太平洋投资管理公司:2016年美国经济不大可能陷入衰退
2016-03-17 09:15:46
太平洋投资管理公司:2016年美国经济不大可能陷入衰退(2016.03.22)

  提要:虽然越来越多的专家认为,美国经济很可能会在2016年内陷入衰退,但本文提出,2016年美国经济衰退的可能性很小,而以后几年陷入衰退的可能性则要大得多。当然,低迷的增长势头和趋紧的金融环境意味着,美国经济今年陷入衰退的风险有所增大;但量化模型的推导显示,目前的衰退风险仍远低于前几轮衰退之前的水平。而且,就定性分析而言,导致美国经济扩张结束的原因通常是严重经济失衡和过度货币紧缩的合力。而当前并不存在这两个问题。

  (外脑精华·北京)虽然越来越多的专家认为,美国经济很可能会在2016年内陷入衰退,但我认为,2016年美国经济衰退的可能性很小,而以后几年陷入衰退的可能性则要大得多。

  2016年美国经济衰退风险确实有所增大

  当然,这并不是说,美国经济在未来6~12个月间陷入衰退的可能性微乎其微。毕竟,1945年以来,美国经济平均有六分之一的年份处于衰退状态,就此而言,2016年美国经济也有15%的衰退概率。

  再则,我并不否认,近几个月来美国经济在2016年内陷入衰退的风险有所增大。原因有两方面。首先,2016年美国经济的初始状态颇为低迷:2015年间,美国经济增势逐渐减弱,进而影响了2016年的初始状态。美国GDP增速从2014年超趋势水平的2.5%降至2015年4个季度1.9%的平均水平,环比年化增长率到2015年4季度进一步降至1.0%,这使得2016年的起点颇为不利。所幸现有数据显示,2016年1季度美国GDP增速大致在1.5%到2.5%之间,但这项估算还存在很大不确定性。

  第二,去年12月初美联储首次加息以来,美国金融条件有所收紧。虽然债券收益率有所下降,但不足以抵消其他资产类别价格下跌的影响。自12月初以来,太平洋投资管理公司(PIMCO)美国金融条件指数已收紧了近50个基点。如果该指数保持目前的水平,将使未来一年的GDP增速损失约四分之一个百分点。

  总之,低迷的增长势头和趋紧的金融环境意味着,美国经济今年陷入衰退的风险有所增大。

  量化模型显示2016年衰退风险有限

  PIMCO的Vinayak Seshasayee构造的一个美国宏观经济模型包含七个经济和金融变量:制造业采购经理指数、工业生产、住房开工许可数、实际货币供应量M1、美国国债收益率曲线、BBB信用利差和标准普尔500指数回报率。该模型显示,6个月之内美国经济陷入衰退的风险为17% ,这一风险已达本轮经济扩张期的最高点,但仍远低于前几轮衰退之前的水平。

  定性分析:引发经济衰退的条件不成立

  与量化模型的推导结果相应,我的定性分析也表明,2016年美国经济衰退的可能性很小,因为以往引发经济衰退的条件目前都不成立。无疑,本轮经济扩张期已进入晚期,因为1945年以来美国经济扩张期的平均长度为58个月,而本轮扩张期至今已有80个月。然而,导致经济扩张结束的原因并不是持续时间过长,而通常是严重经济失衡和过度货币紧缩的合力。而当前美国经济并不存在这两个问题。

  就经济失衡的隐忧而言,美国家庭部门并不存在2008年衰退之前的财务紧张问题和过度消费支出。另一方面,企业部门近几年的杠杆比率有所上升,但新增杠杆主要用于金融工程,而不是像2001年衰退之前那样,用于过度的资本支出。一个突出的例外是能源业,该行业在页岩油气繁荣期增大了杠杆,而且投资过量,现已陷入衰退,但该行业的规模不足以令整个美国经济随之陷入衰退。而且,目前美国经济总体上不存在工资和价格压力;事实上,工资涨幅和通胀率不是过高,而是过低。简言之,美国经济当前不存在以往衰退之前的典型过剩信号,即过度消费、过度投资和经济过热。

