J.P. 摩根-全球-外汇策略-核心通货观点：美联储对美元采取的是双管齐下的政策-2019.7.19-48页.pdf

FX Strategy&Global EM Research19 July 2019Key Currency ViewsFed cuts both ways for the dollarGlobal FX Strategy&EM MarketsMeera Chandan AC(44-20)7134-J.P.Morgan Securities plcPaul Meggyesi(44-20)7134-J.P.Morgan Securities plcSally M Auld(61-2)9003-J.P.Morgan Securities Australia LimitedDaniel P Hui(1-212)834-J.P.Morgan Securities LLCTohru Sasaki(81-3)6736-JPMorgan Securities Japan Co.,Ltd.Thomas Anthonj(44-20)7742-J.P.Morgan Securities plcAnezka Christovova(44-20)7742-J.P.Morgan Securities plcRobert Habib(1-212)834-J.P.Morgan Securities LLCArindam Sandilya(65)6882-JPMorgan Chase Bank,N.A.,Singapore BranchSee page 43 for analyst certification and important disclosures.Defensive exposure is toned down modestly ahead of Fed/ECB meetings,but growth concerns still linger and trade talks have stalled.Within G10,still favor shorts in growth vulnerable FX(AUD,NZD,GBP,EUR)vs.the defensive(CHF,JPY);portfolio beta was partially offset intra-month via NOK longs in EM,we turned neutral on EM FX from modestly underweight(overweight Latam,underweight Asia,neutral EMEA).Central banks have spurred a search for carry(chart below).July ECB/Fed meetings can extend this,but for sustained performance,growth will eventually need to show signs of bottoming out.G10 forecast changes are primarily within reserve FXEUR and GBP marked down on ECB and Brexit;CHF and JPY upgraded to on trade tensions,Fed easing and soft growth.EUR/USD 2Q20 at 1.15(from 1.18).USD/JPY at 103(from 106).EUR/CHF at 1.07(from 1.12).GBP/USD 1.255(from 1.291).CAD upgraded on lagging BoC.USD/CAD 1.31 from 1.34.Modest upgrades to EM FX targets led by Latam.USD/BRL at 3.90(unchanged).).USD/MXN at 20(from 20.5).South Asia FX forecasts upgraded.USD/CNY at 6.85(unchanged).USD/INR at 71.5(from 73).USD/IDR at 14400(from 14700).Carrying on:EM high yielders have outperformed amid therecent decline in DM yields 2m spot returns of CCY vs.USD vs.ex-ante carry vs.USD(%)Source:J.P.Morgan 1All relative to prior Key Currency Views on June 7th.The next Key Currency Views will be publishedon August 16th.JPYCADCHFEURGBPSEKBRLCLPCNYCZKHUFIDRILSINRKRWMXNMYRPHPPLNRUBTHBTRYTWDZAR-6-4-202468-5%0%5%10%15%20%25%Ex-ante carry vs.USD;%CCY performance vs.USD;%Positive returns,high carry ContentsKey Currency Drivers2Technicals8USD Index10JPY12EUR14GBP16CHF18NOK and SEK20CAD22AUD&NZD24MXN28BRL29ZAR&RUB30TRY&CE431KRW&INR32CNY33Long-term fair value estimates34J.P.Morgan Forecasts362Global FX Strategy19 July 2019Meera Chandan(44-20)7134-Paul Meggyesi(44-20)7134-Patrick R Locke(1-212)834-Key Currency Drivers Growth concerns still linger and trade talks are not progressing,but with upcoming Fed/ECB meetings expected to be dovish,the recommended defensive exposure has been toned down moderately.Within G10,we still favor being short the growth vulnerable currencies(AUD,NZD,GBP and EUR)vs.the defensive CHF and JPY;portfolio beta was partially offset intra-month via NOK longs(vs.EUR to increase euro shorts pre-ECB)and in EM,our strategists turned neutral on EM FX from modestly underweight(overweight Latam,underweight Asia,neutral EMEA).Dovish central banks have spurred carry seeking behavior in FX markets.Upcoming ECB and Fed meetings have the potential to push this further,but for continued performance,global growth will eventually need to show signs of bottoming out.G10 FX target changes are primarily within reserve currenciesEUR and GBP are marked down on ECB and Brexit,while CHF and JPY were upgraded to reflect ongoing trade tensions,Fed easing and softer global growth.EUR/USD 2Q20 at 1.15(from 1.18).USD/JPY at 103(from 106).EUR/CHF at 1.07(from 1.12;all relative to June 7th).GBP/USD 1.255 from 1.29.CAD upgraded on 2Q growth outperformance and lagging BoC.2Q20 1.31 from 1.34.Modest upgrades to EM FX targets led by Latam.USD/BRL at 3.90(unchanged).).USD/MXN at 20(from 20.5).South Asia FX forecasts upgraded.USD/CNY at 6.85(unchanged).USD/INR at 71.5(from 73).USD/IDR at 14400(from 14700)EMEA EM:USD/RUB at 64.5(from 67).EUR/CZK at 25.8(from 26.5).USD/ZAR 2Q20 at 16(unchanged).A series of(seemingly)fortunate eventsA series of important macro events have unfolded since our last Key Currency Views publication in early June.We had a confirmation of Feds dovish stance from Powell as well as a temporary US-China trade truce at the June G20summit.Other central banks reinforced the dovish tide that was already sweeping globally with the latest notable addition being the ECB.Draghis Sintra speech signaled impatience with low inflation and raised prospects of easing Exhibit 1:Recent USD weakening has occurred despite range-bound US yield spreads;USD TWI is in the middle of its 1-year rangeUSD TWI vs.US 10Y rate spreads to rest of DM(bp)Source:J.P.MorganExhibit 2:with the strongest FX performance being delivered by EM high yielders2m spot returns of CCY vs.USD vs.ex-ante carry vs.USD(%)Source:J.P.Morganas well via deeper rate cuts,large-scale QE and possible make-up strategies