2012年11月3日星期六

無限QE的結局

聯儲局於9月13日推出新一輪的量化寬鬆(QE3),並已在9月下旬購入230億美元的按揭抵押證券(MBS),正式為新一輪的量寬揭開序幕。其實,投資者或仍對這個QE3政策有一定疑問,尤其這個「無限期」措施可維持多久?今期研究部嘗試與讀者探討這些議題。


聯儲局雖然已表明QE3沒有限期,但根據芝加哥儲備銀行總裁Charles Evans表示,失業率要回落至8%、甚至7.5%,才會考慮終止QE3;而明尼亞波利斯聯儲銀行總裁Kocherlakota甚至指出,央行可保持零利率水平,直至失業率降至5.5%之下。換言之,他們相信非加速通脹失業率水平(NAIRU;即失業回落至什麼水平,才會令通脹有升溫的壓力),會是7.5%甚至5.5%;即失業率未回落至這些水平以下之前,通脹也不會升溫。

若按此推算,並假設每月新增職位為15.1萬(相當於過去一年平均非農業新增職位的數目),以及勞動人口參與率為63.5%(相當於8月底新低讀數),視乎人口增長速度,預計目前的QE3可能最短會維持1.5年,最長則達7年之久【表】,即政策可直至2013年中至2017年底才完結。

超低息直至2015年




由此可見,聯儲局目前的超低息承諾,一直維持至2015年年中或更長時間,並非毫無根據。

當然,這只是透過NAIRU,以及假設每月新增職位增長數目推算出來;惟QE3實質上能否運作至2015年中、甚至2017年底,仍然存在疑問。

由於就業市場在年底前,相信仍難有顯著改善,加上明年初財政懸崖(Fiscal Cliff)的不明朗因素,以及外圍,尤其是歐羅區進入衰退,令聯儲局或在目前的OT2完結後,極有可能把QE3加碼(會是QE3.5嗎 ? )。

事實上,近期市場已開始估計,待年底OT2結束後,聯儲局將再推出新一輪買公債計劃,而每月買入的金額為450億美元,相當於目前每月OT2的規模,而且,這一輪量寬很大機會不會(或不能)再作任何沖銷(sterilized),因為可供聯儲局沽出短債數量所剩無幾【註1】。換言之,這將會是新一輪QE的舉措;若連同聯儲局於每月買入400億美元MBS,聯儲局每月量寬規模,在明年初後很大機會每月達850億美元。

說回目前的QE3要運作至2015年中,甚至較後的時間,不但存在困難,甚至可謂近乎不可能。箇中原因是市場根本沒有足夠的MBS、甚至國債,給予聯儲局購入而不影響正常市場的運作。

根據美銀估算,若按照目前聯儲局購入MBS和公債的速度,聯儲局在2014年,將持有三分一的整個未償還的按揭抵押證券(考慮到持有MBS投資者,多會把派息部分再投資MBS,這比重已屬偏高水平);而在2013年及2014年底,聯儲局持有6至30年期的美國公債,將分別達50%和65%【圖1】。

值得補充的是,市場流通的公債及MBS,要維持一定的數量,才不致令市場流動性受到破壞。而目前美國約11萬億美元國債中,有近半是由海外投資者所持有。

由此可見,不用延至2015年,「無限量」QE3的運作很快便因為市場上沒有足夠的證券流通量而無以為繼。

當然,聯儲局屆時或會推出新一輪的量寬,轉移購買其他證券資產,例如,市政府債券(Municipals)和投資級別企業債券等,情況與日本央行量寬相若。

順帶一提,目前尚未被聯儲局「貨幣化」(monetized)的債券,還有市政府債券、投資級別和垃圾級別的企業債券和非機構MBS,總市值約10萬億美元【圖2】。

量寬規模達危險水平

討論至此,讀者不難發現,聯儲局在過去數年不負責任地進行量寬,其資產規模已達危險水平;不過,隨着目前的「無限量」QE3,甚至連同明年加碼的QE(每月450億美元),預計未來兩年內,聯儲局的資產規模將由目前約2.8萬億美元,攀升至2014年約5萬億美元的瘋狂水平,或相當於約30%的GDP(【圖3】;估計明年底會升至4萬億美元,或佔24%的GDP)。

