J.P. 摩根-全球-外汇策略-核心货币观点：春天已来？-2019.4.12-48页.pdf

FX Strategy&Global EM Research12 April 2019Key Currency ViewsSpring is coming?Global 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 LLCJonathan Cavenagh(65)6882-JPMorgan Chase Bank,N.A.,Singapore BranchSee page 44 for analyst certification and important disclosures.Global central banks continue to pivot dovishly.Soft core inflation indicates that large DM central banks will maintain their dovish bias in the coming months while global growth momentum is improving.Asia growth is upgraded;Euro area forecasts have been stable for three months.The combination of these two factors is encouraging for high beta FX,but some tail risks remain.The recovery is still early-stage and FX markets are already priced to favourable growth outcomes.Stay bearish on vulnerable G10 FX where idiosyncratic factors dominate(AUD,NZD on dovish central banks;CAD on NAFTA ratification risk).Cautious on EUR given lingering growth risks;further improvement is required for decisive strengthening.Neutral across regions in EM FX.The growth upturn is tracking,but EM assets have already had a good year.FX targets are mostly unchanged.In G10,EUR/USD:Unchanged at 2Q19 1.12 and at 1.17 for 1Q20.GBP downgraded to reflect a Brexit delay(EUR/GBP at 0.87 from 0.84 for June).Asia:KRW targets downgraded by 4%(USD/KRW 1Q20 at 1145 from 1100).USD/CNY 1Q20 at 6.65(unchanged).EMEA:ZAR upgraded(USD/ZAR 14.6 from 15).Latam:USD/BRL 2Q19 3.80(from 3.70).USD/MXN 2Q at 19.50(from 19.75).Happy Anniversary:For the first time since US exceptionalism surfaced a year ago,growth forecasts are getting upgraded in more countries than they are getting downgraded in%of countries where J.P.growth forecasts have been revised by more than one sigma in the past quarter;%Source:J.P.Morgan0%20%40%60%Jan 13Jul 14Jan 16Jul 17Jan 19%upgraded significantly%downgraded significantly29%11%ContentsKey Currency Drivers2Technicals8USD Index10JPY12EUR14GBP16CHF18NOK&SEK20CAD22AUD&NZD24MXN27BRL28ZAR&RUB29CE430KRW&INR31CNY32Long-term fair value estimates33J.P.Morgan Forecasts352Global FX Strategy12 April 2019Paul Meggyesi(44-20)7134-As you will be aware,voting for Institutional Investors 2019 Global Fixed Income Research Pollis now open.If input from JP Morgans Global FX and EM Strategy teams(through flagship publications,ad-hoc reports,actionable trade ideas and direct dialogue with strategists)has been useful in your decision making this year,we would very much appreciate your support in the Currency&Foreign exchange category of the poll(a full list of sub-categories is included below).Many thanks for your consideration and for taking the time to complete the poll.The Global FX and EM Strategy teamsSub-categories for Currency&Foreign Exchange:Voting AreaCategoryEurope:Economics&StrategyCurrency&Foreign ExchangeQuantitative AnalysisTechnical Analysis(Charting)USA:Economics&Strategy/GeneralCurrency&Foreign ExchangeQuantitative AnalysisTechnical Analysis(Charting)JapanCurrency&Foreign ExchangeAsia(ex-Japan)Local Markets FX StrategyEmerging EMEALocal Markets FX StrategyLatin AmericaLocal Markets FX Strategy3Global FX Strategy12 April 2019Meera Chandan(44-20)7134-Key Currency Drivers Global central banks continue to pivot dovishly.Soft core inflation indicates that large DM central banks will maintain their dovish bias in the coming months while global growth momentum is improving.Asia growth is getting upgraded and Euro area growth forecasts have now been stable for three months.The combination of these two factors is encouraging for high beta FX,but several tail risks remain.The recovery is still early-stage and FX markets are already priced to favourable growth outcomes.Stay bearish on vulnerable G10 FX where idiosyncratic factors dominate(AUD,NZD on dovish central banks;CAD on NAFTA ratification risk).Cautious on EUR given lingering growth risks;further improvement is required for decisive strengthening.Neutral across regions in EM FX.The growth upturn is tracking,but EM assets have already had a good year FX targets are mostly unchanged.In G10,EUR/USD:Unchanged at 2Q19 1.12 and at 1.17 for 1Q20.GBP downgraded to reflect a Brexit delay(EUR/GBP at 0.87 from 0.84 for June)Asia:KRW targets downgraded by 4%(USD/KRW1Q20 at 1145 from 1100).USD/CNY 2Q20 at 6.65;USD/INR at 72.5(both unchanged).EMEA:ZAR upgraded(USD/ZAR 14.6 from 15).PLN upgraded,HUF downgraded modestly.Latam:USD/BRL 2Q19 3.80(from 3.70).USD/MXN 2Q at 19.50(from 19.75).Central banks are still turning dovishThe broad dollar is virtually unchanged since our last Key Currency Views publication a month ago,putting the range vol in the trade-weighted index at its lowest in five years(Exhibit 1).However,there was more movement on a pair-wise basis with commodity currencies outperformingamid rising oil prices and a better tone in China data.In broader markets,equities were