J.P. 摩根-全球-外汇策略-美元外汇展望：不会下跌-2019.5.3-57页.pdf

Global FX Strategy3 May 2019FX Outlook:USD is neither down nor outGlobal FX StrategyPaul MeggyesiACHead,FX strategy(44-20)7134 J.P.Morgan Securities plcAll charts are sourced from J.P.Morgan unless otherwise specified.See the end pages of this presentation for analyst certification and important disclosures.1G L O B A L F XO U T L O O K 2 0 1 9Main themesThe Feds conversion to inflation fundamentalism has taken some of the steam out of the USD rally without yet convincingly justifying an outright reversal.It should be remembered that Fed easing cycles are ambiguous for USD.Global growth has found a floor but the rebound is still too weak and geographically uneven to justify a broad-based setback to USD,certainly not when the US itself is lifting and continuing to outshine key regions including the Euro area.A normalisation in a moderately expensive USD and even cheaper currencies such as EUR requires much more convincing evidence on a global rebound that begins to overshadow the US cycle.Until such evidence is to hand,USD remains supported by the high absolute level of US yields and the aggressive pricing for Fed easing compared to other CBs(especially in Europe).Moreover,USD is benefiting by default from the confluence of negative country-specific factors in many G10 countries,principally the likely onset of independent easing cycles in the antipodeans and the potential inconsistency between relatively steep European curves and in many cases still sub-par growth and limited inflationary pressures in the region.Tactically we expect the JPM USD index to test the 2018 highs 1.5%away and continue to position long USD.We dont rule out a test of the 2017 highs(+3.5%)but suspect this will be a step too far bar a relapse in global growth.EUR remains cyclically challenged but structurally robust as the strongest underlying balance of payments in G3 is being augmented by historically sizeable reserve diversification.These factors support eventual modest appreciation in EUR/USD,but the trigger needs to be sustained and convincing lift in regional growth.This is not yet in hand.Current key trade recommendationsShort EUR/USD(cash and 3m put);short EUR/JPY(long 3m put,short 3m USD/JPY put),short NZD/USD(cash and via a 3m NZD/USD put funded by selling a 3m AUD/NZD put);short AUD/USD(cash)and short AUD/JPY(long 6w put vs short 6w USD/JPY put);long USD/CAD(Aug 1.40 OT)Long(CNY&TWD)vs(EUR,USD);short USD/ARS,USD/BRL,and USD/ZAR;long USD/MXN&USD/RUBKey forecastsEUR/USD:1.12 2Q,1.17 1Y,USD/JPY 109,GBP/USD 1.36,JPM USD index-0.75%(all 1Y).AUD/USD 0.65(-7%),NZD/USD 0.64(-3%),CNY 6.65 (+1%),TRY 6.30(-14%),BRL 3.90(+1.5%);EUR/JPY 127.5,EUR/GBP 0.86;EUR/SEK 10.30;EUR/NOK 9.40;EUR/CHF 1.152Global economic confidence has improved as a result of policy action in recent months but this is not sufficient to weaken USD as:1)growth in the ROW remains unbalanced and unconvincing(Europe lags as China lifts),and 2)the US itself is pulling ahead again(exceptionalism re-visited)Forecast Revision Indices.These track the cumulative change in JPMs economists rolling 1Y ahead GDP forecastThe strong USD tide has slowed(hence the slump in FX vol)but growth conditions are not yet in place to cause it to reverse.We stay tactically long USD vs a range of G10 FX(AUD,CAD,EUR,NZD)USD can be explained by 1)the expected growth gap between US-ROW,and 2)expected global growth(USD is negatively related to global growth).USD is now undershooting this model by 4%,i.e.the market is priced for considerably faster ROW growth and/or slower US growth%6m change in USD TWI=0.1+4.3(6m chg in US -Global Forecast Revision Indices)6.1(6m chg in Global Forecast Revision Index.R2=60%.Forecast Revision Indices track the change in JPMs 1Y ahead GDP forecastsSource:J.P.MorganSource:J.P.MorganG L O B A L F XO U T L O O K 2 0 1 9-8-6-4-202468101214201520172019USD,6mchgModel96.096.597.097.598.098.599.099.5100.0100.5201520172019Euro areaEMUS3US data surprises are improving sharply vs Europe even as they weaken vs China.In other words,this latest Chinese stimulus is not lifting all boats,hence its not been capable of sinking USDJPM Economic Activity Surprise IndicesThe renewed outperformance of the US econ has USD-bullish undertones from 2018.This is why USD has been supported despite Chinese stimulus,and partly why USD has resisted a timid Fed Our growth model for USD formalizes the USD smile.USD appreciates either when global growth is so weak or US growth so strong (or both,as in 2018).The rebound in global growth represents a modest USD headwind,the US acceleration a modest tailwind.The growth backdrop is at worst inconclusive for USD;it is not yet bearishContribution to USD 6m change from 1)change in the Global Forecast Revision Index,and 2)change in the US-Global FRI.See previous page for model detailsSource:J.P.MorganSource:J.P.MorganG L O B A L F XO U T L O O K 2 0 1 9-6-4-202468May-14May-15May-16May-17May-18Global FRIUS-Global FRI-60-40-20020406080Apr18Oct 