on inflation as well.That this was followed by the EC proposing Lagarde as the next ECB President was also perceived dovishly by markets.The combination of these factors pushed DM equity markets to new highs and bond yields to new lows.In FX,the dollar has weakened broadly by 1.5%from its May-end high but this has still left the broad index squarely in the middle of its 1-year range(exhibit 1).On a more granular level,the larger moves have come on a pair-wise basis from EM where the notable move has been an outperformance of high yielders relative to low yielders(exhibit 2).11211411611812012212480100120140160180200Jan 18Jul 18Jan 19Jul 19USD TWIUS yield spreadsJPYCADCHFEURGBPSEKBRLCLPCNYCZKHUFIDRILSINRKRWMXNMYRPHPPLNRUBTHBTRYTWDZAR-6-4-202468-5%0%5%10%15%20%25%Ex-ante carry vs.USD;%CCY performance vs.USD;%Positive returns,high carry 3Global FX Strategy19 July 2019Meera Chandan(44-20)7134-Paul Meggyesi(44-20)7134-Patrick R Locke(1-212)834-FX strategy:Still cautious,but toning down defensive exposure ahead of ECB/Fed meetingsIn our previous Key Currency Views,we had concluded that while lower DM rates could indeed provide interim support,ultimately growth concerns would be the most important issue for markets and keep high beta FX vulnerable,which is why our recommended trading strategy leaned defensive at that time.Within G10,this was expressed via underweights in growth-vulnerable currencies such as AUD,NZD,GBP and EUR vs.longs in the more defensive CHF and JPY.Within EM,the team was modestly underweight EM FX in aggregate.Growth concerns continue to linger and trade talks still do not appear to be making additional progress,butgiven the focus on imminent central bank dovishness and the upcoming Fed/ECB meetings,the recommended defensive exposure has been toned down moderately.Within G10,we still favor being short the growth vulnerable currencies(AUD,NZD,GBP and EUR)vs.CHF and JPY,but partially offset portfolio beta by adding a lone high beta long via NOK(vs.EUR to increase euro shorts pre-ECB).In EM,our strategists turnedneutral on EM FX from modestly underweight(overweight Latam,underweight Asia,neutral EMEA).Forecasted FX targets similarly reflect the impact of lower DM rates but still a soft growth landscape.JPY and CHF targets have been upgraded to reflect greater support against this backdrop,while EUR and GBP targets are downgraded.EM FX targets are upgraded modestly across the board led by Latam(see sections on forecasts below).The trajectory still looks for a relatively range-bound broad dollar index.The observations underlying our FX views are outlined in the sections below.In summary,the combination compressed valuations and light positioning,alongside the persistence of still-soft global growth momentum(now running for 15 consecutive months)still warrants a cautious approach to FX markets.Central bank easing and lower DM yields have opened a window of FX carryoutperformance,but possibility of larger growth downgrades are an ongoing risk for FX.Macro landscape:global growth risks still lingerAt the risk of sounding like a broken record,the message from growth signals is still unchanged indicating risks are skewed to the downside for high beta FX.After the trade truce at the G20 summit,trade talks have made little additional progress.In the absence of material progress,our measures of economic momentum continue to show ongoing weakness.Our economists growth forecasts are getting revised down for more countries and hardly getting Exhibit 3:Growth forecasts are once getting downgraded in more countries%of countries where J.P.growth forecasts have been revised by more than one sigma in the past quarter;%Source:J.P.MorganExhibit 4:and data is missing expectations in 50%of DM and nearly 70%of EM%of countries where J.P.EASIs are negative;%Source:J.P.Morganupgraded anywhere(exhibit 3).Given this ongoing shift,the defensive net long USD exposure in growth framework has inched up to 40%(see Economic Momentum report on page 5 of the Daily FX Alpha chartpack).Incoming activity data in still on margin missing expectations as indicated in our economic activity surprise indices which are negative for 50%of DM and nearly 70%of EM(exhibit 4).ECB/Fed have fueled the carry chase,but risks remainThe notable FX outperformance in recent months has come from EM FX carry baskets,as dovish central banks and lower DM yields have spurred the search for carry(exhibit 5).We have found that FX carry baskets tend to deliver positive returns in the late stages of an expansion.0%20%40%60%Jan 15Jul 16Jan 18%upgraded significantly%downgraded significantly11%25%0%20%40%60%80%100%Dec-18Feb-19Apr-19Jun-19G10EMGlobal4Global FX Strategy19 July 2019Meera Chandan(44-20)7134-Paul Meggyesi(44-20)7134-Patrick R Locke(1-212)834-Moreover,additional dovish actions by central banks including the Fed and ECB at the July-end meetingscould keep this search for yield intact.The expectation from both the Fed and the ECB to be dovish.Our base case is for the Fed to