高盛-首要思考：高债券收益率有多令人担忧？-TOP of MIND HIGHER BOND YIELDS：HOW CONCERNING-20261013

InvestorsshouldcoInvestorsshouldcoandotherimportantdisclosures,seetheDisclosureAppendix,orgotowGoldmanSachsGlobalInvestmentResearch2 MacronewsandviewsWeprovideabriefsnapshotonthemostimportanteconomiesfortheglobalmarketsLatestGSproprietarydatapoints/majorchangesinviewsLatestGSproprietarydatapoints/majorchangesinviewsDatapoints/trendswe’refocusedon•BoJpolicy;wecontinuetoexpectthenextratehikeinJanuary2027,thoughthetimingcouldbebroughtforward•FY2027MinistryofFinancebudgetrequ•Japanrealwages,whichhavegrowthsincethebeginningoftheyear.•Japanconsumersentiment,whichdeclinedinSeptember.•Weloweredour2026corePCEinflatio(Q4/Q4,from3.2%)afterlarger-than-expecteddownwardDatapoints/trendswe’refocusedon•USeconomicgrowth,whichhasremainedresilientthiseconomyisbifurcated,withstrengthamongupper-incomeconsumersandAI-exposedse•USmidtermelections,wherepredictionmarketsimplyrelativelyhighoddsofaDemoAfadingUSinflationimpulseEffectsoftemporaryPortfoliomanagementeffectSoftware&acces.effectEnergy/IraneffectTariffeffectGSforecast1.751.501.251.00PortfoliomanagementeffectSoftware&acces.effectEnergy/IraneffectTariffeffectGSforecast0.00Jan-25Jul-25Jan-26Jul-26Jan-27Jul-27Japan’sever-increasingbudgetrequestssupplementarybudgetsbyfis180BudgetrequestInitialbudgetAftersupplementarybudget16014012010080020202021202220232024202520262027Source:BureauofEconomicAnalysis,GoldmanSachsGIR.Source:MinistryofFinance,GoldmanSachsGIR.LatestGSproprietarydatapoints/majorchangesinviewsDatapoints/trendswe’refocusedon•PositivegrowthspilloversfromtheglobalAIcapexboom,whichwethinkshouldcontinueinto2027.•Frenchelections;fiscalchallengesislikelytofacei•Italy’s2027/2028fiscaldeficit,whichwasrevisedupsignificantly,weakeningthecountry’sdebtoutlook.•Risingsovereignstress,whibeyondDec,whenweexpectthelasthike.LatestGSproprietarydatapoints/majorchangesinviewsDatapoints/trendswe’refocusedon•China’sexportboom,whichwefindstillhasroomtorunoverthenextfewyearsbutwilleventuallyrequirestrongereconomicgrowthinimportingcountries.policymakerscontinuetoleanagainstmarketexpectati•Asia’sAIdividend,whichisbroadeningbeyondexports.•Brazilianpresidentialelections,whichwillbesettledinasecond-roundrunoffonOctober25,withamarket-friendlyelectionoutcomelikelytoleadtofurthTighterEAfinancialconditions,limitedECBhikes7060504030200-10-20LongratesCorporatespreadsFranceItalyBelgiumEuroareaSpainPortugalFinlandGermanyAustriaNetherlandsShortratesLongratesCorporatespreadsFranceItalyBelgiumEuroareaSpainPortugalFinlandGermanyAustriaNetherlandsSovereignspreadsTrade-weightedFXTrade-weightedFXTotalchangeSource:GoldmanSachsGIR.USD/CNYonthedecline7.257.207.157.107.057.006.956.906.856.806.756.70Trump's100pptariffthreatonChina(Oct10)USpayrollTrump's100pptariffthreatonChina(Oct10)RecordFXinflowsinDecemberdovishoutlookontheFeRecordFXinflowsinDecemberPBOCsignaledLondonframeworkagreementtoLondonframeworkagreementtoimplementGenevaconsensus(Jun11)(Jan15)Warsh'sfirstFOMCpressconference(Warsh'sfirstFOMCpressconference(Jun18)Trump-XiMeetinginSouthKorea(Oct30)Start(Oct30)StartofIranWar(Feb28)(Sep25)Trump-Xi(Sep25)Trump-XiSummitFedhike(SepFedhike(Sep16)May-25Aug-25Nov-25Feb-26May-26Aug-26Source:Bloomberg,GoldmanSachsGIR.GoldmanSachsGlobalInvestmentResearch3 