18Apr19US-Euro EASIUS-China4USD is inversely correlated to global growth.This together with optimism about the global economy is presumably why the consensus is now bearish on USD.But this simple relationship overlooks the role of growth differentials and is likely to give a false sell signal for USD if it is the US economy which lifts global growthCorrelation between oya change in ccy and the global manufacturing PMI.Ccy vs USD for all currencies except USD which is NEER.10Y windowA model for USD based on absolute and relative growth is more nuanced than the traditional approach that relies solely on global growth Source:J.P.MorganG L O B A L F XO U T L O O K 2 0 1 9USD is modestly expensive relative to global growth.Certain high-beta EM currencies are notably cheap.But so too are defensive recession hedges such as CHF and JPY.This very mixed pattern suggests that the role of global drivers is being rather overshadowed by local factorsMissing pricing of ccy from that implied by the current level of the global manufacturing PMISource:J.P.Morgan-80%-60%-40%-20%0%20%40%60%80%USDJPYCNYTRYGoldEURCHFGBPHUFSEKCZKIDRNOKSGDMXNNZDAUDTWDBRLPLNCADKRWZARINR-20%-15%-10%-5%0%5%10%TRYCNYZARCHFTWDSEKJPYAUDEURCZKNZDBRLGoldSGDNOKUSDPLNINRKRWHUFGBPCADIDRMXN5EM FX returns(in USD)can be modelled as a function of 1)expected EM growth,and 2)the expected EM-US growth gap.EM FX is currently fairly valued 6m spot return on EM FX=-0.4 +8.2(6m change in EM Forecast Revision Index)+3.6(6m change in EM US Forecast Revision Index).R2=57%Macro momentum for EM FX has neutralised from highly adverse in 2018.But once again,a revitalised US economy complicates the read through from an upturn in the global economy to FX(it may not be as USD negative as the consensus supposes)Source:J.P.MorganG L O B A L F XO U T L O O K 2 0 1 9Macro momentum was highly adverse for EM FX in 2018(weak EM and a strong US)but has neutralized because EM growth expectations have bottomed in absolute terms and vs US.Continued US economic strength would risk a relapse in EM FX,so too any fading in the China reboundContribution in ppt to the 6m change in EM FX from 1)change in the EM Forecast Revision Index,and 2)change in the EM-US Forecast Revision Index.See previous chart for detailsSource:J.P.Morgan-25-20-15-10-5051015May-14May-15May-16May-17May-18ActualModel-12-10-8-6-4-20246May-14May-15May-16May-17May-18EM FRIEM-US FRI6Fed easing cycles are no more definitive USD rallied during two of the last four.On average the USD index gained 2.5%in the year before the first cut and an additional 2.5%following that.Part of the reason-USD is inherently anti-cyclical,so rallies in a recession which is typically when the Fed just so happens to be easing USD index in the two years surrounding the first Fed cut of a cycle,Indexed to 100 at t=0 The Feds apparent conversion to inflation fundamentalism has taken the steam out of the USD rally without yet convincingly justifying an outright USD reversal.Fed cycles are inherently ambiguous for USDUSD has performed differently through the various hiking cycles.The latest cycle has oscillated between the exceptionalism of 1999 and the synchronized growth and tightening of 2004,while ultimately delivering sizeable net USD appreciationUSD index in the several years surrounding the first Fed hike of a cycle,Indexed to 100 at t=0 Source:J.P.MorganSource:J.P.MorganDays surrounding the first Fed hike80859095100105110115-1000-800-600-400-20002004006008001000199920152004859095100105110-250-200-150-100-500501001502002501995200719982001Days surrounding the first Fed cutG L O B A L F XO U T L O O K 2 0 1 97The Fed normally reverses course and eases fairly quickly after delivering its last hike.2006 was the exception,albeit not a very reassuring one Duration in#months,between final Fed hike and subsequent cutWhat if the Fed is just pausing?USD should take its cue from US and global growth.This combination is not(yet)USD-negativeUSDs performance at the end of a hiking cycle is variable.USD sold-off when the Fed stopped in 2006 as the globe kept growing and other CBs kept hiking.Not so 2000 when the Fed cut after 7 months and other CBs followed suit.Were not convinced 2006 is the appropriate benchmark for 2019Fed USD TWI=100 on date of final Fed hike in the cycle=100.