Docent: 제이피모건의 미국 기업 이익률에 대해 시장 우려와 달리 긍정적으로 봤던 이유, 그 주장을 최근에 달리 한 이유에 대한 도슨트임. 산업과 기업을 거시적 환경에서 내려다 보는 방법(소위 하향식 접근법)이 익숙치 않다면 참고가 될 것임. 제이피모건은 고객들로부터 최근 2년간 높아지는 투입비용이 기업의 이익률을 악화시킬 것이란 이야기를 들었지만 동의하지 않았음. 주 된 이유로는 i) 소비자에게 판매해야 할 재고가 없었고, ii) 바이러스 대확산 시기 움켜쥐었던 현금 저축으로 인해 유동성이 넘쳐났고, iii) 소비하지 못한 소비자들의 잠재 수요가 있었으며, iv) 이 모든 환경 하에서 급등한 투입원가를 가격에 전가시킬 수 있었기 때문임. 때문에 지난 2년간 기업들의 이익률 감소는 전혀 발생하지 않았고, 되려 사상 최고 수준의 이익을 기록했었음. 특히 역사적으로 생산자물가지수와 기업 이익률은 강한 정의 상관관계를 가지고 있음. 이런 정의 상관관계는 여전히 유효함. 다만, 제이피모건은 이제부터 그 상관관계가 이끌게 될 기업 이익의 방향이 바뀌었다는 것을 알려줌. 그 이유는 i) 재고가 비축되고 있으며, ii) 공급망 병목이 해소되고 있고, iii) 잠재수요의 대부분을 소진했고, iv) 초과저축에 따른 소비자 가처분소득은 소멸되었기 때문에 더 이상 선진국 기업의 매출에 대한 기대가 어려운 상황임. 최근 가격을 인상하려는 계획을 가진 기업이 극적으로 줄었다는 것은 매우 흥미로운 사실임.
Over the past two years we fielded numerous questions regarding the health of profit margins. The consensus view was that margins are at risk of contraction given the big spike in input costs. We disagreed. We maintained a bullish earnings view as inventories were non-existent and as consumers were flush with cash, legacy of excess savings from COVID times. There was also some clear pent-up demand to be digested. This backdrop enabled corporates to use the spike in input costs as an opportunity to raise prices. Far from seeing a margin squeeze, profit margins improved significantly for most, to fresh all-time highs. Indeed, the correlation between PPIs and corporate profits has historically been strongly positive. Higher PPIs were consistent with higher profits. We believe that this correlation will continue to hold, but from here in the negative direction. This is especially as corporate inventories have been rebuilt, supply chains normalized and COVID dislocations finished. In addition, there is no further extraordinary support for the topline in DM, as pent-up demand has been exhausted, and the once dramatic consumer excess savings have been eroded. It is notable that the intentions of corporates to raise prices have rolled over sharply in the past few months.
Over the past two years we fielded numerous questions regarding the health of profit margins. The consensus view was that margins are at risk of contraction given the big spike in input costs. We disagreed. We maintained a bullish earnings view as inventories were non-existent and as consumers were flush with cash, legacy of excess savings from COVID times. There was also some clear pent-up demand to be digested. This backdrop enabled corporates to use the spike in input costs as an opportunity to raise prices. Far from seeing a margin squeeze, profit margins improved significantly for most, to fresh all-time highs. Indeed, the correlation between PPIs and corporate profits has historically been strongly positive. Higher PPIs were consistent with higher profits. We believe that this correlation will continue to hold, but from here in the negative direction. This is especially as corporate inventories have been rebuilt, supply chains normalized and COVID dislocations finished. In addition, there is no further extraordinary support for the topline in DM, as pent-up demand has been exhausted, and the once dramatic consumer excess savings have been eroded. It is notable that the intentions of corporates to raise prices have rolled over sharply in the past few months.
Bottom-line: 포트폴리오의 위험을 평가하는데 대다수 기관들이 90일 변동성을 사용하고 있는데, 국채 옵션의 변동성이 정점을 찍고 하락 한 70일전, 그 10월 중순이 S&P 500 지수의 저점이었음. 90일 변동성이라는 창을 통해 내재 위험을 평가하는 현행대로라면, 조만간 쌓아 둔 현금을 위험자산에 더 많이 배분하게 될 것임.
Many VaR models across the street use 90-day historical volatility to assess the risk inherent in portfolios. Peak implied volatility in 1-month Treasury option vol almost exactly coincides with the SPX bottom in mid October, around 70 days ago. The 90-day historical volatility window will shortly pass this peak. If historical volatility in risky assets globally continues to roll down (and VaR measures with it), investors will effectively have more dry powder to use, tempting them to push out the risk curve and further fuelling a grab of risky assets.
