每周全球金融观察 |第 151 篇：收益率曲线倒挂的时间可能比你保持偿付能力的时间更长

一如预期，8 月份美国总体通胀率连续第二个月上升。8 月份的 CPI 同比上涨 3.7%，高于 7 月份的 3.2%，其中一半以上的上涨是由汽油价格的上涨推动的，而住房成本也在继续攀升。能源价格通胀是大流行后通胀的主要驱动力，并蔓延到每个相关行业。尽管总体通胀率与预期基本一致，但核心通胀率却传来好消息，8 月份的同比增长率降至 4.3%，而 7 月份为 4.7%。8月份 PPI 月环比增长 0.7%，而一致预期为增长 0.4%，7 月份为增长 0.3%。8 月份近三分之二的涨幅是由于汽油价格上涨了 20%。

8 月份美国零售销售月率增长 0.6%，大大好于经济学家一致预期的增长 0.1%。但表面之下的趋势并不那么积极，主要数字的飙升很大一部分归因于能源价格的上涨。剔除汽车和燃料类别，销售额增长了 0.2%。

美国零售和食品服务销售：八月与七月

正如上周提到的，通胀总是以意想不到的方式袭击我们。能源价格（未来可能还有食品价格）表明通胀之路道阻且长。布伦特和 WTI 原油期货本周收盘价分别为 93.93 美元和 90.77 美元（与 6/30 的 75.12 美元和 70.72 美元相比），均创下今年以来的最高水平。

周二 440 亿美元的 3 年期 UST 拍卖收益率为 4.66%，创下 2007 年以来的最高收益率，反映了债券市场对美联储长期维持利率高位的预期。"债券义勇军"再次掌权。美联储还有更多的工作要做；至少要将利率 "更长时间地保持在较高水平"，因此收益率曲线倒挂的时间将比预期的更长。

这是全球债券市场连续第二周出现负收益，彭博全球综合指数（-0.28%）、美国综合指数（-0.32%）、美国国债指数（-0.35%）、美国投资级债券指数（-0.35%）、和新兴市场债券指数（-0.317）均收红。唯一例外的是美国高收益债券指数，本周勉强上涨了 0.19%。截至 9 月 15日，60.6 万亿美元（等值）的彭博全球综合指数年度回报率为-0.80%，而 2022 年和 2021 年的回报率分别为-16.25%和-4.71%。

在大西洋彼岸，欧元区 8 月份的通货膨胀率为 5.3%，远高于欧洲中央银行 2% 的目标。周四，欧央行将基准存款利率上调 25 个基点至 4.0%，创下自 1999 年 1 月欧元诞生以来的最高水平。这是自 2022 年 7 月以来，欧洲央行连续 10 次将利率从 -0.5%上调。一年的变化真大! 在 2022年 7 月之前的 8 年中，欧洲央行的存款利率一直是 -0.5%。由于经济活动乏力和对能源进口的依赖，欧元区出现滞胀的可能性不容忽视。

欧洲中央银行存款利率：自欧元诞生以来（1999年1月）：

与债券市场相比，本周全球股市的表现要好得多，除周五美国股市（道指下跌 0.82%，标普500 指数下跌 1.22%，纳斯达克指数下跌1.56%）外，其他市场的回调幅度都很小。周五创纪录的 3.9 万亿美元 “三巫日”（3.9 万亿美元的股票期权、股指期货和股指期权在周五同时到期）无形中加剧了周五的大幅回调，股指期货和期权重新平衡、重新校准和重新定位。每年有四个三巫日，分别在 3 月、6 月、9 月和 12 月的 第 3 个星期五。

资料来源：Asym500, 彭博

请参阅下表，了解 2023 年与往年的表现对比：

所有数据截至 9 月 15 日，*1 截至 9 月 14 日

上周，我提到了 9 月 7-8 日香港创纪录的降雨量，24 小时内降雨量达 600 毫米（近 2 英尺）（相当于年平均降雨量的 25%），导致城市部分地区发生大规模水灾并造成财产损失。