Higherbondyields:howconcerning?implicationsforgrowthandmarkets.Bothharemarkablyresilientmarketsnearnewall-timehighs.Butwibeginningtoemerge—mosthowwearrivedathigherrates,underscoringthebreadthoftherise,whichheattributesmainlytofundamentals—stronggrowth,inflationrisks,hawkishpolicyshifts,theongoinginvestmentcycle,andlong-runfiscalrisks—butnotesthattechnicalfactorslikelyamplifiedtherecentmove.AndwhileheultimatelyexpectsyieldstofallSo,justhowmuchofathreamacrooutlook?Foranswers,wefirstturntoTobiasAdrian,SpecialAdvisortotheMaMarketsDepartmentatEconomistofMoody’sAnalytics,shocksofthepastsevenyears:resilienconditionsor,moreimportantly,disruptedmarketfunctioningvulnerabilitiesintheAIandtechnologycomplex,sovereignbondmarkets,andEMs—nottomentioncyberrisks—allwhichleaveshim“vigilantbutcautiouslyoptimistic.”resilient.TheirexpectationthattheFedwilldeliverjustonemoreratehikethisyearbeforecuttingnextyear—consistentwithMarshall’sexpectationoflowerTreasuryyields—leadsPierfrancescoMeitoexpectonlyamodest0.2ppgrowthBriggs’andJohanAllen’srulesofthumbfortheimpactofDavidMericleandMeialsoworryabouttheimplicationsthealready-concerningUSfiscaltrajectoreconomyasvulnerableratherthanresili“distributionofpossibleoutcomesasveryflatandheavilyskewedtowarddarkertailscenarios.”Heseestheclearestsoftnessinthelabormarket,withweakhiringwagegrowthformanyworkersweighingonconsumerspending.AndhetakeslittlecomfortfromUSgrowthcontinuingtorunaround2%—roughlyitspotentialrate—notingthatAIaccountsforroughlyone-thirdofthatgrowth,leavingthenon-AIeconomygrowinwhichhecalls“aprettypunkeconomy.”ZandialsoworriesthattheUSfiscalsituationiestatemarketsandsqueezingexistingdebtors.Asthesestressesmount,heseeselevatedriskofsometinthefinancialsystem.Alltold,heputstheoddsofthecurrentvulnerabilitiespushingtheeconomycompletelyoffWithbankshistoricallyatthecenteroftheraeconomiccrisesthatZandiisworriedabout,wethenexplorebanks’netinterestincomeandrevensensitivebalancesheets.RamsdenalsosignificantdeteriorationincredeconomicdownturnandsaysthatmosexcesscapitalevenafteraccountingforratButevenifbankscanweSniderarguingthatcurrentratelevcontinuedstrongUSearningsgrowthandviewingtheheadwindtocorporatecreditfromhigherratesslowdowninprivatemarketactivitytoreboundostrengthenedthestrategiccaseforbondsinamulti-portfolio,thoughstrongearningscontinuetofavorequitiesfornow.Buttheyallwarnthatifratevolatilityremainselevated,andespeciallyifyielriskassetscouldfacemAllthatsaid,withtheAIboompoweringtheeconomyandmarkets,everythingmaycomedowntowhetherhigherrateswillderailit.SniderviewsthisasunlikelygiventhestrongbalancesheetsofthefirmsinvestinginAIandtheexpectedprofitabilityoftheseinvestments,withLynamalsoseeingaconcernedaboutthecircularityofinvestment,increasedleverage,andthesustainabilityofrevenuecomplex.AndZandiagainseemsthemostworried,warningthat“AIcouldbecomethepartoftheeconomythatbreaks”AllisonNathan,EditorEmail:allison.nathan@Tel:212-357-7504GoldmanSachs&Co.LLCTheviewsstatedhereinarethoseoftheinterviewbeenessentiallyzerowhenexcludingthehealtdemandwiththesupplyrateenvironmentbyborrowingcostsrGoldmanSachsGlobalInvestmentResearch5 