Alpinemacro-新兴市场与中国2019展望-2019.1-26页.pdf

EMERGING MARKETS&CHINA STRATEGY 1INFOALPINEMACRO.COM WWW.ALPINEMACRO.COM COPYRIGHT 2019 ALPINE MACRO 随着美联储政策的转变，新兴市场资产将受益于中国再通胀，其市场宏观环境正在持续改善。因此，相对于发达市场股票我们更看好新兴市场。中国持续的再通胀进程改善了阻碍2018年增长的信贷紧缩环境。中国经济增长大幅减速的可能性很小。有迹象表明，中国的货币周期可能很快开始一轮新的快速增长。新兴市场环境改善将围绕以下三个主题：发展中国家宽松的货币政策、新兴市场货币过度下跌的修正以及全球投资者对新兴市场资产风险偏好的重新评估。伴随着2019年投资大门的开启，中国的增长轨迹和美联储的货币政策是两大主导宏观力量。美联储的政策决定了全球流动性条件，而中国经济决定了全球增长条件这两者的结合从根本上推动了资产价格，尤其是新兴市场。现在看来，2018年新兴市场股票既受到美联储收紧的影响，也受到了中国经济放缓的拖累。展望新的一年，两方面的情况都应该有所改善，形成一个相对乐观的背景条件。随着美联储政策的转变，新兴市场资产将受益于中国持续的再通胀以及发达国家宏观环境回归正常的过程。中国资产再通胀我们对中国的看法与其他更悲观的看法之间的一个关键区别在于，对中国经济最新兴市场与中国2019展望：暗夜减退，黎明破晓In This ReportChinese Reflation.1EM Normalization.5EM Investment Strategy.7RESEARCH TEAMYan Wang,CFA Chief EM&China StrategistChen Zhao Chief Global StrategistTony Boeckh Editor-in-ChiefDavid Abramson Senior StrategistJackie Huang Senior Research AnalystXiaocen Wang Senior Research AnalystHenry Wu Head of Quantitative ResearchIsabelle Ng Senior Research AnalystKevin Yulianto Research AnalystHaaris Aziz Research AnalystJanuary 8,20191 Alpine Macro Emerging Markets and China Strategy Chinese Housing Market Conundrum (December 11,2018).INFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019EM And China Outlook:Receding HeadwindsEmerging Markets&China Strategy2Chart 1Chinese Growth Has Continued To Downshift 近放缓的原因我们有不同的观点。许多人将中国经济放缓归因于经济结构失衡，如过度投资、过度放贷和房地产泡沫。1我们认为，过度紧缩的政策才是主要原因。这一区别很重要，因为如果中国的经济增长问题是由结构性缺陷造成的，那么中国政策制定者就没有太多措施来阻止这一天的到来，比如经济硬着陆。另一方面，如果增长问题是由于政策环境过于紧张，那么再膨胀政策的努力就会有助于经济稳定并最终改善。到目前为止，中国的经济增长数字仍然是非常的悲观。我们的实时模型表明，中国的GDP增长率在上789101112789101112200820102012201420162018ActualAlpine Macro Nowcast Model*Chinese Real GDP Growth:%yoy%yoy*Alpine Macro proprietary model Alpine Macro 2019个季度可能已经下降到6%左右（图1），这是中国改革开放以来的最低水平。由于中国的春节假期，未来两个月的增长将非常不稳定，这可能会使投资者更加不安。总体来说，在考虑到全球需求不确定性日益增大的环境下。断言中国经济增长势头立即好转还为时过早。我们的观点是，中国经济增长困境主要是由于过于严格的货币与信贷政策。2018年，央行致力于降低和控制系统性金融风险，这是政府的“三大攻坚战”之一，但这些措施导致了影子银行业的信贷紧缩。（图2）显示，银行贷款增长基本保持稳定，但社会融101214161820222410121416182022242012201420162018Total Social FinancingRMB Loans%yoy%yoyChina*:*Source:PBoC Chart 2 Due To A Credit Crunch Alpine Macro 2019INFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019EM And China Outlook:Receding HeadwindsEmerging Markets&China Strategy3-40004008001,2001,600-40004008001,2001,600Monthly Shadow Financing*12-month Moving AverageBn RMBBn RMBChina:*Includes entrusted loans,trust loans and undiscounted bankers acceptances;source:PBoC*Shown as 3-month moving average 051015202505101520252013201420152016201720182019%yoy%yoyInfrastructure Investment*资总额急剧下降，突显出影子银行活动的显著收缩。