  而且,现在也不存在美联储过度紧缩货币政策的迹象。当然,事后看来,始于2015年前期的美联储政策紧缩是错误的,因为此举打击了许多负担美元债务的新兴市场企业、并迫使中国将人民币汇率与美元脱钩,从而导致全球经济减速,促使美元进一步升值、金融环境进一步收紧。因此,美联储收紧政策导致2015年美国经济减速、2016年前景恶化。然而,美联储收紧政策的力度并不大,不足以引发经济衰退。而且,从近期情况来看,美联储在3月份不会进一步加息,其后也将采取更谨慎的政策立场。此外,美国财政政策也已转向轻度扩张状态。

  总之,PMICO的量化衰退概率模型和定性分析都表明,市场夸大了2016年美国经济陷入衰退的风险。2016年美国经济衰退的风险要大大小于在以后几年陷入衰退的风险。

  

  英文原文:A U.S. recession this year is much less likely than a recession in, say, 2020.

SUMMARY

?The combination of weak growth momentum and tighter financial conditions suggests that the probability of a U.S. recession this year is higher than it has been in a while.

However, PIMCO's quantitative models and qualitative assessment suggest a recession in 2016 is unlikely. The U.S. economy has so far shown none of the typical warning signs that preceded past recessions: no overconsumption, no overinvestment and no overheating. Nor are there any signs of overkill by the Fed. We believe fears of a recession in 2016 are overdone.

Confessions first: I'm actually not predicting a recession in 2020. Everybody knows that it is impossible to forecast the ups and downs of the business cycle several years ahead. Even six to 12 months ahead, it is extremely difficult to call a recession correctly - in fact, most economists forecast a recession only after it has started. At PIMCO, we are adamant about revisiting our near-term outlook every quarter, for humility is essential to our business - let's face it, economists are masters of hindsight, but perhaps closer to apprentices at foresight.

So whence the title? One reason is to entice you to read yet another piece on the risk of recession. The more important reason is that while financial markets and a rising number of pundits now place a very significant probability on a U.S. recession later this year, I still think it is much more likely that the next recession occurs in, say, 2020 - or any other year of your choice in the intermediate future - than in 2016.

Of course, this is not to say that the risk of a recession over the cyclical horizon, i.e., the next six to 12 months, is negligible. Even if you just returned from an extended excursion to Mars and haven't had a chance yet to watch CNBC or study the recent economic statistics, you would have to attach an unconditional probability of about 15% to a recession over the next year. After all, the U.S. economy has on average been in recession in one out of six years since 1945.

Neither would I dispute that the risk of a 2016 recession has been on the rise in recent months, for two reasons. First, initial conditions matter a lot, and there is no denying the loss of growth momentum in the course of 2015 and going into this year. U.S. GDP growth decelerated from an above-trend pace of 2.5% in 2014 to 1.9% over the four quarters of 2015, with Q4 growth falling to only 1.0% (the seasonally adjusted annual rate) – not exactly a great starting point into 2016. Somewhat encouragingly, the available data so far suggest Q1 GDP growth is tracking in a 1.5% to 2.5% range, but such estimates are highly uncertain this early in the quarter. And to re-emphasize the point about initial conditions: In an economy that's cruising close to stall speed, the risk of a plane crash is inevitably higher than otherwise.

Second, financial conditions have tightened further since early December as the Federal Reserve hiked rates for the first time in more than nine years, equities sold off, credit spreads widened and the broad trade-weighted U.S. dollar appreciated further. Lower bond yields have helped, but this only partially offsets the deterioration in other asset classes. Our proprietary PIMCO U.S. Financial Conditions Index (FCI) has tightened by close to 50 basis points (bps) since early December (see Figure 1). If sustained, this would shave about one-quarter of a percentage point from GDP growth over the course of the year, according to our simulations with the Fed's FRB/US macro model for the U.S. economy. However, models like this are unable to capture potential non-linearities that may well be present in the current environment of global and domestic uncertainty - just think of the vagaries of China's economic policies and the uncertainty about the U.S. presidential election outcome.

Taken together, the combination of weak growth momentum and tighter financial conditions suggests that the probability of a recession this year is higher than it has been in a while.

