每周全球金融观察 | 第140篇：通胀缓解，经济走软，银行业风险依然存在：美联储会怎么做？

即将召开的 FOMC 会议是在5月3日星期三。CME 期货市场定价，加息25个基点的概率为 80%，达到 5.00%-5.25%。远期期货市场也在定价，5月3日的加息将是当前利率周期中的最后一次，随后将从9月开始进行一系列的降息。事实上，远期18个月的市场隐含的美联储基金减去预期的美联储基金（5月3日）是在为 200bp 的降息定价。市场对如此激进的降息周期的定价是不理性的吗？

美国第一季度 GDP 增长 1.1%，低于预期，而共识预测为 2%，2022 年第四季度为 2.6%。更高的利率和地区银行部门的动荡对经济产生了影响，尽管地区银行动荡的全部程度还有待确定。有估计认为，区域银行动荡带来的影响相当于加息 100bp，并可能对 GDP 增长产生 1%-1.5%的负面影响。美联储在 5 月 3 日之后应该暂停，如果有必要，开始降低利率，这是很有意义的。

我应该补充一点，1.1%的第一季度 GDP 增长并不令人兴奋，但比欧元区 0.1%的增长好得多。欧元区四大经济体中，德国第一季度的 GDP 没有变化，法国增长了 0.2%，而意大利和西班牙都增长了 0.5%。然而，欧洲央行预计将在 5 月 4 日的下次会议上再加息 50bp。

美国 3 月 CPI 年率为 5.0%（2 月为 6.0%），但核心 CPI 为 5.6% vs 5.5%。3 月 PPI 为 2.7%（相对于 2 月的 4.6%），核心 PPI 为 3.4%相对于 4.4%。我们有理由期待 PPI 的大幅下降将超时传导至 CPI。欧元区 3 月 CPI 从 2 月的 8.5%急剧减速至 6.9%，尽管 3 月的核心 CPI顽强地保持在 5.7%，而 2 月为 5.6%。

难道说过去两年中通货膨胀的飙升是新冠大流行造成的众多冲击波之一？通货膨胀毕竟是相对过渡性的吗？货物通胀当然看起来是过渡性的。服务业通胀一直更持久，但在今年下半年可能会与租金通胀一起放缓。工资通胀可能仍然是个问题，但如果生产力从新冠大流行对劳动力市场的不利影响中恢复过来，情况就会好转。

这将对货币政策、利率和投资产生巨大的影响 ....

这是全球股市分化的一周。受 Meta、微软 (Microsoft)和 Alphabet 等大型科技公司强劲财报的提振，美国股市延续涨势 (FANG+指数上涨 2.97%); 与此同时，欧洲、新兴市场和亚洲股市下跌。对于全球固定收益市场来说，这是一个稳健的一周，各地区和各行业都有收益。

请参考下表，了解 2023 年全年的表现与往年的对比:

美国货币市场基金资产管理规模从 4.89 万亿美元（3 月 8 日）飙升至 4 月 12 日的 5.26 万亿美元，增加了 3600 亿美元。另一方面，银行系统的存款已经从 3 月 1 日的 17.66 万亿美元下降到 4 月 19 日报告周的 17.23 万亿美元，下降了 4300 亿美元。

美国货币市场基金资产（@4/26）和银行存款（@4/19）：

SVB 的余波以及美国银行系统坐拥 6200 亿美元未实现的证券投资损失（截至 2022 年 12月 31 日）的残酷事实，无疑将对银行的贷款意愿和能力产生负面影响，这将对 GDP 增长产生负面影响。

VIX 指数和 VVIX 指数：2018-2023 年 4 月：

CBOE 波动性指数（VIX 指数，又称恐惧指数）最近已降至 16 以下。该指数在 2022 年相对较低，尽管俄罗斯入侵乌克兰，能源价格飙升，最快速的一系列加息，以及全球股票和固定收益资产类别的大幅抛售。快进到 2023 年，尽管有 SVB 的溃败和区域银行的动荡，以及 Credit-Suisse 的崩塌，但波动性仍然很低。波动性的波动性--VVIX 指数也一直保持低位。这意味着什么呢？是市场已经对坏消息进行了充分的定价，而且估值令人信服，还是对通货膨胀将得到抑制的预期，以及利率呈下降趋势？低 VIX 和 VVIX 是风险偏好改善的前奏吗？

全球固定收益市场：

2022 年对全球固定收益市场来说是极其痛苦和异常的一年，主要是由于通货膨胀升级到40 年的高点，以及积极的加息。快进到 2023 年，固定收益市场已经重新站稳脚跟，所有主要指数在前 4 个月都取得了稳健的回报（除了中国房地产行业，以及对 HY 的影响）。我注意到，美元 IG 和 HY 是表现最出色的，收益分别为 4.29%和 4.60%。

全球股票市场：

2022 年对全球股票市场来说是极其痛苦的一年。2023 年的前四个月是一个显著的复苏(MSCI 中国除外)。预计今年晚些时候的降息对全球股市是个好兆头。

在过去的三年里，我们生活在一个宏观市场中，由新冠、2020 年和 2021 年前所未有的货币宽松和财政刺激推动，随后在 2022 年积极加息以遏制畸形（或过渡性）的通货膨胀。激进的加息（和收益率曲线倒挂）总是会击垮一些东西。到目前为止，它击垮了 SVB、Signature Bank、Credit Suisse，以及不久之后的第一共和银行(?)。可以说，宏观环境和宏观因素将继续主导 2023 年的投资环境。

它痛苦地说明了全球资产配置和资产类别多样化的必要性。

The upcoming FOMC meeting is on Wednesday May 3. The CME futures market is pricing in an 80% probability of a 25bp rate hike, to 5.00%-5.25%. Forward futures market is also pricing in the May 3 rate hike will be the last in the current interest rate cycle, to be followed by a series of rate cuts starting in September. In fact, the market-implied Fed funds in 18 months forward minus the expected Fed fund (on May 3) is pricing-in a 200bp rate cut. Is the market irrational for pricing-in such an aggressive rate cut cycle?