在 9 月份的头 11 天里，四大洲发生了八次毁灭性的洪灾。在地中海风暴 "丹尼尔 "导致洪水肆虐利比亚东部之前（利比亚的灾难性洪灾恐怕已造成多达两万人死亡），希腊中部、土耳其西北部、巴西南部、西班牙中部和沿海地区、美国西南部以及中国南部和中国香港的部分地区已被暴雨淹没。

与许多其他形式的极端天气一样，气候变化很可能对降雨和洪水产生影响。除了生命和财产损失之外，洪水还增加了人们接触水传播病原体的风险，这对致命疾病的爆发具有重要影响。

我们无法预测与天气有关的外生事件发生的时间和地点，但我们可以预期外生冲击将成为 "新常态"，并对保险和再保险行业产生有害影响。

限制碳排放、投资绿色和可再生能源亟需全球协调。即将召开的 COP28（联合国气候变化大会，又称缔约方大会）将于 11 月 30 日至 12 月 12 日在迪拜举行。

自 2022 年 7 月以来，美国国债收益率曲线已转为负值。许多华尔街专家和著名经济学家都认为美国最快将在 2022 年底出现经济衰退，然后又改为 2023 年第一季度，再改为 2023 年第二季度。现在是 9 月中旬；亚特兰大实时 GDP 模型预测第三季度 GDP 增长率为 +4.9%。这继续证明了 COVID 后美国经济的特殊性和惊人的韧性。

备受赞誉的经济学家和华尔街的专家们无一例外地指出了一个历史悠久的收益率曲线指标: 2年期-10 年期或 3 个月-10 年期收益率的倒挂，在过去的八次倒挂之后都出现了经济衰退。我必须指出，1998 年的反转在 34 个月后随之而来的是经济衰退，2006 年的反转在 23 个月后随之而来的是经济衰退（全球金融危机）。2019 年 8 月的反转之后，6 个月后出现了最剧烈的衰退，即 Covid-19 大流行病爆发。这是一个巧合。我怀疑收益率曲线对 2020 年 COVID 的预测能力。

发生了什么？为什么久经考验的收益率曲线指标这次失灵了？

我们需要重新审视 2020 年前所未有的大流行病对经济的影响。在接下来的三个月里，美国国内生产总值萎缩了 19.2%。宽松的货币政策和大手笔的财政政策同样史无前例，避免了人类最严重的经济萧条。

欢迎来到大流行后的全球经济。消费者、企业和劳动力的行为已经发生变化，而且还在继续变化。行为的改变使旧的经济模式变得过时，经济学家们正试图重新调整这些模式。

无风险货币市场基金的每日流动性收益率为 5.16%，3 个月至 1 年期银行存款的收益率为 5.59%- 5.96%，成为许多长期资产类别的颠覆。

我想借用改述约翰-梅纳德-凯恩斯（John Maynard Keynes）的一句话："收益率曲线倒挂的时间可能比你保持偿付能力的时间更长"，或者你可以利用这种长期的反常现象。我记得美国有句老话："if you can't beat 'em, join 'em"（如果你不能打败他们，就加入他们）。

在本周于新加坡举行的第十届 Milken Institute Asia Summit 米尔肯研究院亚洲峰会上，雷-达里奥（Bridgewater Associates 创始人）表示，他不想持有债券，更喜欢现金，这凸显了全球央行在努力管理通胀时投资者面临的困难。鉴于美元收益率曲线倒挂，现金收益率高于中长期债券，短期货币市场工具和银行存款看起来确实不可抗拒。然而，只投资现金或大幅超配现金是一种有害的策略。任何高净值个人和机构投资者都不应偏离资产类别多样化，包括债券。