cut rates by 25bp and for the ECB to change forward guidance next week and to point to further policy changes in September,with risks of an earlier move.Market expectations are admittedly highrate markets price in more than one rate cut for the Fed in July and our ECB client survey suggests that the majority of investors expect a change in forward guidance and an extension to late 2020,with at least half expecting a restatement of QE and a rate cut in September(Results of J.P.Morgan ECB Expectations survey,Fabio Bassi).Nonetheless,our rates strategists think that risks of a large and sustained increase in Treasury and Bund yields is limited with positioning not that crowded and valuations not that stretched.All else equal,FX carry thus has the potential to keep delivering positive returns.But its not easy to hold all else equal and two caveats are worth highlighting.First,to sustain ongoing positive returns from carry baskets,global growth will eventually need to deliver signs of bottoming out(or at least growth downgrades should not accelerate).Lower DM yields can provide interim support for EM carry which admittedly can be immune to modest growth downgrades2,but larger,recession-like growth downgrades eventually result in drawdowns(The balancing act of FX carry,Chandan;exhibit 6).Hence,attention should eventually turn back to growth dynamics following the July central bank meetings.Second,underlying fundamentals of high-yielders has kept our EM strategists cautious on such FX baskets from a macro standpoint.Their stance has been to unwinding shorts in high yielders rather than initiating outright longs.BRL is the sole overweight in this space by our Latam team,but motivated by reform potential rather than yield.In Asia,we are neutral on high yielders as valuations are not as appealing relative to bonds(both in Indonesia and India).In EMEA,our strategists have neutralized their underweight on RUB but are still underweight ZAR.Focus is instead on overweights in EM local rates rather than FX(Emerging Markets Outlook and Strategy,Oganes,Goulden et al).The cautious view regardless,FX targets for several high yielders have been upgraded in recent weeks(see section on Forecasts below).2EM FX carry baskets are less sensitive to growth downgrades than G10/global baskets given the use of other high beta FX as funders rather than defensive currencies(like CHF or JPY).Exhibit 5:EM FX carry has outperformed amid lower DM yields thus farEM FX carry(vol-adjusted)total returns index vs.5y Treasury yields(%)Source:J.P.MorganExhibit 6:but larger growth downgrades are still a risk;When EMgrowth falls substantially,returns from global FX carry have mostly been negative,regardless of what DM yields doAverage quarterly returns from global FX carry baskets and%of quarters they delivered positive returns,vs.change in the EM growth forecast revision indexQuarterly data since 2003.1 sigma of quarterly changes in the EM FRI is 0.6%pts since 2003and 0.4%pts since 2010.Source:J.P.MorganPositioning is still light and valuations are far from distressedWhile investors have added exposure limited to idiosyncratic themes(Antipodean and GBP shorts for instance),exposure to global macro themes still remains light.For instance,net EUR,commodity currencies,EM FX and defensive currencies like CHF and JPY are still near-neutral(exhibit 7).Separately,we have noted that FX markets do not offer value given the magnitude of compression between rich and cheap currencies(The balancing act of FX carry,Chandan).868890929496981001021041061.61.82.02.22.42.62.83.03.2Sep 18Dec 18Mar 19Jun 19EM FX carry5y Treasury yields;%(inverted)Average quarterly returns from RA carry;%0.30.30.332.712.173.472.45Total1.192.390.702.061.56%of times carry returns 00.30.350%100%80%100%86%Total65%88%71%93%78%Chg in 10y US yields(%;3m)Change in EM growth forecast(3m%pt)Chg in 10y US yields(%;3m)Change in EM growth forecast(3m%pt)Total Total 5Global FX Strategy19 July 2019Meera Chandan(44-20)7134-Paul Meggyesi(44-20)7134-Patrick R Locke(1-212)834-Dry spell in the summer months There are two other issues to contend with in FX markets that warrant comment.First,as we enter the summer months,FX liquidity is likely to become shallower.FX trading volumes tend to decline by 15%in July and August relative to the first six months of the year and market investors will recall that these periods can deliver outsized market moves(exhibit 8).Trumps interest in exchange rate supports mean reversion in cheap or artificially capped currencies Debate about whether president Trump could decide to unilaterally intervene to correct what he regards as an unfairly strong dollar,or more accurately to strengthen what he perceives to be unfairly cheap foreign currencies,has intensified in recent weeks.We have addressed the backdrop to,and mechanics of,intervention over the past year(see Pellet guns rather than bazookas,Hui,July 2018).We certainly acknowledge that the firepower available to Trump is small in economic and m