私营企业遭受了巨大打击，因为它们更多地依赖影子银行来获取融资。基础设施支出也大幅放缓，因为通过信托贷款和其他影子工具向地方政府提供的融资渠道被切断。事实上，基础设施支出放缓是导致去年中国资本支出持续放缓的主因。可喜的是，从去年7月开始，管理层一直在努力改变这一方针。上周，所有商业银行的存款准备金率降低了1%，这只是一系列货币宽松行动中的最新举措之一。后续的进展值得关注。影子银行业的严重信贷紧缩也开始缓解（图3，顶面板）。在最近的一次公开讲话中，央行行长易纲表示影子银行是官方银行业的必要补充。我们的观点是，打击影子信贷最严厉的阶段可能已经结束。近几个月基础设施支出略有回升，这一趋势将持续下去（图3，底部面板）。发行特别地方债专门用于基础设施建设，这项举措自去年年底以来大幅增加，并将进一步加速发行。中央已经为2019年的地方政府债券发行分配了配额，且这一额度大大超过了去年3月人民代表大会公布的计划。中央去年宣布的众多减税措施已开始生效。与2018年初的两位数增长相比，政府税收在年底大幅下降。财政推力已显现积极作用（图4）。上个月晚些时候召开的中央经济工作会议结果表明，政府将增加预算赤字，这意味着2019年财政刺激将变得更加积极。人们对今年进一步减税预算的预期越来越高。Chart 3Signs Of Improvement In The Weakest Links Alpine Macro 2019INFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019EM And China Outlook:Receding HeadwindsEmerging Markets&China Strategy4-1001020-1001020%yoy%yoyChina:Government Tax Revenue-1012-10122012201420162018%GDP%GDPFiscal Thrust*Calculated as annual change of fiscal deficit as%of GDP;shown as 12-month moving total;Q4 2018 is Alpine Macro estimate 最后，私营企业融资难问题被反复强调。央行最近一轮对金融机构的流动性宽松主要是面向私人端和小型企业的。此外，AAA以下级公司债券的发行量也大幅增加，其中大部分是去年下半年小型公司发行的（图5）。Chart 4Fiscal Tap Is To Open WiderChart 5Corporate Bond Issuance By Smaller Firms Begins To Recover0.81.21.62.02.42.80.81.21.62.02.42.8201320142015201620172018Tn RMBTn RMBChinese Corporate Bond Issuancewith Ratings Below AAA:406080100120140406080100120140JanFebMarAprMayJunJulAugSepOctNovDec2018Bn RMBBn RMBChinese Corporate Bond Issuancewith Ratings Below AAA:Source:Choice Alpine Macro 2019 Alpine Macro 2019INFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019EM And China Outlook:Receding HeadwindsEmerging Markets&China Strategy52 Alpine Macro Investment Alert Brinkmanship(December 20,2018).Chart 6Chinese M1 May Be Bottoming最值得关注的数据是货币和信贷，历史上这一直是中国商业周期的重要领先指标。在这方面，有一些令人鼓舞的迹象。流动性状况的大幅改善，已经使利率大幅下降。与此同时，银行的短期贷款也开始加速。历史上，利率的下降和短期贷款的增加将在6-9个月后导致货币增长加速（图6）。如果以史为鉴，中国M1的增长可能很快开始回升。归根结底，中国持续的宽松政策正在修正2018年的过度紧缩。这意味着经济大幅减速的可能性很小。事实上，有迹象表明，中国的货币周期可能很快开始重新加速。此外，中国的再通胀也会使其他新兴经济体国家受益。新兴市场回归正常化去年对新兴市场资产的另一个不利因素是美联储正在进行的加息缩表进程。Chen在 全球战略（Global Strategy）中指出，美联储在去年12月的加息很可能是最后一次。2019年不加息2，具体将在本周晚些时候的全球战略报告中更详细地讨论美联储和美国的前景。就新兴市场而言，去年美联储持续加息导致资产价格严重下挫。所有这些不利因素都有可能在未0102030405012342005201020152020M1 Growth Rate(ls)3-year Government Bond Yield*%yoy%(9-month advanced;inverted;rs)China:010203040-80-4004080120160200820102012201420162018M1 Growth Rate(ls)Corporate Paper Financing*%yoy%yoy(9-month advanced;rs)*Source:Chinabond*Source:PBoC Alpine Macro 2019来减少甚至逆转。下面我们阐述新兴市场资产宏观环境的正常化进程，将主要表现在哪三个方面。首先是新兴市场国家的货币政策宽松。美联储去INFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019EM And China Outlook:Receding HeadwindsEmerging Markets&China Strategy6年的紧缩政策迫使新兴市场国家跟随（图7），对各自的国内资产价格造成损害。