加息後市場應該注意三大風險

Janet Yellen has started weaning the American economy off its addiction to cheap money. But, given recent mixed economic data, economists are divided on the merits of the US Federal Reserve chair’s decision to raise interest rates by 25 basis points.

珍妮特耶倫(Janet Yellen)已經開始讓美國經濟擺脫對廉價資金的依賴。但是，考慮到最近好壞摻半的經濟數據，關於這位美聯儲(Fed)主席加息25個基點的決定是否明智，經濟學家的看法出現了分歧。

For a different perspective on the challenge facing the Fed, it is worth looking at another corner of Washington: the Office of Financial Research. Just before the Fed announcement, the OFR published its first Financial Stability Report on the health of US finance. This went largely unnoticed.

要想從另一個視角看待美聯儲面臨的挑戰，有必要看一下華盛頓的另一個地方：金融研究辦公室（Office of Financial Research，簡稱OFR）。就在美聯儲宣佈加息前，OFR公佈了其針對美國金融健康狀況的首份金融穩定性報告(Financial Stability Report)。但這份報告基本上被忽視了。

That is a pity. The OFR, an offshoot of the Treasury, was set up after the 2008 crisis to assess financial risk — and its report reveals that several years of ultra-low rates have distinctly the distorted financial system. Ms Yellen will need extraordinary skill — and luck — to handle these distortions without sparking another crisis. The market reaction to the rate rise might seem impressively calm, but the real test for the wider financial system has barely begun.

這令人遺憾。美國財政部下屬的OFR是2008年金融危機後、爲評估金融風險而設立的機構。該機構的報告揭示出，數年超低的利率已經嚴重扭曲了金融體系。耶倫需要有非凡的本領、以及運氣，才能糾正這些扭曲、而不引發另一場危機。市場對加息的反應可能看上去令人意外地平靜，但是整個金融系統面臨的真正考驗纔剛剛開始。

In finance, there are at least three areas investors need to watch. The first is the fact that the ultra-loose policy has created credit bubbles that could now deflate. Because they have not emerged in the sectors that were at the centre of last decade’s bubble, mortgages and banks, they have attracted less attention. But, as the Bank for International Settlements wrote earlier this month, debt has increased significantly since 2008 in emerging markets.

在金融領域，有3個方面需要投資者留意。第一個是超寬鬆政策製造的信貸泡沫如今可能破裂。因爲這些泡沫沒有出現在上一個十年泡沫集中的領域，即抵押貸款和銀行業，因此它們吸引的注意力較少。但是，正如國際清算銀行(Bank for International Settlements)本月早些時候所寫道的那樣，自2008年以來新興市場的債務已經顯著增加。

Also, the OFR observed this week: “In our assessment, credit risk in the US non-financial business sector is elevated and rising” — to a point where “higher base rates may create refinancing risks... potentially precipitate a broader default cycle”. Fortunately, banks seem fairly well placed to absorb losses. But an outbreak of defaults could spark contagion and market volatility, particularly since post-crisis regulations mean banks are less willing to be market makers in the non-business sector — prepared to buy or sell when investors want to trade — making it harder to trade the instruments in question.

此外，上週OFR還指出：“根據我們的評估，美國非金融業務部門的信貸風險有所增加並在持續上升”，以至於“更高的基準利率可能會帶來再融資方面的風險……並有可能促發更大範圍的違約循環”。幸運的是，銀行業似乎準備得不錯，可以承受損失。但是，違約的爆發可能引發傳染性並造成市場波動，特別是鑑於後危機時代的監管規定，意味着銀行業做非業務部門做市商（即當投資者想交易時，隨時願意買進或賣出）的意願下降，使得對相關工具進行交易更加困難。

A second area to watch is the state of investors’ portfolios. In recent years, asset managers have tried to chase yield by buying longer-term assets with greater credit risk. This has raised the “duration” of bond portfolios — or their vulnerability to higher rates — to historic highs. Indeed, the OFR calculates that a mere 100bp rise in long-term US rates could generate unhedged losses of $214bn for US-based bond mutual funds and exchange traded funds. Once again, the system as a whole could probably absorb this; but it could also spark contagion, particularly since banks, too, have increased their duration profiles.