thecapitalnecessarytosustainthecurrbuildout.Fornow,AIisoperatingunderitsownmomentum,supportedbyconsiderableremainattheselevelsorhigherforlongerAIcouldbecomethepartoftheeconomythatbreaks.Lastbutnotleast,higherratsituation,whichisitselfcontributingtoelevatedyieldstoday.Whilewehavenavigatedthisfiscalriskforsometime,thedecade.Annualfederacomingyear—unlikely,butlargeenoughtowarrantattention.So,higherrateswillweighontheeconomythroughseveralsystem.Wecannotknowexactlywherethefaultlinewillemerge,buttheriskofthesepocketsofweaknessbecomingaIviewthedistributionofpossibleoutcomesasveryflatandheavilyskewedtowarddarkertailscenarios.”AllisonNathan:HowdotheseriskstranslateintontheassumptionthattheIranwarbeginstowinddown,allowingoilpricestodeclinetoaround$80/bblaswemoveiImportantly,though,Iviewthedistributionofpossibleoutcomesasveryflatandheavilyskewedtowarddarkerenergypriceselevatedandthefinancialsystem.Meanwhile,theTreasurymarkethaandforeigninstitutiosensitivehedgefundsthatcouldrushfortheexitsunderstress.Adebt-limitconfrontationunderalikelydividedUnextyearcouldprovidethecatalystunderestimatetheconsequenceanevensharperbondmarketselloffthanexperiencingcouldoccur.andIremaininherentlyoptimistbondmarketselloffataroundone-in-fourandoftheegoingcompletelyofftherailsforanyofthereasignificant.Iputtheoddsofaseverebondmarketselloffataroundone-in-fourandoftheeconomygoingcompletelyofftherailsforanyofthereasonswehavediscussedataroundone-in-three.So,thedownsiderisksaresignificant.”rates.Shouldthatprovideanycomfortthattheworst-caseMarkZandi:ThatremandallowstheFedtotakeitsfootoffthebrshouldbringyieldsdownacrossthecurve—thougcrisisandevenhigheryields,short-littleeffectonthelongend.TheFedwouldneedtoturntoalternativepolicypurchases.ThatwouldamounttofinanstrategysimilartotheoneemployedbytheBoJyears—whichcouldprovecounterproductivebyreducingthepressureonlawmakerstoaddresstheunderlyingproblewhilefuelingevenmorepersistentinflation.AllisonNathan:WhydoyouthinkothersaremoresanguineabouttherisksthathighetheUSeconomy?MarkZandi:SomelikelysestrengthandexpectAItodrivemuchstrongergrowth.Otherspersistentlyhigherinflation.ButthemorefundamentaldifferenceisthebroaderlensthroughwhichIcurrentlyviewtheeconomy.ManycontinuetodescribetheUSeconomyasresilient,borderingonfrustrating.Inmyview,therightwordisvulnerable.Again,growthispedestrian,thwhichwasfurtherunderscoredbythemuchweaker-than-expectedSeptemberjobsreport,realwagegrowthisrising.ThatshiftinperspectivecompletelychangeshowoneTheviewsstatedhereinarethoseoftManagement,ortheIMFExecutJennyGrimberg:WhathasdividendofthepandemicisthaJennyGrimberg:Asbondyieldsconticoncernedthatthisresiliencecasubstantial,broad-basedtighteningiThreevulnerabilitiesstandoutintheAlanearningshitcouldfairlyquicklofleveragedETFsandderivastrengthofthecomplexiprofitabilityandpressGoldmanSachsGlobalInvestmentResearch7 