Financialist:新兴市场“脆弱五国”或已变为“稳健五国”
2014-04-29 15:39:54
Financialist:新兴市场“脆弱五国”或已变为“稳健五国”(2014.04.29)

  提要:去年,投资者开始对巴西、印度、印尼、土耳其和南非五国经济前景感到担忧,将其统称为“脆弱五国”,其共同特点是过度依赖外资。去年5月份和今年1、2月份,“脆弱五国”都是新兴市场动荡的焦点。然而,两个月过后的今天,新兴市场货币已经看不出脆弱的迹象了。形势发生如此迅速转变的首要原因是新兴市场基本面良好。另一个因素在于,美国长期收益率走势比市场预期水平稳定。而且,南非和土耳其等新兴经济体的央行今年上调了利率,从而增强了本币吸引力。再则,从采购经理指数来看,全球经济的持续增长有助于支持新兴经济体的市场情绪。

  (外脑精华·北京)“脆弱五国”一度引发市场担忧

  近年来,经济学家热衷于用上口的缩写词来表示那些经济形势相似的国家。

  最初是高增长的新兴经济体“金砖国家”(BRICS),包括巴西、俄罗斯、印度、中国和南非。而后是高负债的欧元区国家“欧猪五国”(PIIGS),包括葡萄牙、意大利、爱尔兰、希腊和西班牙。去年,投资者开始对巴西、印度、印尼、土耳其和南非五国感到担忧,但没有恰当的首字母缩写词可用,于是它们被统称为“脆弱五国”(the Fragile Five)。

  “脆弱五国”都过度依赖外资。去年5月份,美联储计划缩减量化宽松的消息刺激了新兴市场的资本外流,令五国依赖外资的潜在问题暴露出来。今年1、2月份,美联储缩减量化宽松和中国经济减速引发新兴市场货币和股市大跌,投资者将这场动荡与1997年亚洲金融危机相提并论。

  “脆弱五国”何以变为“稳健五国”

  然而,两个月过后的今天,新兴市场货币已经看不出脆弱的迹象了。彭博发展中国家20种货币指数已经完全收复了年初的跌幅。到4月10日,土耳其里拉比1月24日的低点上涨了10.2%,巴西雷亚尔从2月3日的低点上涨9.8%,印尼卢比从1月27日的低点上涨7.2%。而韩元对美元的汇率更是创下五年多以来的新高。

  新兴市场形势的迅速好转推动了套利交易的回归。瑞士信贷提供的数据显示,以套利回报-波动性比率(carry-to-volatility ratio)衡量,“脆弱五国”在套利交易吸引力最强的六个新兴经济体中占据了五个席位。鉴于此,瑞信分析师Ray Farris和Trang Thuy Le在一篇报告中表示,“脆弱五国”可能已转变为“稳健五国”。

  为什么会发生如此迅速的转变。最重要的原因是基本面良好。在2月份新兴市场动荡的顶点,瑞信就曾指出新兴市场发生全面危机的可能性微乎其微,因为其基本面优于以往发生危机的时期。现在的情况依然如此。与以往相比,新兴经济体的对外负债水平较低(外债-GDP比率为25%,大大低于上世纪90年代的40%),外汇储备规模则要大得多(外汇储备-GDP比率由90年代的10%升至目前的30%)。

  另一个因素在于,美国长期收益率走势比市场预期水平稳定。3月份美联储主席耶伦(Janet Yellen)3月份表示最早2015年春季可能加息时,美国长期收益率有所上升。但耶伦随后保证低利率将保持相当长时间,从而缓解了市场对提前加息的担忧。另一方面,南非和土耳其等新兴经济体的央行今年上调了利率,从而增强了本币相比接近零利率的美元的吸引力。再则,从采购经理指数来看,今年1季度全球经济活动保持了增长,这有助于支持新兴经济体的市场情绪。

  瑞信认为,如果美国收益率保持稳定,那么在欧洲和中东的新兴经济体之中,俄罗斯卢布和土耳其里拉有可能表现出色。俄罗斯4季度国际收支经常账户顺差上调,同时土耳其外国贸易赤字缩小幅度超过市场预期,这两个国家的央行显著收紧。瑞信表示决策者任何放缓的迹象都将损害前景,尽管这看上去将在未来几周发生。2月份土耳其贸易赤字下降将超过预期。

  就拉美地区而言,瑞信看好墨西哥和哥伦比亚货币。哥伦比亚的比索在某种程度上具有吸引力,由于摩根大通提升了国家本币债券指数的加权,这将支持其债券需求并使得货币流入。对于墨西哥,国家强劲的信誉使其比索具有吸引力。在亚洲,韩元可能继续山药。印度卢比,目前具有吸引力,但是对于美元收益的提升更为敏感。

  不过,瑞信也指出,套利交易的空间可能已经所剩不多,因为未来几个月间美国利率仍有可能上升。瑞信预计2年期收益将在夏天上升0.5个百分点,10年其利率将从2.7%升至3.1%。Farris和Le表示“这表明需要在追求套利交易时需要更加小心。”但并不需要完全回避。

  英文原文:First BRICS. Then PIIGS. Now, The Formidable 5.