Many VaR models across the street use 90-day historical volatility to assess the risk inherent in portfolios. Peak implied volatility in 1-month Treasury option vol almost exactly coincides with the SPX bottom in mid October, around 70 days ago. The 90-day historical volatility window will shortly pass this peak. If historical volatility in risky assets globally continues to roll down (and VaR measures with it), investors will effectively have more dry powder to use, tempting them to push out the risk curve and further fuelling a grab of risky assets.
Bottom-line: 제이피모건에서부터 모건스탠리에 이르기까지 전략가들이 미국 주식이 힘든 한 해를 보일 것으로 전망하며, 더 낮은 가치로 할인되어 거래될 뿐만 아니라 경제재개를 통해 성장이 기대되는 중국에 더 비중을 확대할 것을 권고하지만, 도이치뱅크는 미국 주식이 올해 첫 분기 동안 현재에서부터 12% 추가적으로 상승해 S&P 500 지수 기준 4,500포인트에 도달할 것으로 전망하고 있음. 경기침체의 그림자가 깊어지고 있지만 그 시기가 점차 뒤로 밀려나고 있으며, 주 된 원인은 가계 및 기업의 재무상황, 고용주의 해고에 대한 주저로 인한 낮은 실업률, 여전히 쌓여있는 초과 저축 때문이라 함. 이런 미국 주식에 대한 강세 의견은 점점 줄어들어 도이치뱅크 홀로 고립된 상태에 이르고 있음.
From JPMorgan Chase & Co. to Morgan Stanley, strategists are turning more bearish on US stocks. Their peers at Deutsche Bank AG aren’t having it. A team led by Binky Chadha is maintaining its view that the S&P 500 can rise to 4,500 points by the end of the first quarter, about 12% above current levels, before slumping amid an economic contraction. That’s even as the benchmark is headed for its best January since 2019. “We view the rally as having further to go,” the strategists wrote in a note. “While a number of leading indicators have fallen steeply, raising the alarm, there are several reasons for a continued pushing out of the timing of a potential recession.”. Among those are strong household and corporate balance sheets, hesitancy to fire employees and excess savings accumulated at the start of the pandemic, they said. Deutsche Bank’s short-term bullish outlook on US stocks is becoming increasingly isolated. JPMorgan’s Marko Kolanovic warned that the new year rally in equities will clash with an economic slowdown. Morgan Stanley’s Michael Wilson also expects a challenging 2023 as the US economy suffers through an earnings recession before stocks rally in 2024. Strategists are increasingly preferring alternative regions for cheaper valuations and exposure to China’s reopening.
From JPMorgan Chase & Co. to Morgan Stanley, strategists are turning more bearish on US stocks. Their peers at Deutsche Bank AG aren’t having it. A team led by Binky Chadha is maintaining its view that the S&P 500 can rise to 4,500 points by the end of the first quarter, about 12% above current levels, before slumping amid an economic contraction. That’s even as the benchmark is headed for its best January since 2019. “We view the rally as having further to go,” the strategists wrote in a note. “While a number of leading indicators have fallen steeply, raising the alarm, there are several reasons for a continued pushing out of the timing of a potential recession.”. Among those are strong household and corporate balance sheets, hesitancy to fire employees and excess savings accumulated at the start of the pandemic, they said. Deutsche Bank’s short-term bullish outlook on US stocks is becoming increasingly isolated. JPMorgan’s Marko Kolanovic warned that the new year rally in equities will clash with an economic slowdown. Morgan Stanley’s Michael Wilson also expects a challenging 2023 as the US economy suffers through an earnings recession before stocks rally in 2024. Strategists are increasingly preferring alternative regions for cheaper valuations and exposure to China’s reopening.
Implication: 중앙은행은 전형적인 침체보다 약한 침체를 감수하고 역사적 수준의 인플레이션을 통제하길 원했음. 이번 미국 4분기 경제성장률과 고용시장 지표는 침체를 향해 달려간다는 경고와 거리가 멀었으며, 중앙은행이 보고 싶어하던 그림 그대로였음.
The US economy beat expectations in the last quarter of 2022, posting the kind of mild slowdown that the Federal Reserve wants to see as it attempts to tame inflation without choking off growth. Economists who dug into the details, though, saw enough warning signs – especially in weakening demand among American consumers – to suggest that a recession remains a big risk this year. Gross domestic product rose at a 2.9% annualized pace, down from 3.2% in the third quarter. A separate report on labor markets published Thursday also pointed to a resilient economy, rather than one on the verge of a slump, with weekly jobless claims unexpectedly falling.