higher across the board although bond yields ended net declining,a response to a dovish shift in central bank responses that is still unfolding.G10 currencies continue to be informed by this dynamic,NZD being the latest casualty as the RBNZ moved to an explicit easing bias(exhibit 2).The past month has seen an extension,if not broadening,of the two key themes we identified as the most relevant for FX markets in our last publication.First,Exhibit 1:Range vol in the broad dollar is plumbing 5-year lows3m maximum/minimum range vol in JBDNUSD;%Source:J.P.MorganExhibit 2:G10 FX continues to be informed by relative central bank stance;NZD was the latest casualty to s dovish pivot1m change in CCY vs.USD(%)against change in 5y OIS rates(bp)Source:J.P.Morganan ongoing dovish pivot by a series of central banks.And second,early signs of stabilization of growth in EM,which if they were to persist were expected to bode more favorably for high beta FX.The spate of dovish CB shifts has continued over the past month.In DM,the RBNZ surprised markets by shifting to an explicit easing bias,prompting our economists to change their RBNZ call(we now look for two rate cuts in May and June;Jarman).The ECB adopted a dovish tone which has raised odds of further action(either staying on hold for longer,more generous LTROs or a tiered reserve system;Fuzesi).This has not just been a DM-only phenomenon.Many central banks in EM have taken their cue from the Fed and also been more dovish(Taiwan,Thailand,Indonesia,India in Asia;Hungary,Russia,South Africa in EMEA are all on this list just in the past month).012345678201520172019AUDNZDGBPCADEURCHFJPYNOKSEK-2.0-1.5-1.0-0.50.00.51.01.5-10-5051015Change in rates vs.US;bpChange in the currency vs.USD;%CCY weaker,narrower rates vs.USDRates higher vs.US,CCY stronger vs.USD4Global FX Strategy12 April 2019Meera Chandan(44-20)7134-DM core inflation is soft;dovishness is likely to persist The outlook is for the first themecentral banksdovish stance-to persist in the coming months,especially in DM,where not only has growth remained softer for longer(ECB),but core inflation has also been softer than expectations,prompting economists to mark down their core inflation forecasts as well(Exhibit 3).Indeed,the Feds latest minutes indicate that low inflation was the primary motivation for marking down their growth outlook(Feroli)and the Euro areas latest core CPI also missed expectations.The BoJ will be in focus next(April 25th),where we now expect it to strengthen its forward guidance,given fading growth and a weaker inflation outlook(Ugai).Asian growth outlook is improvingOn the second themeearly-stage growth stabilization in certain parts of the worldconditions remain in flux but in a more favorable direction.It has now been a year since US exceptionalism first surfaced in 2018 and broad-based growth downgrades in the rest of the world began.For the first time since then,the global growth picture appears more balanced.Growth forecasts are now getting upgraded in more countries than they are getting downgraded in(Exhibit 4).The highest profile growth upgrades in the last two weeks are from China and the US.In the US,growth was revised up given strong consumption and construction(1Q up from 1.5%ar to 2%).In China,a beat in PMIs with firming forward-looking indicators prompted our economists to revise up their growth forecast for 2019 to 6.4%(from 6.2%;see notefrom Grace Ng),the largest increase in the full year growth forecast in nearly a year,which follows a smaller one-tenth upgrade in December.Euro area is stabilizingThat this was also accompanied by an improvement in PMIs in rest of Asia(Taiwan,Korea,Singapore,Japan improved),as well as a modest increase in Euro area flash PMI and a stable growth outlook in the region for three months is admittedly encouraging.Exhibit 5 shows that the regions seeing the most improvement in growthmomentum are dominated by Asia,while most of DM is lagging the rest of the world on this metric(EUR is an exception,but only by virtue of stability from a highly negative period).Given these shifts,our growth momentum framework is now suggesting net short USD exposure1,although this is predominantly vs.EM rather than G10(also see exhibit 5,Daily Alpha chartpack and EASI does it,Chandan).1The framework is currently suggesting 40%long USD exposure.Exhibit 3:Core inflation has been softer than expected in the G3Cumulative change in J.P.Morgan core inflation forecast revision indices;%ptsSource:J.P.Morgan Economics Research teamExhibit 4:Happy Anniversary:For the first time since US exceptionalism surfaced a year ago,growth forecasts in more countries are getting upgraded than downgraded%of countries where J.P.growth forecasts have been revised by more than one sigma in the past quarter;%Source:J.P.Morganbut fragility lingersWhere does this leave us for FX markets?Recent