capitalhasflowedoutonnetasdomesticinvestorsdirecttheirSo,eventhoughEMeyears,capitalflowshavemovedintheotherdirection.leavesthesecountries’externalpositionsmoreleveraged,withinterestratesareelevated,fundamentallyaboutspreads.Whenratoftenrepricefasterthandepositcosts,supportingbanknetto-marketlossesonfixed-incomesecurities,whilehigherspreadssupportedprofitability.JennyGrimberg:Whataboutresidentialandcommercialrealestate,wherestresseswerealreadyvisible?countries.London’shmeaningfully,whileothermajorfinancialcenterslikeNewYorkRealestatevaluationsaresensitivepaceofpriceappreciationwillprobablyelevatedlevels.Butwitheconomicactivityremainingrelstrong,immediateseveredistressineithercommercialorJennyGrimberg:WhenwouldyoubegintoworrythathigheryieldsarecreatiTobiasAdrian:Thespeedandmagnitudematterenormously.Sodeleveragingappearstobeocnonlinear,whichcouldsewhichinvestorsareforcedtoreduceleveragepressuresandintensifyingmarketstress.Thequestionthenbecomes:whowillcatchthefallingknife?endedfundswerethesellers,whilesomehedgefundsactuallybecauseitwouldbeparticularlyworrisombanksectorcoincidedwithforcedassetsalJennyGrimberg:WhatshouldinvestorswatchforwarningTobiasAdrian:Iwouldwatchrepomarketandmoneyfunctioning,becausetheearlywarningsignsofstresstypicallyshowupinshort-termfundingmarkets.Iyields.Iwouldalsowatchforabroadertighteningoffinancialconditions,whichcanindicatethatpresimpliedvolatilityasamarket-basedasfeedsdirectlyintoinvestors’risk-managementmodels.Whenimpliedvolatilityrisessharply,investorpositions,whichcanreinforcetheunderlyingmaJennyGrimberg:Ifvulnerabilitiesweretobecomemoreacute,howwellpreparedarepolicymakerstoresliquiditythroughrepooperations,outrightrepeatedlydemonstratedthattheycanacdecisivelywhenmarketfunctioningdeteriorates.Thatisdistinctfromthebroaderstanceofmonetarypolicy.Ongoiratesandinjectliquidityatthesametime.stillbewillingtorespondasforcefullyastheydidduringthepandemic,butaftertakingsuchaggressivesustainability.Ifmonetaryandfiscalauthoritiesacttogether,astheydidin2020,thatwouldtemporarilymitigatemarketstress,butitwouldnotresolvethelonger-termfiscalproblem.Hopefully,therecentriseinbondyieldswillfepoliticsoffiscalpolicyandpromptanadjustment.BopressurehasalreadytriggeredpolicyshiftThequestionishowfaryieldsmustrisebeforeadjustmentoccursmorebroadly,andwhetherthatadjuswithoutuncomfortablevolatility.Butuntilitoccurs,fiscalpolicymakerswillremainreJennyGrimberg:Wheredoesallofthatleaveyouontheoutlookfortheglobaleconomyandmarkets?TobiasAdrian:Itisimportanttodistinguishbetweenthebaselineandthedownthefaceofmultiplesevereshocks,andIwouldnotbesurprisedifitcontinuestoshrugoffhigheryields,providedtheytime,Idoworryaboutdownsiderisks.Beyondthetheycertainlycouldbecomeso.AIcouldstrengthencyberdefenses,butitcouldalsoenhanceoffensiwhilesophisticatedinstitutionsmayberesilienttocyberattacks,manyfirmsmaylackthecapabilitiesandknow-howtodefendthemselveseffectively.So,plentyofroomexiststoworryaboutthedownside,buttheoffsetispolicymaking,especiallymonetarypolicymaking,aswehavediscussed.Alloftleavesmevigilantbutcautiouslyoptimistic.884%2%FedChairmanVolckerincreasedthFedChairmanVolckerincreasedthdouble-digitinflationundercontrolRecessionsfollowingdepressioncauseswereeconomy,failureoftheestatecollapseandensuingdepressiondepressioncauseswerespeculativefailedattempttolosses,acrisisofDepressionofsoldierswagesaseconomicgrowthimprovwitheconomywitheconomy4.5%4.5%abrogationofabrogationofWoods4.7%4.6%4.3%4.7%4.6%4.3%4.0%4.2%4.0%4.2%crashWWIWWIfollowingtheendoftheWarofCivilWarCivilWarUSforcedoffofgoldstandardWWIIUSforcedoffofgoldstandardWWIISachsGlobalInvestmentResearchSachsGlobalInvestmentResearchAlonghistoryofUSrates .GoldmanNote:Chartshowsmonthlyaverages.Source:GlobalFinancialData,Inc.,FederalReserveBoard,HaverAnalytics,GoldmanSachsGIR.GoldmanSachsGlobalInvestmentResearch9 Higherrates&DMgrowth:rulesofthumbGSglobaleconomistsJoseph(2)consumers,crediEach100bpincreaseinrateslowersDMhousinginvestmentby6%overthenext1-2yearsonaverage...onresidentialinvestment,%20-10NetherlandsJapanKingdomGermanyAustraliaSwedenCanadaNetherlandsJapanKingdomGermanyAustraliaSwedenCanadaDMaverageHousinginvestmenthashistoricallybeenmostsensitivetoratesintheUS,thoughhousingsupply-demandimbalancesandnonfinancialconstraintswilllikelysignificantlydampentheeffecttoday...andDMbusinessinvestmentby1.8%,withlargereffectsintheNetherlands,Sweden,andGermanyHittocorporateinvestmentwithinnext12m,%DMaverageInterestDMaverageInterestexpensesSubstitutioneffect00HigherratesdisincentivizebusinessinvestmentasfirmsmustHigherratesdisincentivizebusinessinvestmentasfirmsmustrefinancematuringoutstandingdebtathigherrates,thoughthemagnitudeoftheeffectdependsonthesizeandmaturityofthedebtstockNetherlandsSwedenGermanyEuroareaSpainCanadaJapanNetherlandsSwedenGermanyEuroareaSpainCanadaJapanAustralia...DMconsumerspendingby0.2%onaverage,withthelargesteffectsinAustralia,Sweden,andCanada...consumptionbycredittype,%0.20.0-0.2-0.4-0.6-0.8-1.0-1.2-1.4AustraliaSwedenCanadaUnitedKingdomJapanUnitedStatesSpainEuroareaNetherlandsFranceGermanyHigherratesweighonconsumptionAustraliaSwedenCanadaUnitedKingdomJapanUnitedStatesSpainEuroareaNetherlandsFranceGermanyHigherratesweighonconsumptionthroughhighermortgageinterestpaymentsandtighterconsumercredit,withasmalleroffsetfromhigherinterestincomeHigherinterestincomeConsumercreditMortgageTotalThecurrentmaturitystructureofdebtimpliesthatapersistent100bpincreaseinratesraisesinterestexpensesby0.0-0.2%ofGDPoverthenextyearand0.1-0.6%ofGDPby2030,withthelargesteffectsinJapan,Italy,andtheUS0.10.0JapanUnitedStatesFranceSpainUnitedKingdomCanadaGermanyAustraliaNetherlandsSweden2027202820292030JapanUnitedStatesFranceSpainUnitedKingdomCanadaGermanyAustraliaNetherlandsSwedenHigherratesstrainpublicfinancesbyHigherratesstrainpublicfinancesbyraisingdebtservicecosts.Countrieswithahigheroutstandinggovernmentdebtstock--especiallywhereoutstandingissuancehasbeenweightedtowardshortermaturities--facehigherinterestexpensecostsduetohigherThecumulativeeffectfroma100bpriseinratesacrossallfourchannelsimpliesa0.6%dragonDMGDPoveralloverthenextyear0.20.0-0.2-0.4-0.6-0.8-1.0-1.2-1.4Channel1:HousingChannel2:Consumers,CreditandCashflowChannel3:CorporatesandCapexChannel4:DebtandDeficits*DMaverage...whiledrags...whiledragsintheUSandseverallargeEuropeancountriesaremoredrivenbyhitstocorporateandresidentialinvestment,butratesensitivitiestendtobeloweroverallSwedenAustraliaCanadaSpainJapanNetherlandsUnitedStatesUnitedKingdomEuroAreaSwedenAustraliaCanadaSpainJapanNetherlandsUnitedStatesUnitedKingdomEuroAreaFranceGermanyItalyDragsarelargestineconomieswheremortgagerateresetsaresettocreateasignificantheadwindtohouseholdcashflow(Sweden,Australia,andCanada)andincountrieswhereourestimatespointtogreaterhousinginvestmentsensitivity(SpainandtheNetherlands)...*Weapplyourestimateofthe2027riseininterestexpensesandassumethatgovernmentsonaverageconsolidatefiscalbalanceby0.2ppforevery1ppincreaseininterestexpenses,inlinewithDebrunandKinda(2016).Sourceforallcharts:GoldmanSachsGIR.GoldmanSachsGlobalInvestmentResearch10 Risingrates:keyquestionsansweredWilliamMarshallexplainstheriseinglobalbondyieldsandwheretheymaybeheadedclearmarketleaderorsinglesourceofthebondselloff,whasoccurredacrossyieldcurves,withbothendratesmovingtofreshhoftermpremium,whichreflecttheextracompensationinvestorsdemandforholdingduration,haisolatedtosovereignbonds,occurringacrossallforduration.Untilrecently,therelativestabivolatilitysuggestedthatfundamentals,includingstrongergrowth,higherinflationrisks,hTheriseinbondyieldshasnotbeenuniquetoanymarketthisyear140120USJapan GermanyUK120100806040200-20-40Dec-25Feb-26Apr-26Jun-26Aug-26Source:GoldmanSachsFICCandEquities,GoldmanSachsGIR.Bothtermpremiumandpolicyrateexpectationshavecontributed806040200-20-40806040200-20-40USUS10ytermpremium US10yriskneutralexpectationsDec-25Feb-26Apr-26Jun-26Aug-26Source:GoldmanSachsGIR.A:Aswingoftheinvestment/savingspendulumbacktowardinvestmentcreatesalesssurequireshigheryieldstomotivateinvestoTheperceptionthatinvesthatimpact.Whileevidencethattheabsorptionofdurationlimited,thebackdropofprice-insensitiveissuancefrombothsovereignsandcorporatesisamongthefactorslikelyondurationriskappetite.Aslongasineedscontinuetogrow,theskewofrisksaroundwherelonger-termyieldssitrelativetomacrodriversislikelytoremaintotheupside,withfundamentalcatalystsratherthanvaluationsalonelikelyneededtoreinvisharplyinrecentweeks.ArethesemovesfundamentalorinvolatilitytowardtheendofSeptemberpointstothesehawkishrisksbeginningtotightenfinancialconditions,aswellastotechnicalfactorsrelatedtohthanfundamentalswouldsuggest.InterestratevolatilityhasrisensharplyrecentlyOct-25Dec-25Feb-26Apr-26Jun-26Aug-26Source:GoldmanSachsFICCandEquities,GoldmanSachsGIR.Thelonger-termyieldrisehaslatelyde-coupledfromfundamentals65436543210 UST5y5yyieldFittedvalu201020122014201620182020202220242026Source:Bloomberg,GoldmanSachsGIR.GoldmanSachsGlobalInvestmentResearch11 Q:Cantherecentboresponsetothehighertermpremiumenvironment.Thecombinationofstructuralshiftsinlonger-termsavingsinvestorssuchaspensionfunds.However,whilematurityadjustmentsthatrebalancesupplyand