The US economy beat expectations in the last quarter of 2022, posting the kind of mild slowdown that the Federal Reserve wants to see as it attempts to tame inflation without choking off growth. Economists who dug into the details, though, saw enough warning signs – especially in weakening demand among American consumers – to suggest that a recession remains a big risk this year. Gross domestic product rose at a 2.9% annualized pace, down from 3.2% in the third quarter. A separate report on labor markets published Thursday also pointed to a resilient economy, rather than one on the verge of a slump, with weekly jobless claims unexpectedly falling.
Bottom-line: 대표적 위험자산 지표 중 하나인 호주달러가 7개월래 고점을 눈 앞에 두고 있음. 호주달러 선물을 통한 순매도 규모가 크게 줄었지만, 추가적인 공매도 회수 여지가 있음. 옵션 시장에서도 호주달러 약세 구조를 구축한 상태로 유지 중인 경우가 많아 추가 강세 시 이들의 환매수가 기폭제 역할을 할 수 있음. 이 외에도 중국 경제재개와 무역관계 개선에 따른 원자재 수출이 수지를 개선시키는 것도 통화 강세에 영향을 줄 것임.
AUD/USD sits just below its 7-month high with leveraged shorts gradually being squeezed out of their positions. Further short covering could be the catalyst for the next wave of Aussie dollar strength. There is still a large net short position from leveraged traders according to CFTC data, which looks more and more untenable as the currency gains. Similarly in the options complex, the risk reversal skew suggests that positioning for a weaker Aussie still hasn’t been fully unwound. Moreover, China’s economy reopening is another positive for the Aussie as it boosts the trade balance with demand for commodities including iron ore and coal. The stellar China box office numbers for the Lunar New Year period underlines the reopening story has more to run. The next barrier for AUD/USD to challenge looks like the 0.7283 peak from June.
AUD/USD sits just below its 7-month high with leveraged shorts gradually being squeezed out of their positions. Further short covering could be the catalyst for the next wave of Aussie dollar strength. There is still a large net short position from leveraged traders according to CFTC data, which looks more and more untenable as the currency gains. Similarly in the options complex, the risk reversal skew suggests that positioning for a weaker Aussie still hasn’t been fully unwound. Moreover, China’s economy reopening is another positive for the Aussie as it boosts the trade balance with demand for commodities including iron ore and coal. The stellar China box office numbers for the Lunar New Year period underlines the reopening story has more to run. The next barrier for AUD/USD to challenge looks like the 0.7283 peak from June.
Bottom-line: 중앙은행이 가장 중요한 척도 중 하나로 사용하는 지표(개인이 소비한 물품 가격들의 평균 물가 상승 정도)가 가장 느린 속도의 증가폭을 보였고, 소비 지출 또한 둔화 되면서 중앙은행이 금리인상 강도를 더 약하게 해야 할 당위성을 줌.
The Federal Reserve’s preferred inflation measures eased in December to the slowest annual paces in over a year while consumer spending fell, affirming expectations for policymakers to further downshift the pace of interest-rate hikes. The personal consumption expenditures core price index, which excludes food and energy, rose 4.4% in December from a year earlier, Commerce Department data showed Friday. The overall gauge climbed 5% year-over-year, still well above the Fed’s 2% goal but both were the slowest paces since late 2021. From a month earlier, the core gauge — which Fed Chair Jerome Powell has stressed is a more accurate measure of where inflation is heading — was up 0.3%. The overall PCE price index increased 0.1%.
The Federal Reserve’s preferred inflation measures eased in December to the slowest annual paces in over a year while consumer spending fell, affirming expectations for policymakers to further downshift the pace of interest-rate hikes. The personal consumption expenditures core price index, which excludes food and energy, rose 4.4% in December from a year earlier, Commerce Department data showed Friday. The overall gauge climbed 5% year-over-year, still well above the Fed’s 2% goal but both were the slowest paces since late 2021. From a month earlier, the core gauge — which Fed Chair Jerome Powell has stressed is a more accurate measure of where inflation is heading — was up 0.3%. The overall PCE price index increased 0.1%.
Market Reaction: 먼저 발표 된 경제성장률 세부사항에서 짐작할 수 있는 부분이었기에 새로운 정보로써 시장에 영향을 주진 못함.
Meanwhile, personal spending was in line with expectations on a monthly basis, though there was a downward revision to prior data -- of course, all of this was implicit in yesterday’s GDP figure, so there isn’t really any new news here.