历史上看，新兴市场国家Chart 7EM Country Monetary Tightening Is Set To Reverse的货币周期通常与美联储一致，因为这些国家（包括中国）的经济增长在很大程度上与去年美国的经济增长同步，但这次不一样：由于特朗普减税推动了美国经济的增长，而新兴经济体国家却因为中国经济的放缓与货币紧缩政策带入了另一个周期。因此，中国经济增长放缓和紧缩政策是新兴市场资产下跌的另外一个原因。展望未来，美联储暂停收紧甚至宽松的政策将消除发展中国家收紧货币政策的压力，从而缓解资产价格。而且目前，没有一个主要的新兴市场国家面临严重的通货膨胀压力或经济失衡。-80-40040800246EM Policy Rate Diffusion Index*(ls)U.S.Fed Funds Rate(rs)%-80-400408002468101200020406081012141618EM Policy Rate Diffusion Index*(ls)EM Real GDP Growth*(rs)%yoy*Number of countries with rate hikes minus number of countries with rate cuts in the past 6 months,as a percent of a total of 25 emerging markets and economies;Alpine Macro proprietary calculation*Source:Federal Reserve Bank of Dallas Alpine Macro 2019Chart 8EM Currency Undershoot Will Correct809010011012080901001101200406081012141618Against Major CurrenciesAgainst Other Important Trading PartnersNominal Trade Weighted U.S.Dollar*:*Rebased to Jan 2004=100;source:Federal Reserve Alpine Macro 2019INFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019EM And China Outlook:Receding HeadwindsEmerging Markets&China Strategy7第二个方面是新兴市场货币价值的修正。美联储去年的紧缩政策同时提振了美元，为新兴市场资产价格形成压力。更重要的是，美元兑新兴市场国家货币的汇率上涨异常强劲，而兑其他主要货币的汇率基本保持稳定（图8）。从历史上看，这种分歧是无法长时间持续的。例如，美元指数自2004年以来已经升值了13%，其中分别对DM和EM货币分别升值了8%和17%，但拉开差距几乎完全发生在2018年。展望未来，我们预计随着美联储政策的转变，美元将走软。去年落后的新兴市场货币很可能会赶上，这将进一步腾出新兴市场央行放松政策的空间，新兴市场资产回报率提高将吸引更多的全球投资者。最后，全球投资者对新兴市场资产的风险偏好可能会在动荡的一年后恢复（图9）。历史上，美联储的每一个紧缩周期都会在新兴市场国家引发一些金融动荡，去年也不例外。尽管大多数新兴市场国家不存在如巨额经常账户赤字和高通胀的问题，但土耳其和阿根廷的金融危机在新兴市场仍然引发了强烈的冲击，此外，去年一些大型新兴市场国家的选举，特别是墨西哥和巴西的选举，也大大加剧了市场的焦虑情绪，导致全球投资者对新兴市场资产的风险厌恶情绪急剧上升。Alpine Macro 2019Chart 9Risk Aversion Towards EM Will Decline 0.20.30.40.50.60.70.80.90.20.30.40.50.60.70.80.9200820102012201420162018Emerging Markets Risk Aversion Index*Source:Citi新兴市场投资策略我们对今年新兴市场股票持积极态度，这样做存在的风险是，美联储仍然一意孤行继续加息，同时中国的再通胀也拆强人意，这可能会延长新兴市场的衰退期。然而，我们认为股价进一步下跌空间是非常有限的，权衡风险回报比将更有利于承担风险，特别是相对于发达国家股市。新兴市场股票的风险溢价目前为5.4%，高于过去25年90%的时间（图10）。历史上，如此高的风险溢价往往对应着主要经济体市场的底部。INFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019EM And China Outlook:Receding HeadwindsEmerging Markets&China Strategy8 从长期来看，新兴经济体的增长将继续超过发达国家。3加之更具吸引力的估值水平，这表明投资EM的长期回报将高于DM（图12）。由于周期性因素也变得更加积极，这就保证了新兴市场股票在全球投资组合中的增持地位。在新兴市场中，我们的新兴市场国家和行业季度配置战略（第10页所示），已经在上周的报告中进行了详细论述。