令人感到憂心的是,聯儲局日後若要進行「退市」行動(若出現此情況,一是意味美國經濟出現明顯的好轉,或美國通脹出現惡化情況而被迫退市;估計出現後者的機會較高,見下文分析),即須沽出之前在量寬期間買入的國債/MBS等,能否在市場找到足夠買家吸納這些證券已是一個極大的疑問;即使找到買家「接貨」,聯儲局沽出債券等的孳息,在「一般情況」也必然出現急升,這又反過來對經濟帶來壓力。

事實上,根據歷年數據顯示,貨幣基礎(monetary base)/GDP比率,與3個月美國公債孳息存在明顯的非線性關係【圖4】。倘若聯儲局計劃進行QE退市行動,只是將短期國債孳息率回復至2%的正常水平,意味聯儲局的資產規模便要收縮達50%之巨(若以2014年預計的5萬億美元資產規模計算,即需要收縮高達2.5萬億美元),相當於目前15%的GDP!

由此可見,經過多年來的量寬後,聯儲局已泥足深陷。當然,聯儲局若然退市,債息出現「非一般情況」不升的機會是存在的。但這很大機會是因為出現戰亂(假設美元的避險地位仍然存在)。由此看來,環球(金融)災難也許出現在聯儲局退市時!

最後,有兩點須補充的:

其一,美國將很大機會陷入長期滯脹期。若美國經濟開始呈復蘇,而聯儲局計劃退市,債息必然上升,令經濟增長很快再被拖下去。這無疑令美國經濟長期陷入低增長期,情況與日本相若。

而另一方面,聯儲局的量寬行動,卻令通脹較長期維持偏高的水平(當然,近年美國和環球經濟表現相對疲弱,暫時「抑制通脹的惡化」),使美國往後很大機會陷入長期滯脹的危機【註2】。

其次,黃金作為避險資產。正如以往的分析曾指出,聯儲局的量寬行動,間接地將其問題出口至全世界各地。多個國家尤其是新興市場的貨幣,因聯儲局的量寬行動已出現明顯的升值壓力(【圖5】;註3),被迫追隨聯儲局放鬆銀根,並且面對通脹壓力。而這通脹的壓力,只會隨着聯儲局的量寬行動而進一步升溫。作為投資者應如何對抗央行不負責任的量寬行動?

投資組合持有一定的黃金比重,也許是其一自救的辦法。如前分析指出,金融海嘯後,央行資產規模與金價有着十分密切的關係。若然,聯儲局的資產將膨脹至5萬億美元的水平,金價將有見每盎斯約3,500美元的機會,較現水平高出一倍!

註1:詳見2012年9月13日【投資分析】「QE效力所剩無幾? 」。

註2:詳見2012年9月24日「QE把美國推向滯脹漩渦 」。

註3:詳見2012年10月11日「沽澳元買黃金]。


分析員:呂梓毅




Jim Sinclair’s, 3-Nov-2012

Jim,

I'm sure your mailbox is inundated with letters, so I'd like to help. Feel free to post this if you think it will relieve some of the pressure. Thank you for all you have done for gold.

Here is an overview of market action for gold longs from a HFT perspective. If you plan to trade on my information, then the trade is: Buy physical gold. Any HFT worth their salt (or silicon) already knows what I have written here.

TAKE HEART GOLD LONGS, THE PAIN IS ALMOST OVER. The next leg of our journey takes us to $1800 and over, probably in time for Christmas. The best advice I ever received in gold is: "Your emotions are always wrong." This was from a highly skilled trader named Jim Sinclair. Thank you, Jim.

Here is what is going on:

Market releases are important, and NFP is the most important.