Meanwhile, personal spending was in line with expectations on a monthly basis, though there was a downward revision to prior data -- of course, all of this was implicit in yesterday’s GDP figure, so there isn’t really any new news here.
Bottom-line: 파월 의장은 아서 번스나 폴 볼커 그 누구도 닮지 않고 스스로의 역사를 개척코자 하는 것으로 보임. 1970년대 아서 번스는 인플레이션을 완전히 통제하기 전 금리를 인하하며 실패한 정책의 대표로 조롱을 받고, 폴 볼커는 1980년대 두 자릿수 인플레이션을 통제한 것으로 유명하지만 값비싼 희생을 감수했음. 파월의 경우 아서 번스처럼 일찍 정책의 고삐를 늦추지도, 폴 볼커처럼 의도적으로 침체를 야기하지도 않으며 인플레이션을 통제한 사람으로 남고 싶은 듯 함. 이를 위해 무시했던 인플레이션을 진압하기 위해 큰 폭의 금리인상을 매우 빠르게 했고, 침체 위험을 피하기 위해 이젠 금리인상폭을 25bp로 낮출 것으로 보임. 동시에 이 정책이 성공했단 확신을 얻기 전까지 현재 금리를 유지할 것이라 말할 것임. 이 하이브리드 전략은 중국경제 재개에 따른 인플레이션, 예상보다 높은 실업률에 직면할 위험을 내포하지만, 최근 정책 입안자들 사이에선 인플레이션과 실업률 양 쪽에 희망을 가지는 것으로 보임. 그들은 물가 지표 외에 임금 지표에서도 안도할 수 있길 바라고 있어보임.
Federal Reserve Chair Jerome Powell is trying to avoid emulating both the derided Arthur Burns and the celebrated Paul Volcker as he confronts intense pressure to rein in inflation and sidestep a recession. Ex-Fed chief Burns let inflation get out of control in the 1970s by failing to keep monetary policy tight enough for long enough to permanently beat back price pressures. Volcker then conquered double-digit inflation in the 1980s, but the victory came at an enormous expense: A painfully deep economic downturn that pushed unemployment above 10%. “Powell wants to write his own page in the history books as someone who, unlike Burns, did not blink and reverse too soon, and, unlike Volcker, did not intentionally cause a recession,” said Vincent Reinhart, chief economist at Dreyfus and Mellon who previously spent a quarter century working at the Fed. The result: After aggressively raising interest rates last year to catch up with a price surge they initially dismissed, policymakers are expected to downshift to a quarter-percentage-point hike this week as they probe for a policy stance tight enough to tame inflation without a recession. Powell is likely to accompany that with a promise to keep rates elevated for some time and not ease policy before the Fed is certain it has price pressures in check. There’s a lot that could go wrong with this hybrid strategy. Oil prices and inflation could flare anew — a distinct possibility now that China is reopening the world’s second-largest economy — forcing the Fed to revisit rate hikes later in the year. Conversely, unemployment could rise by more than the modest amount policymakers expect as they hew to a tight policy stance to combat inflation. Fed officials from both sides of the policy spectrum have recently sounded more optimistic about the central bank’s chances of engineering a soft landing that moderates price gains without crunching the economy. Behind the optimism: A fall in inflation. The personal consumption expenditures price index – the Fed’s favorite gauge – rose 5% in December from a year earlier, down from 7% in June though still well above the central bank’s 2% goal. Fed officials have also been heartened by signs of a slowdown in rapid wage growth, which they’re hoping will be confirmed by the release of the latest employment cost index, a broad measure of compensation, at the start of their two-day policy meeting Tuesday.