Ask the data

Vinayak Seshasayee, a PIMCO portfolio manager, has estimated a model that combines seven economic and financial factors - the manufacturing ISM, industrial production, building permits, real money supply M1, the 3-month to 10-year U.S. Treasury yield curve, BBB credit spreads and S&P 500 returns. As Figure 2 illustrates, the model spits out a recession probability over the next six months of 17% at the moment - the highest in this expansion to date but still significantly lower than ahead of previous recessions.

Note that a variant of the model that only includes economic variables indicates a lower probability of recession, while a variant that includes only the financial variables indicates a higher probability. One possible interpretation of this discrepancy is that financial markets are currently exaggerating the risk of a recession. However, negative financial market performance may feed back negatively into consumer and corporate spending behavior via tighter financial conditions. The existence of such a feedback loop suggests that financial variables should be included in a recession probability model.

An alternative recession probability model we monitor at PIMCO is a neural network system run by portfolio manager Emmanuel Sharef, which tries to detect patterns in a wide range of economic and financial market indicators that resemble those before past recessions. The advantage of this "black box" approach is that it allows for non-linearities and tries to exploit information from a wide range of sources without imposing any theory or biases. The model results are similar to the ones from the more traditional model: The probability of a recession has recently spiked but remains far below previous pre-recession periods (see Figure 3).

Why expansions end

The reassuring message from Vinayak’s and Emmanuel’s quantitative models rhymes with my qualitative assessment that a recession is unlikely (though of course not impossible) as none of the conditions that have typically contributed to or caused past recessions currently prevail. True, this expansion is already old in age - 80 months and counting, against an average length of 58 months in the post-1945 period. However, expansions don't die of old age, they usually end from a combination of significant imbalances in the economy and excessive monetary tightening. And neither the former nor the latter are currently observable in the U.S.

Regarding potential imbalances, it is difficult to argue that household balance sheets are strained or that consumers have been overspending, as was the case ahead of the 2008 recession. Looking at the corporate sector, leverage ratios have increased in recent years, but the additional leverage was mainly used for financial engineering rather than massive overinvestment in capex as ahead of the 2001 recession. A notable exception is the U.S. energy sector, which saw overinvestment and a build-up of leverage during the shale boom and is now in recession, but this sector is too small to drag the entire U.S. economy with it. Also, wage and price pressures in the economy at large have remained absent so far. If anything, wage growth and inflation have been too low rather than too high. In short, the U.S. economy has so far shown none of the typical warning signs that preceded past recessions: no overconsumption, no overinvestment and no overheating.

Nor are there any signs of overkill by the Fed, which typically sparked past downturns. True, I believe that the Fed’s (initially verbal) tightening campaign that started in early 2015 was, in hindsight, a mistake because it hurt many dollar-indebted companies in emerging markets and forced China off the dollar peg, leading to slower global growth, further dollar appreciation and tighter financial conditions. Thereby, it contributed to the slowdown in U.S. growth last year and hence to the weaker initial conditions that I mentioned at the outset. However, it is difficult to argue that this campaign and the eventual 25 bp rate hike in December have been enough to spark a recession. Moreover, given the recent experience, the Fed will likely pass on a March rate hike and proceed even more gradually and cautiously than previously expected. And last but not least, U.S. fiscal policy is mildly supportive of growth this year for the first time in a long while.

All of this is not to deny that large parts of U.S. corporate earnings are in recession, as my colleagues Geraldine Sundstrom and Qi Wang have been rightly pointing out for a while. The corporate America that is represented in the S&P 500 has clearly been hit by its exposure to global growth, a strong U.S. dollar and weak energy prices. But this doesn't imply that the question of whether the U.S. economy is facing a recession is futile. In fact, the answer is hugely important to future asset prices. Job losses, rising unemployment, the related consumer retrenchment and widespread corporate defaults of a broad recession would very likely lead to a very significant further drop in stock prices, much wider credit spreads and much lower bond yields even from the current low levels. Recession matters a lot.

Bottom line: Both our quantitative recession probability models and qualitative deliberations suggest that the fears of a recession in 2016 are overdone. A U.S. recession this year is much less likely than a recession in, say, 2020.

来源:太平洋投资管理公司,作者:Joachim Fels
作者:Joachim

京ICP证000069号

中经网数据有限公司 版权所有
本网站由中国网络通信有限公司(CNCnet)提供网络带宽
建议使用 800*600 分辨率浏览