NFP (non-farm payrolls) is the most volatile of all data releases. Every HFT (algo and human) trade it. The high risk trade is to short bonds or long S&P prior to the release. The HFT method is to close your position pre-release and have your finger on the mouse ready to pounce. Failing that, the human method is to fade the spike and profit from mean reversion.

On a ladder, you can see 1 min before a data release that orders are pulled and volume is barren. As the data is released, algos get it first. They slam orders into the market. A second (or less) later, humans add to these orders at market and the algos sweep their profits. This drives the price as stops are crossed and slow traders enter.

For this NFP release, everyone knew the data release would be the same as October. It's an election year. The number may be revised in a week or 2, but that won't matter after the election.

Knowing in markets is a powerful thing. Most trading is guessing and hoping, so knowing is a comfort rarely experienced.

When the release happens, the gold market got slammed. The previous day, traders were pulling their longs from $1725, causing the price to drop. For the release, the shorts know that longs have stops under $1700. This is a human "line in the sand". So the goal is to cross $1700. You can see the stops trigger to $1696. From there, longs feel the pain and close positions, allowing the shorts to hit the price again into the next level $1678. These were the levels in my last email, and nothing has changed. The short goal is $1650, but won't get a chance to push $1650 and here is why:

China demand. The Chinese government has encouraged it citizens to buy gold. This is a saving culture with little faith in governments and currency. These avid savers have already bought large amounts of gold and will be buying more under the assumption that "If the price was good at $1750, then it's great at $1700!" This is how value buying works.

Come Monday, Asian value buyers will be into the market. Some may want to try to get $1650 prices or wait until Tuesday to get a better price, but will quickly snap up gold as they see the price start to go up. These physical buyers will be buying on as the price starts to press $1700 for fear of missing this BREIF pullback in price.

CIGAs should also be value buying at these levels.

On Monday, shorts will try to breach $1678. They may get it to fall (briefly) but that level won't hold. Spec shorts will be closing positions and adding longs at these prices. Spec shorts don't want to get caught behind the wave of big money value buyers. High volume VALUE traders will be back into the market on Wednesday, after the election smoke clears. These traders will be snapping up every pullback of gold, knowing they can reap a big profit before the end of the year. This starts the gold run to $1800 (short term, ie Christmas) and $2000 close behind. $2000 is a low estimate with a looming fiscal cliff and rabid money printing.

It is an election week. All eyes (news coverage) will be on the election, with real news hidden in the folds. No matter who wins, nothing will change.

If Obama wins, Bernanke will continue QE as normal, secure in his job. If Romney wins, Bernanke will increase QE in an attempt to keep his job. Either way, the printing press rolls on devaluing in the dollar and increasing the book price of hard assets. Markets know this. Knowing something in a market is a strong motivator.

There is NO scenario short of an election coup d'état of congress that can stop the presses.

If you are NOT buying gold at these prices, you have NO insurance for what is to come.

If you are long physical gold, turn off the tape and come back to it on Thursday when this paper BS is over.

Jim, thank you for all of your wisdom and advice.

Cheers,
CIGA Henry (HFT)

Commodity Index Breaks Down - So Too Does Silver

Another payrolls report today; another down day in the precious metals. Not much of a surprise here as that has been the norm for many a year. In one sense, it really did not matter what the number was as there was more than likely going to be bearish selling pressure no matter what.

When it comes to silver, if the number was a poor one, the bears would point to the fact that the QE3 was already baked into the cake and so was a non-factor. They would then point to the fact that the poor number was sign that the economy was still muddling along without any risk of inflationary factors due to the sluggish growth. Silver MUST HAVE AN INFLATIONARY ENVIRONMENT if it is to mount any sort of SUSTAINED rally.


If the number was considered friendly, then the bears would cry up the idea that the QE was not going to be continued as long as some were initially thinking since the economy was mending.


In other words, Heads, I win; Tails, you lose.


Either way, take a look at the following chart of the Continuous Commodity Index or CCI and notice that it has broken out of the recent congestion pattern. The breakout however was to the downside. Guess what; silver also broke out to the downside of its recent consolidation pattern.


