人民幣匯率走低可能在中國引發危機

Investors worried about a Chinese financial crisis want to know when and how it will happen. They have focused on the fast build-up of debt, much of it in shadow banking, and over-investment in housing. But China’s currency could turn out to be the trigger in the same way US subprime mortgages touched off the global financial crisis.

擔心中國發生金融危機的投資者想知道，危機何時、以何種形式到來。他們一直關注中國債務的快速積累（一大塊發生在影子銀行領域）以及房地產投資過高。但中國的匯率可能最終成爲引發危機的導火索，正如美國次級抵押貸款引發全球金融危機那樣。

Beijing will not manage to rebalance growth towards consumer spending without the help of currency depreciation. To the surprise of many observers, the People’s Bank of China has engineered a modest but significant decline in the renminbi. But more weakness could be lethal for arbitrage and leverage strategies based on expectations that the currency was certain to keep rising.

若沒有人民幣貶值的幫助，北京方面將無法實現向消費者支出傾斜的增長再平衡。讓許多觀察人士感到意外的是，中國央行(PBoC)引導了一次溫和但意義重大的人民幣匯率下跌。但對基於人民幣肯定繼續升值預期的套利和槓桿策略而言，人民幣進一步走弱可能是毀滅性的。

Lombard Street Research estimates that the renminbi is between 15 and 25 per cent above fair value. Overvaluation has already hurt corporate profits, which have been flat for two years. Corporate debt as a share of gross domestic product has surged 15 percentage points during that time, while corporate deposits have hardly changed. This suggests that bank lending to companies is being used to pay interest on old loans rather than for new productive activity.

據朗伯德街研究公司(Lombard Street Research)估算，人民幣匯率目前比其公允價值高出15%至25%。估值過高已然傷害了企業利潤，過去兩年來企業利潤一直沒什麼起色。過去兩年，企業債務與國內生產總值(GDP)之比大幅升高15個百分點，而企業存款幾乎沒有變化。這表明，企業從銀行獲得的貸款正用於償還舊債利息，而不是擴大再生產。

Arbitrage game

套利遊戲

The PBoC intervened to weaken the renminbi before widening its trading band. It did so both to change entrenched market perceptions and because the economy needs a lower exchange rate.

中國央行在擴大人民幣匯率交易區間之前，通過干預壓低了匯率。這麼做有兩個原因，一是爲了改變根深蒂固的市場預期，二是因爲中國經濟需要更低的匯率。

In the absence of further depreciation it will be hard for companies to keep taking a hit to the balance sheet without slashing investment, jobs and wages. But the actual and expected rise in the renminbi has spawned an arbitrage game since the middle of 2010 that will inflict heavy losses if the currency falls 10 to 15 per cent.

如果人民幣不進一步貶值，中國企業不削減投資、裁員和減薪的話，資產負債表持續受損將讓它們很難熬。但自2010年年中以來，人民幣的實際與預期升值已引發了大量的套利活動，倘若人民幣貶值10%至15%，這些套利將遭受巨大的損失。

It all started when Beijing expanded its fledgling renminbi trade settlement scheme in June 2010 so eligible firms in China could pay for imports and exports of goods and services in their own currency rather than the dollar. In the middle of 2010 Beijing also allowed the renminbi to start rising again. Chinese investors saw the perfect opportunity to take advantage of renminbi appreciation and interest rate differentials.

這一切都源於北京方面在2010年6月擴大了施行不久的人民幣貿易結算機制，於是符合條件的在華企業可以用人民幣而不是美元來進行商品與服務進出口的結算。2010年年中，北京方面還再次允許人民幣開始升值。中國投資者從中看到了從人民幣升值和利差中獲利的絕佳機會。

Chinese groups have used letters of credit to take out foreign-currency loans offshore as part of the scheme. This has often involved importing metals, such as copper or nickel, so it was not fraudulent. Hard commodities played the role of money to circumvent capital controls.