developmentsstabilization and pickup in growth momentum in the Euro area and China,respectivelyare admittedly encouraging,especially in conjunction with monetary policy of larger DM central banks that is now expected to maintain its dovish tone,given soft inflation.However,the improvement is still early stage and,as noted in past publications,several tail risks remainour economic activity surprise indices are still negative for many countries,macro investor positioning not that large and FX markets are already priced to more optimistic outcomes(Exhibit 6)so markets could still be vulnerable to another rollover in activity data.Moreover,trade-1.2-1.0-0.8-0.6-0.4-0.20.00.20.40.6-3.0-2.5-2.0-1.5-1.0-0.50.02016201720182019USDEURJPY0%20%40%60%Jan 13Jul 14Jan 16Jul 17Jan 19%upgraded significantly%downgraded significantly29%11%5Global FX Strategy12 April 2019Meera Chandan(44-20)7134-conflict risks cant be ruled out with more information on auto tariffs likely by mid-May.Stay bearish vulnerable G10,neutral EMAgainst this backdrop,tactical views are bearish on vulnerable G10 currencies like AUD,CAD and NZDwhere idiosyncratic factors dominate(dovish central banks for AUD,NZD;NAFTA ratification risk for CAD).Growth risks linger for EUR given how early-stage data stabilization is and we think further improvement is required for decisive strengthening.A similar view applies to EM FX where we are neutral across regions as well.The EM growth upturn is tracking,but EM assets have already had a good year(Emerging Markets Outlook and Strategy,Oganes,Goulden et al).The forecast bottom line:Only minor tweaksFX targets are mostly unchanged over the past month.The only change in G10 was to GBP where targets were downgraded to reflect a Brexit delay.EM target revisions were also mostly modest.Notable target changes were an upgrade to ZAR on China growth and a downgrade to KRW.G10 targets mostly unchangedEUR/USD:Unchanged at 2Q19 1.12 and at 1.17 for 1Q20.More improvement in data is needed near term for a decisive bounce.Modest strength expected later in the year on expectations of better macro conditions.JPY:Unchanged.USD/JPY 2Q19 target at 114;2Q20 unchanged at 109.USD/JPY is expected to rise in 1H on capital outflows,but decline in 2H as late-cycle stress plays out.Antipodeans:Targets still bearish on RBA and RBNZ rate cuts.AUD/USD 1Q20 0.65.NZD/USD at 0.64.CAD:Unchanged.Still bearish given NAFTA ratification risk.USD/CAD 1Q20 at 1.31.Scandis:Unchanged.Still looking for modest outperformance vs.EUR in 2019,but tactically neutral on both.EUR/SEK 1Q20 at 10.30.EUR/NOK year-end at 9.40.only GBP revised lowerGBP:Marked down for the next two quarters to reflect the delay to Brexit(EUR/GBP at 0.87 from 0.84 for June).1Y forecast kept unchanged on the assumption of orderly Brexit(EUR/GBP 0.86).Exhibit 5:Asia is leading growth upgrades,while DM is mostly lagging Change in J.P.Morgan growth forecast revision indices in the past quarter;1y zscore and%pt changeSource:J.P.MorganExhibit 6:Not without risks:the broad dollar is already priced to a more optimistic growth outcome this timeActual 6mchange in USD TWI vs.change implied by change in global growth FRI and US-global growth FRI(%)Source:J.P.MorganEM FX:neutral across regionsAsia:Neutral on Asia FX(from overweight intra-month).Forecasts unchanged for all but KRW,which was downgraded by 4%on less supportive yields,capital outflows and weak external demand.USD/KRW1Q20 at 1145(from 1100).USD/CNY 2Q20 at 6.65;USD/INR at 72.5(all unchanged).EMEA:Still neutral.ZAR upgraded 3%on better China data.USD/ZAR 1Q20 at 14.6(from 15).In CEE,PLN upgraded and HUF downgraded by 1%.EUR/PLN 1Q20 at 4.25(from 4.3).EUR/HUF 1Q20 at 330(from 327).Overweight PLN and underweight-3-2-101234AUDJPYCADPLNUSDTWDGBPZARCOPTRYRUBINRCLPTHBILSNOKBRLSEKNZDMYRHUFKRWPHPMXNCZKEURIDRSGDCNY1Y zscore3m chg;%pt-10-5051015201520172019USD TWIModel6Global FX Strategy12 April 2019Meera Chandan(44-20)7134-CZK.Bearish HUF on central bank policy;bullish ZAR.Latam:Now neutral(from overweight intra-month).BRL near-term targets downgraded and MXNupgraded.USD/BRL 2Q19 3.80(from 3.70).USD/MXN 2Q at 19.50(from 19.75).Overweight BRL and COP.Outright bearish MXN.7Global FX Strategy12 April 2019Meera Chandan(44-20)7134-Tracking economic momentum on Daily FX Alpha chartpack8Global FX Strategy12 April 2019Thomas Anthonj(44-20)7742-TechnicalsJPMQUSD:The failures to clear countertrend rally targets at 102.14 and at 101.47(int.76.4%on different scales)left this market at great risk of running into a C-wave sell-off to 98.70/66(50%/C=A)and possibly to 96.67/48(wave 3 proj./76.4%).It however takes breaks below 100.46/37(minor 76.4%/d.trend)to confirm it.Looking at the clear-cut 5-wave structure within last years rally from 94.50 to 102.90 and the fairly impulsive sell-off to 99.68 thereafter,we see the great risk of at least retracing ba