勿低估美聯儲對新興市場資產的影響
Investors in emerging markets need no reminder of the importance for EM assets of the US Federal Reserve — or do they?
新興市場投資者不需要被提醒美聯儲(Fed)對新興市場資產的重要性——不是嗎？
In a working paper published on Tuesday, Robin Koepke, economist at the Institute of International Finance, an industry group, argues that investors, EM policymakers and the Fed itself have neglected the role of US interest rates in provoking currency, banking and debt crises in the emerging world.
在週二發佈的一份研究報告中，行業組織國際金融協會(Institute of International Finance)經濟學家羅賓•克普克(Robin Koepke)表示，投資者、新興市場政策制定者以及美聯儲自身都忽視了美國利率在引發新興國家匯率、銀行及債務危機方面的作用。
It is a timely warning. His findings, he writes, “point to a heightened risk of emerging market crises in the coming years as the Fed continues to normalise interest rates”.
這是一次及時的預警。他寫道，自己的研究結果“表明，隨着美聯儲繼續實施利率正常化，未來幾年新興市場爆發危機的風險將加劇。”
Many analysts may be surprised at the suggestion that they have underplayed the Fed. The two factors most often cited in relation to EM assets these days are the Fed and China, and the risk that they will deliver a negative shock.
許多分析師或許會對有關他們低估美聯儲的說法感到愕然。如今人們在談論新興市場資產時，最常提到的兩個相關因素就是美聯儲和中國，以及它們將來造成負面衝擊的風險。
Mr Koepke argues, however, that the role of US interest rates in provoking EM crises has not been fully understood. He presents evidence that the probability of EM crises is substantially higher during a conjunction of three conditions: during a Fed tightening cycle, when the federal funds rate is above its natural rate (the rate that leads actual output to converge to potential output), and when market participants are surprised by signals that the Fed will tighten policy faster than previously expected.
然而，克普克認爲，美國利率在引發新興市場危機方面的作用未被充分認識。他提供的證據表明，如果以下三種情況同時出現的話——處於美聯儲緊縮週期，聯邦基金利率高於自然利率（導致實際產出趨近潛在產出的利率），以及美聯儲將比先前預期更快收緊政策的信號讓市場參與者感到驚訝——新興市場爆發危機的機率會大大增加。
Under these conditions, he argues, the Fed cannot only trigger crises itself; it can also increase the vulnerability of EMs to crises provoked by other factors.
克普克表示，在這些情況下，美聯儲不但能引發危機，還會增加新興市場因其他因素引發危機的脆弱性。
None of these conditions is in place now. Fed tightening, begun in December, has been put on hold. The federal funds rate (the interbank overnight lending rate) is estimated to be more than a percentage point below its natural level. And there have been no surprises from the Fed. Last December’s 25 basis point rise in the Fed’s policy rate, for example, was comprehensively signalled in advance.
這些情況眼下一個都不存在。去年12月開始的美聯儲政策緊縮已經暫停。聯邦基金利率（銀行間隔夜拆借利率）估計低於自然利率逾一個百分點。美聯儲一直未作出意外之舉。例如，美聯儲去年12月將政策利率提升25個基點之前發出了大量信號。
Mr Koepke’s point is that these conditions may change and that their significance is underestimated.
克普克認爲，這些情況或將發生變化，而它們的意義被低估了。
Typically, he writes, analysts “see the root cause of emerging markets’ susceptibility to crises in weak institutions that make countries vulnerable to economic and financial instability.”
克普克寫道，分析師們常常“認爲新興市場危機易發性的根源在於制度薄弱，這使得這些國家易受經濟、金融不穩定的影響。”
He argues, however, that “US monetary policy is often just as important as domestic factors in explaining the incidence of EM crises, if not more important.”
然而，他認爲，“在解釋新興市場危機的發生率時，美國的貨幣政策往往與新興市場國內因素同樣重要——如果不是更重要的話。”
The first chart shows the total incidence of banking, currency and debt default crises in emerging markets since the 1970s, set against the nominal federal funds rate. Mr Koepke gives this as evidence that high and rising rates typically precede periods of EM crisis.
圖表一顯示的是上世紀70年代以來新興市場銀行、匯率及債務違約危機的發生次數——對照名義聯邦基金利率。克普克以此爲據，試圖證明高位且不斷上升的利率通常在新興市場危機爆發週期之前出現。
The second chart shows the real federal funds rate (ie discounting for inflation) and the real natural rate. Again, when the federal funds rate is above its natural rate, EM crises are more common.