The US GDP grew by less than expected in Q1 at 1.1%, vs consensus forecast of 2%, and vs 2.6% in Q4 2022. Higher interest rates and turmoil in the regional bank sector weighed on the economy, although the full extent of the regional bank turmoil is yet to be determined. There are estimates that the impact of the regional bank turmoil is equivalent to a 100bp rate hike, and could negatively impact GDP growth by 1%-1.5%. It makes a lot of sense that the Fed should pause after May 3, and if necessary, start to lower interest rates.

I should add that a 1.1% Q1 GDP growth is not exciting, but much better than the 0.1% growth in the Eurozone. The four largest economiesin the Eurozone, Germany’s GDP was unchanged in Q1, France grew by 0.2%, while Italy and Spain both grew by 0.5%. However, ECB is expected to hike rate by another 50bp at the next meeting on May 4.

The March U.S. CPI was 5.0% YoY (vs 6.0% in Feb), although core-CPI was 5.6% vs 5.5%. The March PPI was 2.7% in March (vs 4.6% in Feb), and the core-PPI was 3.4% vs 4.4%. It is reasonable to expect that the sharp decline in PPI will be transmitted to CPI overtime. The Eurozone March CPI decelerated sharply to 6.9% from 8.5% in Feb, although core-CPI was stubbornly at 5.7% in March vs 5.6% in Feb.

The Fed’s preferred inflation indicator – the PCE deflator decelerated to 4.2% in March vs 5.1% in Feb. suggesting that headline CPI inflation should dip below 4.0% year-over-year by June. This should constitute a strong argument for a pause in Federal Reserve interest rate hikes after the May 3rd meeting.

PCE Deflator: The Fed’s preferred inflation gauge:

Could it be that the spike in inflation over the past two years was one of the many shockwaves caused by the pandemic? Is inflation turning out to be relatively transitory after all? Goods inflation is certainly looking transitory. Services inflation has been much more persistent, but is likely to moderate during the second half of this year along with rent inflation. Wage inflation may remain troublesome, but less so if productivity makes a comeback from the adverse impact of the pandemic on the labor market.

It would have tremendous implication for monetary policy, interest rates, and investments ….

It was a diverging week for the global equity markets. US equities extended rally, buoyed by strong earnings from big tech, including Meta, Microsoft, and Alphabet (FANG+ index gained 2.97%); while European, EM and Asian equities lost ground. The global fixed income markets registered a week of solid week gains, across regions and sectors.

Please refer to the following table for YTD 2023 performance vs prior years:

Where do we go from here?

Cash continues to pour into US Money Market Funds:

US money market fund AUM has sky-rocketed to $5.26 trillion by April 12, from $4.89 trillion (on March 8), an increase of $360 billion. On the other hand, the banking system deposits have declined from $17.66 trillion on March 1 to $17.23 trillion by April 19 reporting week, a decline of $430 billion.

The fallout from SVB and the rude awakening that the US banking system is sitting on $620 billion of unrealized losses on security investments (as of 12/31/2022) will no doubt negatively impact bank’s willingness and ability to lend, which will negatively impact the GDP growth.

The CBOE Volatility index (VIX Index, aka fear index) has recently subsided to under 16. The index was relatively low in 2022, despite the Russia invasion of Ukraine and the spike up in energy prices, the most rapid series of interest rate hikes, and the sharp sell-off in global equities and fixed income asset classes. Fast forward to 2023, volatility has remained low despite the SVB debacle and the regional bank turmoil, as well as the Credit-Suisse melt down. The volatility of volatility –VVIX Index too has remained low. What does it mean? Was it that the market has sufficientlypriced-in the badnews, and the valuation is compelling, or wasit the expectation that inflation will be tamed, and interest rates are on a downward trend?  Is the low VIX and VVIX a prelude to improving risk-appetite?

The Global Fixed Income Markets(as of April 28, 2023):

2022 was an extremely painful and outlier year for the global fixed income markets, primarily due to inflation escalating to a 40-year high, and aggressive interest rate hikes. Fast forward to 2023, the fixed income markets haveregained grounds, with all major indices posting solid returns for the first 4 months (except for China property sector, and its impact on HY). I note that the USD IG and HY were the star performers, with gains of 4.29% and 4.60% respectively.

The Global Equity Markets(as of April 28, 2023):

2022 was an extremely painful year for the global equity markets. The first four months of 2023 havebeen a remarkable recovery (except for MSCI China). The interest rate cut anticipated later this year would bode well for global equities.  

We have lived in a macro market for the last three years, driven by Covid, the unprecedentedmonetary easing and fiscal largesse in 2020 and 2021, followed by aggressive interest rate hikesin 2022 to curb the monstrous (or transitory) inflation. Aggressive interest rate hikes (and yieldcurve inversion)invariablybreaksomething. So far it broke SVB, Signature Bank, Credit Suisse, and soon First Republic Banks(?)and who will be next?It is safe to say the macro environment and macro factors will continue to dominate the investment climate in 2023.

It painfully illustrates the need for global asset allocations and asset class diversification.

SundayApril 30,2023