4 3 Alpine Macro Emerging Markets and China Strategy EM:Conventional Wisdoms Versus The Changing Universe(October 23,2018).4 Alpine Macro Emerging Markets and China Strategy EM Equity Allocation For Q1(January 4,2019).Chart 11EM Stocks Have Priced In A Major Growth Slowdown-8-4048121620-40-200204060020406081012141618Industrial Production*(ls)EM Stock Prices*(rs)%yoy%yoy*GDP-weighted average of 19 countries*In U.S.dollar terms;source:MSCIEmerging Markets:Alpine Macro 2019Chart 10EM Equity Risk Premium Is Elevated1,4001,2001,0008006004001,4001,2001,000800600400Emerging Markets:Stock Prices*In local currency terms;source:MSCI-4048-4048ActualAverage%Equity Risk Premium:40804080199520002005201020152020%Percentile of Equity Risk Premium Alpine Macro 2019 新兴市场股票已将经济放缓预期反映在价格中（图11）。虽然不能排除进一步下行的可能性，但这需要美国经济增长衰退或系统性金融危机才能真正推动全球资产下行目前这两种情况都不太可能发生。INFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019EM And China Outlook:Receding HeadwindsEmerging Markets&China Strategy9新兴市场债券也可能表现良好。同时，与以美元计价的债券相比，本币债券的价值更具吸引力。新兴市场主权债券美元息差去年扩大，并可能随着美联储政策转变和美元走软而缩小，但从历史角度看，息差并不算特别高（图13）。相比之下，部分新兴市场国家的本地货币债券提供了更具吸引力的风险回报不仅因为它们提供了更高的实际收益率，而且因为它们的货币将如我们预期的那样升值。我们最看好的债券市场目前是巴西和墨西哥。此外，正在密切关注哥伦比亚、印度尼西亚和印度债券，因为这些市场也正在变得有吸引力。Yan Wang,CFA Chief Emerging Markets&China Strategist99100101102103104105106200300400500600700800900020406081012141618U.S.Financial Condition Index*(ls)EM Sovereign U.S.Dollar Bonds BPs*Source:Goldman Sachs,Bloomberg*Source:J.P.Morgan Spread*(rs)Chart 13EM Sovereign Spread Versus U.S.Financial Conditions Alpine Macro 2019Chart 12EM Equities Offer Superior Long-Term Returns Over DM-505101520-505101520ActualModel Estimate*Real Stock Price Return*:Emerging Markets-4048-404820052010201520202025Developed World*Annualized 10-year return;deflated by U.S.CPI;source:MSCI*Alpine Macro Proprietary Model%Alpine Macro 2019INFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019Emerging Markets&China Strategy10EM Equity Country Allocation OverweightNotesSlight OverweightNotesTurkey BrazilChinaColombiaMalaysiaPeruPolandSouth AfricaSouth KoreaNeutralNotesChileCzech RepublicHungaryIndonesiaMexicoUnderweightNotesSlight UnderweightNotesIndiaPhilippinesRussiaThailandTaiwanEM Sector Allocation OverweightSlight OverweightFinancialsTelecommunication ServicesIndustrialsNeutralInformation TechnologyUnderweightSlight UnderweightConsumer StaplesHealth CareConsumer DiscretionaryEnergyMaterialsUtilities EM Country And Sector AllocationsINFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019Emerging Markets&China Strategy11Strategic Positions(6-12 months)RecommendationsOpen DateClosing DateTotal P&LNotesLong Chinese A-Share,Currency Unhedged8/28/2018-10.7%Buy Shanghai Shenzhen CSI300 Index,initiated at 499.16,currently 445.82Long Brazilian 10-year Government Bond,Currency Unhedged10/30/20186.7%Buy Brazilian 10-year local currency government