I have pointed this link out to readers here for some time now - Silver is inexorably tied to the hip of the broader Commodity markets and will remain so into the foreseeable future. Next stop for the metal is today's low near $31.25 followed by a test of $31.00 - $30.80 should that previous level fail to stem its decline.


The fact that the open interest in silver refused to sharply decline during its descent was a warning that the stubborn bulls were vulnerable to a breach of chart support. There were just too many stale longs in this market which had not experienced a good and necessary cleansing. We are now finally getting that which is what this market needs in order to generate a more lasting move higher when the conditions are correct for such an event.



Note on that CCI chart, that the red support line which has been violated came in very near the important 38.2% Fibonacci Retracement level. If the index cannot rapidly recover this support level by climbing back above it and holding, it implies a subsequent test of the critical 50% level is in store.


With this in mind, observe the silver chart and note how similar the pattern is to the CCI. As stated above, the two are linked together and will generally rise and fall together.


Notice also how silver has lost support at the bottom of the recent congestion pattern which also was rather close to its 38.2% retracement level. If it cannot reverse the decline and get back above the 32 level, it will more than likely drift first towards psychological round number support near $31 and stronger chart support down near $30.70 - $30.75.


林毅夫:要改美元儲備貨幣

林毅夫:要改美元儲備貨幣

原世界銀行副總裁、著名經濟學家林毅夫表示,要避免金融危機的再次爆發,就要改變以美元為儲備貨幣的格局。

2008年爆發的金融危機不在於人民幣幣值被刻意貶低,而在於美國的過度消費,各國貨幣儲備對美元依賴過大。

在當天開幕的2012北京論壇上,林毅夫發表《國際貨幣體系和全球金融危機》的演講時做上述表示。

關於21世紀頭10年出現的經濟不平衡問題,學術團體里存在很多爭議,最流行的失衡原因分析有三:一是包括日本、韓國、中國大陸和台灣地區出現了外匯儲備暴漲;二是新興經濟體的出口策略;三是人民幣被刻意低估。

林毅夫說,三種假說都認為東亞經濟體要為美國貿易逆差負主要責任。尤其是第三個假設被媒體炒熱後更為引人注目。事實上全球經濟失衡在2002年就浮出水面,2003年中國就被指責壓制人民幣升值。「實際情況是中國2003年的貿易盈餘比1997年金融危機時還要低。而97、98年時人民幣幣值是被高估的,怎麼可能貿易盈餘下降幣值還會被低估呢?」

林毅夫認為,不能把全球經濟失衡歸結於東亞經濟體的發展,金融危機爆發的根本原因在於美國實行寬鬆的貨幣政策。2001年互聯網泡沫破滅後,美元利率從6.5%降至1%,這無異於鼓勵投機,投機產生了過度消費,過度消費產生了巨大需求,加上美國政府因伊拉克戰爭、阿富汗戰爭財政赤字不斷擴大,貿易逆差也不斷擴大。

林毅夫認為,發展中國家通過外貿掙錢換美元提高外匯儲備,再拿外匯買美國國債,這才是美國金融危機蔓延全球的根本原因。要避免危機必須改變以美元為儲備貨幣的格局。

林毅夫預計,未來幾十年可能出現美元、日元、歐元、人民幣共同承擔儲備貨幣的功能。但這些國家都有結構性問題,使用任何一種單一貨幣作為儲備貨幣都有可能導致投機。因此他主張,用國際貨幣主權機構發行的紙黃金代替美元行使儲備貨幣職能。紙黃金可以同黃金掛鈎。

這一思想英國經濟學家凱恩斯曾於1944年提出過,但由於當時美國經濟份額佔世界一半以上、世界經濟對美元過分依賴而未被採納,如今情況已然不同。林毅夫預計,再過10到20年,美國佔世界經濟份額將降至20%以下,中國、歐元區各有可能佔20%,可以考慮用新的全球性貨幣體系來代替美元中心。

林毅夫認為,以紙黃金為中心的貨幣體系對全球不論是發達國家還是發展中國家都將有利。