美联储完成加息的可能性很大（尽管不能完全排除美联储没有完成加息的可能性），欧洲央行肯定也没有完成加息。然而，备受期待的 2024 年降息很有可能不会发生（除非出现全面衰退）。请记住，2024 年也是美国大选年。

这意味着倒挂收益率曲线保持倒挂的时间可能比市场目前定价的时间更长，而且也不能完全排除收益率曲线熊市走平 (bear market flattening) 的可能性。

作者：蔡清福

Alvin C. Chua

2023 年 9 月 16 日, 星期六

东亚和中国股票市场的表现与全球同行的比较：

Article #151: The yield curve can remain inverted longer than you canremain solvent

As expected, headline inflation rose for the second consecutive month in August. CPI in Augustrose 3.7% YoY, up from 3.2% in July, with more than half of the jump being driven by risinggasoline prices, while housing costs also continued to climb. Energy price inflation has been thekey driver of post-pandemic inflation, spilling over to every related industry. Although theheadline CPI was pretty much as expected, there was good news from the core CPI, whichdecelerated to 4.3% YoY in August vs 4.7% in July. August PPI was up 0.7% (MoM) versus theconsensus of a 0.4% increase and July's 0.3% gain. Nearly two-thirds of the August increase wasdue to a 20% rise in gasoline prices.

August retail sales were up 0.6% (MoM), much better than economists' consensus estimate for a 0.1% increase. But there were less-positive trends under the surface, with a good portion of the surge in the headline number attributable to higher energy prices. Stripping away auto and fuel categories, sales rose by 0.2%.

As mentioned last week, inflation has ways to hit us in unexpected ways. The resurging energy price (and soon food prices?) points to a “choppy” path for inflation, and the inflation hydra is indeed hard to slay. Brent and WTI futures ended the week at $93.93 and $90.77 respectively (vs $75.12 and $70.72 on 6/30), both at the highest-level YTD.

The US$44 billion UST 3-yr UST auction on Tuesday at 4.66% was the highest yield since 2007, reflecting bond market anticipation of Fed keeping rates elevated for an extended period. “Bond vigilantes” are in-charge, again. The Fed has more work to do; at the minimum keeping interest rates “higher for longer,” and therefore the inverted yield curve will last longer than expected.

It was a second consecutive week of negative return for the global bond markets, with the Bloomberg Global Aggregate Index (-0.28%), US Aggregate index (-0.32%), US Treasury index (-0.35%), US IG bond index (-0.35%), and EM bond index (-0.317) all in the reds. The only exception was the US HY bond index, which eked out a +0.19% for the week. The US$60.6 trillion (equivalent) Bloomberg Global Aggregate Index YTD return is -0.80% as of Sept 15, after a -16.25% return in 2022 and -4.71% in 2021.

Across the Atlantic, inflation in the euro zone was 5.3% in August, well above the European Central Bank’s target of 2%. On Thursday, the ECB raised its benchmark deposit rate by 25bp to 4.0%, the highest level since the inception of the Euro in Jan 1999. It was the 10th consecutive rate hike by ECB from -0.5% since July 2022. What a difference a year has made! The ECB deposit rate was -0.5% for 8 years until July 2022. With lackluster economic activities and dependency on energy imports, a stagflation scenario in the Eurozone cannot be dismissed.

The global equity markets fared much better than the bond markets, with minimal pull backs this week, except the US markets on Friday (Dow -0.82%, S&P500 -1.22%, and Nasdaq -1.56%). The record US$3.9 trillion triple-witching expiration on Friday (US$3.9 trillion of stock options, stock index futures and stock index options concurrently expired on Friday) invariably exacerbated the sharp pulled back on Friday, with index futures and options rebalancing, recalibration, and repositioning. The triple-witching event occurs 4 times a year, on the 3rd Friday of March, June, September, and December.

Source: Asym500, Bloomberg

All data as of Sept 15， *1 as of Sept 14

Last week, I mentioned the record rainfall in Hong Kong on Sept 7-8, whereby 600mm (almost 2 feet) of rainfall was recorded over a 24-hour period (25% of average annual rainfall), resulting in massive flooding and property damage to parts of the city.

