPY could be explained by the decline in US interest rate differentials to Japan. Since early 2012, the exact opposite has been true. The entire depreciati

42、on has been driven by shifts in the 30-year JPY forward rate, with no role played by interest rate differentials. This supports the notion that over the last year, views of the future price level (and implicitly long-run inflation views) have begun to shift seriously for the first time in many years

43、. That regime shift reflects the same important shift seen in inflation markets. We can use 30-year JPY forwards, nominal interest rates and US inflation breakevens to generate an estimate of how Japanese inflation expectations have changed over time. Exhibit 6 does exactly this. It shows that after

44、 falling sharply during the 2008 financial crisis, expectations of modest deflation may have set in through much of 2009-2011 (an even gloomier picture than the inflation swap market may have priced). Since then, there has been a dramatic shift, with a leg higher in late 2011/early 2012 and another

45、shift higher since October 2012. The first rise occurs during the period of JPY intervention and the shift to a 1% inflation goal in February 2012. The second rise clearly matches the timing of the shift towards a 2% inflation target led by Prime Minster Abe. On this benchmark, 30-year inflation exp

46、ectations could now be as high as 0.75%, a similar message to inflation swap markets. While the exact benchmarking here cannot be taken too precisely, the story is the same. Japanese inflation expectations appear to have seen a major shift higher, alongside an equally large drop in real interest rat

47、es. Exhibit 5: JPY drivers shift from interest rate differential Exhibit 6: Inflation estimates from JPY forwards show a to forward JPY rate in recent months sharp rise in expectations too 30 1.5Change in JPY level fromJan 1, 2007ppts30-year expected inflation implied by JPY 30Y forwards201.0100.500

48、.0-10-0.5-20-1.0-30-1.5JPY, 30Y forward-40JPY spot-50-2.007080910111213050607080910111213 Source: GS Global ECS Research. Source: GS Global ECS Research. See text for details. 高盛全球经济、商品和策略研究 5 2013年2月7日 Global EconomicsWeekly What a credible 2% inflation target would mean for assets Although these a

49、reas imply a significant shift in inflation expectations, they also suggest that a credible commitment to 2% inflation is not yet close to being priced. What would asset markets look like if it were? Any attempt to analyse this is necessarily stylised, but helps to elucidate the main determinants. T

50、he key starting point is to think about the interest rate structure. Recall that the critical issue with the liquidity trap is that real rates are higher than they should be. As a result, inflation expectations can in principle rise without nominal rates rising, up to the point at which the real rat

51、e structure is appropriate again for the state of the economy and policy settings. At that point, the liquidity trap would cease to bind and raising inflation expectations further would push nominal rates higher (although by escaping the liquidity trap, the capacity of policy to limit those rate inc

52、reases would also be enhanced). Defining what the Japanese real rate curve should look like without the constraint of the zero bound (or the equilibrium real interest rate) lies beyond the scope of our analysis. But the US provides one possible template of what another developed economy has been abl

53、e to deliver: deeply negative real yields at the front end of the curve, with the instantaneous forward rate turning positive in 5-6 years time. We can look at what would happen to Japanese nominal rates if they priced something like the US real rate structure alongside a shift to 2% inflation over

54、the next five years and beyond. Exhibit 9 shows the results. Real rates would fall further, especially at the front end of the yield curve, and the nominal curve may actually flatten out to 7 years. Implied yields would then be higher beyond that point compared with where they are now. The shift in

55、nominal interest rates envisaged here, however, would be quite modest even at the 30-year horizon?around 40bp. The main shift would still come from significantly lower real rates. To look at the accompanying FX moves, we can use the same framework that allows us to back out inflation expectations fr

56、om the currency forwards. All else equal, if the market priced a 2% inflation target on a sustained basis, the 30-year JPY forward would be estimated to move to around 80 (from 62 currently). Assuming constant US interest rates and the assumptions above on nominal 30-year rates (a modest rise), this

57、 yields a spot JPY rate of around 115 (Exhibit 10). Of course, if US rates rose relative to Japanese rates over that period?as our forecasts envisage?the JPY spot rates consistent with a fully credible target could move much higher still. The JPY TWI would likely follow a similar path. While a JPY r

58、ate of 115 seems some way off current levels, analysis by our Japan Economics team has shown that it will be difficult to deliver core CPI inflation of even 1% without the JPY weakening to these types of levels. Translating these shifts into equities cannot be done so directly. But the tight correla

59、tions between Japanese stock markets, the JPY and Japanese real rates in the last 7-8 years suggests that they have increasingly shared the same drivers over this period, even if it is wrong to <#00aa00'>view either as causing the other. We can use those relationships and our estimates of where the JPY and real rates might belong to make a simple prediction for where local equity markets might trade. Simple models of this kind generally put