Federal Reserve Chair Jerome Powell is trying to avoid emulating both the derided Arthur Burns and the celebrated Paul Volcker as he confronts intense pressure to rein in inflation and sidestep a recession. Ex-Fed chief Burns let inflation get out of control in the 1970s by failing to keep monetary policy tight enough for long enough to permanently beat back price pressures. Volcker then conquered double-digit inflation in the 1980s, but the victory came at an enormous expense: A painfully deep economic downturn that pushed unemployment above 10%. “Powell wants to write his own page in the history books as someone who, unlike Burns, did not blink and reverse too soon, and, unlike Volcker, did not intentionally cause a recession,” said Vincent Reinhart, chief economist at Dreyfus and Mellon who previously spent a quarter century working at the Fed. The result: After aggressively raising interest rates last year to catch up with a price surge they initially dismissed, policymakers are expected to downshift to a quarter-percentage-point hike this week as they probe for a policy stance tight enough to tame inflation without a recession. Powell is likely to accompany that with a promise to keep rates elevated for some time and not ease policy before the Fed is certain it has price pressures in check. There’s a lot that could go wrong with this hybrid strategy. Oil prices and inflation could flare anew — a distinct possibility now that China is reopening the world’s second-largest economy — forcing the Fed to revisit rate hikes later in the year. Conversely, unemployment could rise by more than the modest amount policymakers expect as they hew to a tight policy stance to combat inflation. Fed officials from both sides of the policy spectrum have recently sounded more optimistic about the central bank’s chances of engineering a soft landing that moderates price gains without crunching the economy. Behind the optimism: A fall in inflation. The personal consumption expenditures price index – the Fed’s favorite gauge – rose 5% in December from a year earlier, down from 7% in June though still well above the central bank’s 2% goal. Fed officials have also been heartened by signs of a slowdown in rapid wage growth, which they’re hoping will be confirmed by the release of the latest employment cost index, a broad measure of compensation, at the start of their two-day policy meeting Tuesday.
Docent: 통화정책회의를 앞두고 금융환경지수가 자주 언급되고 있어 그에 대한 도슨트며, 골드만삭스의 자료를 인용함. 시장 참여자들은 현재 금융환경지수가 통화정책의 긴축적인 시기가 끝나지 않았음에도 불구하고 완화되고 있는데 중앙은행이 불편함을 가질 것이라 여기고 있음. 작년 잭슨홀 때를 떠올리면 당연한 일이지만, 실제 금융환경지수는 중앙은행의 정책 이후가 아니라 정책 이전에 '기대'를 더욱 반영함. 때문에 2022년도 중앙은행의 금리인상을 앞서서 더욱 '긴축' 상태로 이동했음. 덧붙여, 통화정책이 경제성장률에 영향을 미치는 기간을 지나치게 오랜 기간으로 오해하고 있는데, 밀턴 프리드먼의 본래 이론을 보면 국내총생산의 '수준'과 국내총생산의 '성장률'을 구분해서 봐야 함. 그는 분명히 통화정책이 국내총생산의 수준에 미치는 영향의 정점이 12개월~16개월이라 했지만, 성장에 미치는 영향은 2개 분기에 불과함. 시장은 금융환경지수의 긴축적 환경이 더욱 오래 될 것이며, 경제성장률이 떨어질 것이라 오해하는 것과 달리 골드만삭스는 이러한 이유로 2023년은 통화정책이 성장을 억누르는 지대한 역할을 하지 않을 것(Short lags mean less drag in 2023)으로 봄.
Why do other forecasters assume longer lags between monetary policy tightening and growth than we do? One, we believe that a tightening in financial conditions begins to affect the economy when financial markets react to expected policy changes rather than when rate hikes are actually delivered. Market pricing of the Fed funds rate increased and financial conditions tightened well before rate hikes were delivered in 2022, which suggests that the drag on growth from tighter policy likely started earlier than the Fed funds rate would suggest on its own. Two, many economic commentators and forecasters confuse lags from monetary policy to GDP growth with lags to GDP levels. In fact, Milton Friedman's assessment that monetary policy acts with “long and variable lags” clearly referred to the time until the peak impact on the level of GDP. Correctly interpreted, Friedman’s 12-16 month estimate of the time until changes in policy have their peak impact on the level of GDP is consistent with our estimate of a peak drag on the GDP level after six quarters, but on GDP growth after two quarters. The commonly held view that monetary policy changes have a very lagged impact on economic growth therefore seems to largely reflect a misinterpretation of Friedman’s original comments.
Why do other forecasters assume longer lags between monetary policy tightening and growth than we do? One, we believe that a tightening in financial conditions begins to affect the economy when financial markets react to expected policy changes rather than when rate hikes are actually delivered. Market pricing of the Fed funds rate increased and financial conditions tightened well before rate hikes were delivered in 2022, which suggests that the drag on growth from tighter policy likely started earlier than the Fed funds rate would suggest on its own. Two, many economic commentators and forecasters confuse lags from monetary policy to GDP growth with lags to GDP levels. In fact, Milton Friedman's assessment that monetary policy acts with “long and variable lags” clearly referred to the time until the peak impact on the level of GDP. Correctly interpreted, Friedman’s 12-16 month estimate of the time until changes in policy have their peak impact on the level of GDP is consistent with our estimate of a peak drag on the GDP level after six quarters, but on GDP growth after two quarters. The commonly held view that monetary policy changes have a very lagged impact on economic growth therefore seems to largely reflect a misinterpretation of Friedman’s original comments.