In the first 11 days of September, eight devastating flooding events have unfolded on four continents. Before Mediterranean storm Daniel sent floodwaters surging through eastern Libya (the catastrophic flooding in Libya is feared to have left perhaps as many as 20,000 deaths), severe rain inundated parts of central Greece, northwestern Turkey, southern Brazil, central and coastal Spain, southwestern US, and southern China and Hong Kong.

As with many other forms of extreme weather, climate change is most likely having an impact on rainfall and flooding. Beyond loss of life and property, floods increase the risks of exposing people to waterborne pathogens, which have important implications for outbreaks of deadly disease.

We cannot predict the timing and location of weather-related exogenous events, but we can expect the exogenousshocksto be “new normal” and have a deleteriousimpact on the insurance and reinsurance industries.

There is an urgent need for global coordination to limit carbon emissions and invest in green and renewable energies. The upcoming COP28 (United Nations Climate Change Conference, aka Conference of the Parties) will be held in Dubai from Nov 30 thru December 12.

The UST yield curve has turned negative since July 2022. Many Wall Street pundits and acclaimedeconomists have been calling for a US recession as soon as the end of 2022, then changed to Q12023, and then to Q2 2023. We are now in mid-Sept; the Atlanta real-time GDP model isforecasting +4.9% GDP growth in Q3. It continues to support the exceptionalism and incredibleresiliency of the post-pandemic US economy.

The acclaimed economists and Wall Street pundits invariably pointed to a time-honored yield curve indicator: the inverted 2yr-10yr or 3mo-10yr yield inversion, which recessions have followed for the past eight inversion. I must note, in 1998, the inversion was followed by a recession 34 months later, and the 2006 inversion was followed by recession (GFC) 23 months later. The August 2019 inversion was followed by the sharpest recession 6 months later, the Covid-19 pandemic outbreak. It was coincidence. I doubt the predictive power of the yield curve to predict the 2020 pandemic.

What happened? Why the time-honored yield curve indicator failed this time?

We need to review the unprecedented 2020 pandemic impact on the economy. US GDPcontracted by 19.2% over the next three months. The monetary easing and fiscal largesse policy responses were equally unprecedented, and averted the worst depression in mankind.

Welcome to the post-pandemic global economy. The consumers, businesses and labor behavior have changed, and will continue to change. The behavioral changes rendered the old economic models obsolete, which economists are trying to recalibrate.

Risk-free money market funds with daily liquidity yielding 5.16% and 3-month to one-year bank deposits yielding 5.59% – 5.96% disrupt many long-term asset classes.

I would like to paraphrase a line from John Maynard Keynes: “The yield curve can remain inverted longer than you can remain solvent,” or you can take advantage of the prolonged anomaly. I recall an old American saying “If you can’t beat ‘em, join ‘em” (if you can’t beat them, join them).

At the 10th Milken Institute Asia Summit in Singapore this week, Ray Dalio (the founder of Bridgewater Associates) said he does not want to own bonds and prefers cash, highlighting the difficulties investors face as global central banks try to manage inflation. Given the inverted US dollar yield curve, with cash yielding higher than intermediate and long-term bonds, short-term money market instruments and bank deposits indeed look irresistible. However, investing solely in cash or significantly overweighting cash is a deleteriousstrategy. No high-net-worth individuals or institutional investors should deviate from asset class diversification, including bonds.

It is a high probability that the Fed is done hiking interest rate (although the possibility that the Fed is not done cannot be totally ruled out), the ECB certainty is not done. However, there is a high probability that the much-anticipated 2024 rate cuts may not happen (unless there is a fullblown recession). Bear in mind, 2024 is also a US election year.

Which means the inverted curve may remain inverted longer than the market is presently pricingin, and the probability of a bear market flattening is not off the table.