中國企業依照人民幣貿易結算機制，利用信用證獲得離岸外幣貸款。這經常涉及到進口銅或鎳等金屬，所以不存在欺詐。硬商品發揮了規避資本管制的作用。

The imported goods were sold and the proceeds invested in either bank accounts or wealth management products in China. If the money was placed on deposit, returns depended largely on continued renminbi appreciation given interest rate differentials. Chinese groups could typically borrow in Hong Kong at 3 per cent, while bank deposit rates in China range from 3 per cent to 4.8 per cent.

企業將進口到境內的商品賣掉，收入或存入銀行，或投資理財產品。如果這筆錢變成了存款，在給定的利差之下，則回報主要依賴於人民幣持續升值。中國企業通常可以在香港以約3%的利率獲得貸款，而內地的銀行存款利率則在3%至4.8%之間。

One way to estimate the size of this arbitrage is to look at the claims of Hong Kong banks on mainland banks and non-banks. These more than tripled to over Rmb2.5tn ($415bn) between the middle of 2010 and the end of 2013.

有一個辦法可以估計這一套利活動的規模，即考察香港銀行對內地銀行和非銀行機構的債權。2010年年中至2013年底，這些債權增加了兩倍多，達到2.5萬億元人民幣（合4150億美元）。

It is also worth noting that foreign-currency exposure is much higher when measured by nationality of the borrower than residence – which is how balance-of-payments figures are compiled. Data from the Bank for International Settlements show Chinese nationals had international debt securities totalling $273bn at the end of 2013, more than five times the sum by residency.

同樣值得關注的是，當以借款人的國籍而不是居住地來衡量時，外匯風險敞口要大得多。目前編制國際收支平衡表時使用的是居住地。國際清算銀行(BIS)數據顯示，2013年底，中國人持有的國際債務證券總額達2730億美元，比以居住地計算的總額高出4倍以上。

‘Bear Stearns moment’

“貝爾斯登(Bear Stearns)時刻”

A lower renminbi could cause a scramble for liquidity, pushing asset prices down when debt in foreign currency needs to be repaid. Every time the authorities have introduced regulations to curb the arbitrage – or more recently when the PBoC pushed down the renminbi – market liquidity has come under pressure.

當需要償還外幣債務時，人民幣匯率走低可能引起流動性吃緊，拉低資產價格。每當當局引入監管措施抑制套利活動時——比如近來中國央行壓低人民幣匯率——市場流動性都會承壓。

Another aspect of China’s financial house of cards is that a lot of the money raised abroad has been funnelled via wealth management products into Chinese corporate loans, some of which will sour. Many of these will mature in the next few months, testing the system, especially if Beijing does not intervene to prevent defaults, as it did in January.

中國金融“紙牌屋”的另一方面在於，大量從境外籌得的資金已通過理財產品變成了中國企業的貸款，其中部分貸款將成爲壞賬。許多貸款將在未來幾個月到期，屆時將考驗中國金融體系，尤其是如果北京方面像今年1月一樣，不進行干預以防止違約的話。

Much like subprime lending in the US, the size of the problem is clouded in uncertainty. China’s “Bear Stearns moment” could be just around the corner. But Beijing still has ammunition to overcome a liquidity crunch and financial distress eventually. Even assuming that half of household and net non-financial-sector debt is bad and zero is recovered, the state could explicitly assume the liabilities and its gross debt would still be “only” 110 per cent of GDP.

與美國次級貸款非常相像的是，問題的嚴重性籠罩在不確定性的陰影中。中國的“貝爾斯登”時刻可能就要來臨。但北京方面仍有最終戰勝流動性緊縮和金融危機的“彈藥”。即便假定有一半的家庭貸款及非金融部門的淨債務成爲壞賬、全部蒙受損失，中國政府也可以明確宣稱，這些負債和政府的總債務仍將“僅爲”GDP的110%。

Doubling the government’s debt would be manageable if Beijing were to clean up the banks properly and reform its financial system. But this no longer seems enough to stave off some sort of crisis.

如果中國政府合理整頓銀行業並改革金融體系的話，政府債務翻一番也將是可以控制的。但這麼做似乎已不足以避免某種危機的到來。