In recent years, economists have had a thing about easily pronounceable acronyms for groups of countries in similar situations. It started with the fast-growing emerging market BRICs-Brazil, Russia, India, China, and South Africa-and continued with the heavily indebted euro-area group known as PIIGS-Portugal, Italy, Ireland, Greece, and Spain. Last year, when investors began worrying about Brazil, India, Indonesia, Turkey, and South Africa, an apt acronym didn’t jump to mind. So they got a more prosaic appellation: "the Fragile Five."

The five share an overreliance on foreign capital, a tendency that emerged as a potential problem when news of the U.S. Fed's plan to reduce asset purchases began fueling capital outflows from emerging markets last May. Concerns grew in January and February of this year, when a combination of Fed tapering and slower growth in China sparked a selloff of emerging market currencies and stocks that had investors drawing parallels to the 1997 Asian financial crisis.

Fast-forward two months, however, and those countries' currencies are looking anything but fragile. Bloomberg's index of 20 developing-country currencies has fully regained its losses from earlier this year. By April 10, the Turkish lira had surged 10.2 percent from its 2014 low on January 24, the Brazilian real 9.8 percent from February 3, and the Indonesian Rupiah 7.2 percent from January 27. And the South Korean won is at its strongest level against the dollar in more than five years.

This reversal has helped fuel a comeback in the carry trade. According to Credit Suisse, the Fragile Five countries now boast five of the six most attractive emerging market carry-to-volatility ratios, an indicator that measures the attractiveness of a carry trade given its underlying risk. "The fragile five could transition into the formidable five," analysts Ray Farris and Trang Thuy Le wrote in a recent report entitled "Carry Back in Fashion, But For How Long?"

Why the quick turnaround? Most importantly, the fundamentals look good. At the height of the emerging markets rout in February, we wrote that a full-blown crisis was unlikely because developing economies were stronger than in previous panics. This is still the case. Emerging markets have lower levels of external debt (25 percent of GDP compared to 40 percent in the 1990s), healthier trade balances, and higher levels of foreign exchange reserves (30 percent of GDP compared to 10 percent in the 1990s).

Another factor is that long-term U.S. yields have been more stable than markets appear to have been anticipating. Yields increased last month after Fed Chair Janet Yellen suggested policymakers could raise interest rates as early as the spring of 2015. But subsequent assurances by Yellen that the central bank intends to keep rates low for quite some time have eased concerns of a sooner-than-expected rate hike. At the same time, some emerging market central banks, such as South Africa and Turkey, have raised interest rates this year, making their currencies more attractive relative to near-zero U.S. rates. Finally, global business activity, as measured the Purchasing Managers' Index, grew in the first quarter, helping emerging market sentiment.

If U.S. yields stay steady, Credit Suisse sees potential outperformance by the Russian ruble and Turkish lira among emerging market currencies in Europe and the Middle East. Russia's fourth-quarter current account surplus was revised upwards while Turkey's foreign trade deficit was narrower than the market expected, and both of their central banks have tightened significantly. Any signs of easing by policymakers would jeopardize that outlook, although that looks unlikely to occur in the coming weeks, according to Credit Suisse. Turkey's trade deficit was narrower than expected in February

In Latin America, Credit Suisse is bullish on the currencies of both Mexico and Colombia. The Colombian peso is attractive in part because JPMorgan increased the country's weight in two of its local-currency bond indices, a move that should fuel more demand for its bonds and thereby increase currency inflows. As for Mexico, the country's strong credit standing makes its peso attractive. In Asia, the South Korean won seems likely to continue to shine. The Indian rupee, while currently attractive, is also more vulnerable to an eventual increase in U.S. yields.

Credit Suisse does offer a note of caution: there may not be much life left in the carry trade, as U.S. rates are still expected to start heading upward at some point in the coming months. The bank expects yields on 2-year notes to rise to 0.5 percent by summer (up from 0.36 percent on April 9), and 10-year yields to increase to 3.1 percent from 2.7 percent. “That suggests the need for caution in chasing the carry trade,” say Farris and Le. But not to eschew it entirely.

来源:Financialist,2014.4.14,作者:Jens Erik Gould
作者:Jens

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