bond;includes holding period return 7.51%and P&L on FOREX-0.81%Tactical Investment Positions(3-6 months)RecommendationsOpen DateClosing DateTotal P&LNotesShort Hong Kong 10-year Government Bond/Long U.S.10-year Treasury Unhedged4/24/20181.0%Spread of Hong Kong 10-year government bond versus U.S.10-year Treasury,initiated at 86.25bps,currently narrowed to 77.1 bps;includes holding period return 1.14%and P&L on FOREX-0.14%Long EM Materials/DM Materials Stocks7/31/20183.4%MSCI EM Materials Index versus MSCI World Ma-terials Index(times 100)in USD terms,initiated at 150.4,currently 154.94;stop points at 5%Short PLN,HUF,CZK vs EM Currency8/21/20183.2%Short equal-weighted basket of PLN,HUF and CZK versus MSCI EM Currency Index;includes carryLong Mexican 10-year Government Bond,Currency Unhedged12/04/201811.2%Buy Mexican 10-year local currency government bond;includes holding period return 4.78%and P&L on FOREX 6.09%;rolling stop points of 7%Investment RecommendationsCopyright 2019,Alpine Macro.All rights reserved.The information,recommendations,analysis and research materials presented in this document are provided for informa-tion purposes only and should not be considered or used as an offer or solicitation to sell or buy financial securities or other financial instruments or products,nor to constitute any advice or recommendation with respect to such securities,financial instruments or products.This document is produced for subscribers only and represents the general views of Alpine Macro,and does not constitute recommendations or advice for any specific person or entity receiving it.The text,images and other materials contained or displayed on any Alpine Macro products,services,reports,emails or website are proprietary to Alpine Macro and should not be circulated without the expressed authorization of Alpine Macro.Any use of graphs,text or other material from this report by the recipient must acknowledge Alpine Macro as the source and requires advance authorization.Alpine Macro relies on a variety of data providers for economic and financial market information.The data used in this pub-lication may have been obtained from a variety of sources including Bloomberg,Macrobond,MSCI and JP Morgan.The data used,or referred to,in this report are judged to be reliable,but Alpine Macro cannot be held responsible for the accuracy of data used herein.Investment RecommendationsINFOALPINEMACRO.COM|WWW.ALPINEMACRO.COM|COPYRIGHT 2019 ALPINE MACRO|January 8,2019Emerging Markets&China Strategy12Previous 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