圖表二顯示的是實際聯邦基金利率（計入通脹因素後）和實際自然利率。可以再次看到，當聯邦基金利率高於自然利率時，新興市場危機更爲常見。
High and rising US rates may quickly become drivers of EM crises: such conditions may lead to higher borrowing costs in EMs, along with capital outflows and an unwillingness by the financial sector to take risks.
高位且不斷上升的美國利率可能很快成爲新興市場危機的驅動因素：此類條件可能導致新興市場借貸成本升高，還有資本外流以及金融部門冒險意願下降。
The potential impact of any surprise move in Fed policy was clear in the “taper tantrum” of 2013, when just the suggestion that the Fed might soon rein in its ultra-loose monetary policies was enough to provoke a wave of global panic.
美聯儲政策中任何意外舉動的潛在影響，在2013年的“縮減恐慌”(taper tantrum)中表露無遺，當時，僅是美聯儲可能很快縮減其超寬鬆貨幣政策力度的暗示就足以引發一波全球恐慌。
All three factors, says Mr Koepke, were at work in the Mexican currency crisis of 1994-95, when the Fed embarked on a tightening cycle in jumps of 25, 50 and crucially, in November 1994, of 75 basis points.
克普克表示，就1994-95年墨西哥匯率危機而言，三個因素都起了作用，當時美聯儲開始以25、50甚至75個基點（1994年11月）的加息幅度進入緊縮週期。
“The Fed was much more aggressive than expected,” Mr Koepke says. “Taking markets by surprise was clearly not the way to go.” (This was before the Fed began making regular public statements after its monetary policy meetings.)
“美聯儲比外界所預期的更加咄咄逼人，”克普克表示，“讓市場感到意外顯然並非上策。”（那時美聯儲尚未建立在貨幣政策會議後發佈公開聲明的制度。）
By the time of the Asian crisis of 1997-98, he says, the Fed had become more responsive and pulled back from its tightening cycle on concern that the turmoil in Southeast Asia would affect the US economy.
他說，到1997-98年亞洲金融危機爆發時，美聯儲的迴應已變得更加迅速，它退出了緊縮週期，擔心東南亞的動盪會影響美國經濟。
What dangers does the Fed present to EMs today? One of the biggest risks, says Mr Koepke, is that it might “get behind the curve” and delay raising rates for too long. This would result not only in a surprisingly big hike when it came, but also a higher terminal interest rate than would otherwise be the case.
美聯儲給當下的新興市場帶來了何種風險？克普克表示，最大的風險之一是，它可能“落在曲線後面”，延誤加息太久。相比正確路徑，這將導致最終的加息幅度大得出乎意料，最終的利率絕對水平也更高。
“People are used to the Fed saying it will tighten but, in the end, with volatility or other risks on the horizon, policymakers take it back and it’s a case of if in doubt, stay on hold,” Mr Koepke says.
“人們已習慣於這樣的套路：美聯儲稱要進行緊縮，結果當市場波動或其他風險浮出水面時，政策制定者便收回緊縮言論，呈現出‘如有疑問，按兵不動’的規律，”克普克說。
But with the US close to full employment and inflation moving up towards the target, “you can see how tighter policy would be warranted,” he says. “It wouldn’t take a whole lot to shift the equation.”
但隨着美國接近實現充分就業，隨着通脹向目標水平趨近，“你可以看到收緊政策是有道理的，”他說，“不需要很多就足以改變整個平衡”。
In the apparent belief that “lower for longer” now means “lower forever”, investors have been piling into EM assets in recent weeks.
顯然相信“更長時間保持較低位”如今意味着“永遠保持較低位”的投資者，最近幾周已經涌向新興市場資產。
Mr Koepke warns that this could easily be upset by the Fed.
克普克警告，這一勢頭很容易被美聯儲擾亂。
“Even though there is significant awareness [of the role of Fed policy], market dynamics can become unstable or unfavourable relatively easily,” he says. “Then you get into a self-reinforcing cycle of selling pressure.”
“即便人們充分了解了（美聯儲政策的作用），市場動態也可能相對容易地變得不穩定或不利，”他說，“屆時你將陷入一個賣盤壓力自我強化的循環。”