#weeks before and after final hikeSource:J.P.MorganSource:J.P.Morgan0246810121416Aug-84Apr-89Feb-95May-00Jun-06G L O B A L F XO U T L O O K 2 0 1 99092949698100102104106108110-52-44-36-28-20-12-44122028364452Dec-18Jun-06May-00Feb-95Apr-89Weeks around last Fed hike8High-beta FX has performed conspicuously worse following the Fed pivot in Jan than it did when the Fed blinked in March 2016.We explain this as a function of the still high absolute level of US yields together with US growth and adverse local factors FX performance 3 months following the March 2016 FOMC and since the January 2019 FOMC.Ccy vs USD,except for USD which is USD NEERIf this is a pause,its been notably more benign for USD than the previous pause in March 2016.We attribute this to the much higher level of US yields together with the supportive growth backdropUSD weakened by 3%over 6 weeks following the Feds loss of nerve in March 2016.This time around there has been no follow-through selling of USD;indeed,USD bottomed on the day of the FOMC itselfJPM USD index.Day of the FOMC meeting=100Source:J.P.MorganSource:J.P.MorganG L O B A L F XO U T L O O K 2 0 1 9-15%-10%-5%0%5%10%15%20%TRYBRLZARSEKNZDCHFJPYEURNOKGBPCADAUDCNYMXNUSDMar-16Jan-1996979899100101102103104-75-50-250255075100Mar-16Jan-199The under-delivery of core inflation is hardly unique to the US.The cumulative miss vs JPMs forecast since the start of 2015 is 2.5%for Japan and 1%for the US and Euro areaCumulative change in J.P.Morgans core inflation forecast revision indices.This shows the cumulative change in JPMs inflation forecast,in this case since 2015And crucially,the Feds ability to do damage to the dollars interest rate support has been constrained by the dovish reaction of every other major central bank.Where the Fed leads,others will followThe seeming landmark shift in the Feds reaction function has inspired a global re-pricing of central bank policy.The undershoot in inflation is a global phenomenon after all.Moreover,many central banks have more of a growth reason to soft-pedal than the Fed Change in OIS forward rates over the past 3 monthsSource:J.P.MorganSource:J.P.MorganG L O B A L F XO U T L O O K 2 0 1 9-40-35-30-25-20-15-10-50510CADAUDUSDNZDEURCHFSEKGBPJPY1Yx1M2Yx1M-1.2-1.0-0.8-0.6-0.4-0.20.00.20.40.6-3.0-2.5-2.0-1.5-1.0-0.50.02016201720182019USDEURJPY10Our hybrid rate-curve model for USD captures the effect of monetary policy on growth expectations.A patient Fed that helps extend the cycle is USD supportive through a relatively steeper curve even as it erodes USDs front-end rate supportJPM USD index=113.5 +13.5(5Y US-G10 rate differential)+27.3(US-G10 2s/10s yield curve).R2=60%,SE=1.9USD is fairly valued on hybrid interest rate-yield curve model.Fair value has actually increased by 2.25%ytd as a steeper curve compensates for tighter front-end spreadsThe renewed steepening in the US yield curve vs G10(which itself is being assisted by relatively better US growth)is countering the drag on USD from the tightening in front-end spreads.USD is twice as sensitive to the curve as front-end rates.This demonstrates once again that USD is not just about the FedChange in OIS forward rates over the past 3 monthsSource:J.P.MorganSource:J.P.MorganG L O B A L F XO U T L O O K 2 0 1 9112114116118120122124126128201720182019JPM USD trade-wtd indexModel-1.0-0.50.00.51.01.52.02017201820195YUSD-G10spreadUS-ROW2s/10s11The relative re-pricing of monetary policy in USDs favour is likely not yet complete,especially vs European FX.After all,the US curve still prices the most aggressive easing in G10 on a 2Y horizon whereas European curves have flattened but are reluctant to contemplate any outright easing.Indeed,Scandicurves still price decent tightening1Y and 2Y change in policy rates implied from OIS curvesWe have been tactically long USD this year and remain so,partly because the Fed is aggressively priced relative to other central banks.Steep European curves remain a liability for European FXIts not impossible that the ECB tightens once the Fed eases(it did so in June 2008)but this will likely require stronger momentum on growth and core inflation.Until such point,the implied directional decoupling of ECB and Fed policy seems extreme from a historic perspective and so a potential headwind for EUR/USDImplied change in ECB rates on a 2Y horizon implied change in Fed rates.Derived from OIS forward rates sSource:J.P.MorganSource:J.P.MorganG L O B A L F XO U T L O O K 2 0 1 9-50-40-30-20-1001020304050607080USDAUDCADNZDJPYEURCHFGBPSEKNOK1Y2Y12We expect the Fed to adopt average inflation targeting.The make-up component would require it to promote inflation above 2%during an upswing.If successful the US would deliver 0.3-0.4%more inflation than in the past decade.Of course,the miss on US inflation pales by comparison with the rest of G3Inflation performance since 2009A switch by the Fed to average inflation targeting is liable to be USD negative without being transformative,not least as other CBs face a greater inflation/growth problemWe can use the relationship between USD and real yield differentials to model the worst case impact for USD of the successful delivery of 2%inflation without a countervailing change by other CBs.25bp in real yield diffs is worth 4%on the USD index,hence the Fed switch could depress USD by a max 3.5-5%USD index=97+11.5 (10Y real yield spread between an equally weighted basket of EU,JP,UK).R2=75%Source:J.P.MorganG L O B A L F XO U T L O O K 2 0 1 98590951001051101151201251302010201320162019USD:US Dollar DailyModel13Committing to delivering higher inflation is easier than delivering it(just ask the BoJ).The Feds ability to lift inflation expectations will be hampered