第二個需要注意的領域是投資者投資組合的狀態。近年來，資產管理公司一直試圖通過購買信用風險更高的長期資產來追求收益率。這使債券投資組合的“期限”——或者說他們對較高利率的脆弱性——上升至歷史高點。的確，OFR計算，美國長期利率上調僅100個基點，就會對美國債券共同基金和交易所交易基金(ETF)帶來2140億美元的未對衝損失。再一次，作爲一個整體，金融系統很可能可以承受這些損失；但是這也可能引發傳染性，特別是因爲銀行的投資組合期限也變長了。

A third area of concern is that in recent years there have been stealthy shifts in the opaque world of money markets. Before the crisis many asset managers, companies and banks placed spare cash in money-market instruments. Recently, however, this money has flooded on to the balance sheet of banks and the Fed itself. This has made it harder for the Fed to control the price of money with its usual policy tools.

第三個令人擔憂的領域是，近年來，貨幣市場這個不透明的世界悄然在改變。危機前，很多資產管理公司、企業和銀行業都把閒置資金放在貨幣市場工具上。然而，近來這部分資金已經流入銀行和美聯儲自己的資產負債表。這使得美聯儲更難以利用常規政策工具來控制資金價格。

Another effect of these flows in the money markets might cause the Fed rise to spark upheaval. Zoltan Pozsar, an analyst at Credit Suisse, thinks hundreds of billions of dollars could soon move back from banks to money market funds — with potentially destabilising consequences that the Fed (and others) are scrambling to understand.

貨幣市場此類流動的另一個影響，或許會導致美聯儲加息引發市場動盪。瑞士信貸(Credit Suisse)的分析師佐爾坦波扎爾(Zoltan Pozsar)認爲，數千億美元可能會很快從銀行流入貨幣市場基金，其後果可能會造成不穩定，美聯儲（以及其他機構）正努力嘗試理解這些後果。

These three points are not the only challenges in markets. Nor do they mean the Fed is wrong to raise rates now. On the contrary, the distortions have arisen precisely because money has been artificially cheap for so long. A rate rise was long overdue — at least for the financial world.

市場面臨的挑戰並不止以上三點。這三點也不意味着美國決定現在加息是錯誤的。相反，這種扭曲之所以存在，正是因爲資金成本被人爲壓低太長時間了。加息來得太遲了——至少對金融界來說是這樣的。

Nevertheless, nobody can ignore the fact that Ms Yellen and her colleagues are now walking a slippery tightrope. In coming months, Fed officials will need to convince investors and borrowers that the cost of money is finally rising at a steady rate and that they should adjust portfolios accordingly. (Arguably this has still not entirely happened: the markets are pricing in just two interest rate rises next year but Fed officials appear to expect four.)

然而，沒人可以忽視耶倫及其同僚如今正在走鋼絲。未來數月，美聯儲官員將需要讓投資者和借款人相信，資金成本終於將穩步上升了，他們應該相應地調整資產組合。（可以說這種調整尚未到位：目前市場價格只反映出明年將兩次加息，而美聯儲似乎預計會加息4次）。

The Fed also needs to avoid a replay of 1994, when it raised rates by more than 200 basis points, causing the 10-year bond yield to surge more than 300 basis points in a year. If that happened again, it would spark the defaults and bond fund losses of which the OFR warns.

美聯儲也需要避免1994年的情況重演，當時它上調利率逾200個基點，造成10年期國債收益率在一年內飆升逾300個基點。如果這種情況再次發生，將引發違約潮和債券基金虧損——正如OFR所警告的那樣。

What Ms Yellen needs for the financial system is a “Goldilocks” policy, where market and Fed rates rise gradually, or at a speed that is “just right”. Better hope she can deliver that. Until then, applause is premature.

耶倫需要對金融系統採取的是“不溫不火”的政策，即市場和美聯儲利率逐漸上升，或者以“剛剛好”的速度上升。最好希望她能實現這一點。在那之前，不宜太早鼓掌。