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芝加哥商品交易所研报:从恐慌指数与美国债收益率曲线的关联关系看,高波动率时代来了吗?

2018-02-12 译者 王为 市川新田三丁目

VIX-Yield Curve: At the Door of High Volatility?

By Erik Norland

We freely admit: Figure 1 is probably the strangest chart that you will ever see, at least in finance.  You may be wondering: did they throw blue spaghetti noodle on paper for inspiration and then write an economics article about it?  Or, have they spent too much time with disciples of psychologist Timothy Leary, a proponent of experimenting with psychedelic drugs?       

我们很坦率地认为:图一可能是你所见过最奇怪的图形了,至少是在财经方面。可也许会猜测:他们是不是为了获得灵感而把意大利面条泼在纸上,然后写了一篇与此有关的财经文章?或者他们与喜欢使用致幻剂的心理学家Timothy Leary的门徒在一起共度了太多的时光?

Figure 1: Weirdest Chart Ever

We assure you that neither is the case.  The above chart represents three successive iterations of the VIX-yield curve cycle, a strange but powerful economic phenomenon that has persisted since at least the end of the 1980s and to which every fixed income and equity volatility trader should pay attention. Keep reading. We will break it down in much simpler fashion. 

我向你们保证以上情况都不是。上图显示的是恐慌指数与美国债收益率之间的关联关系中出现的三次循环反复情况,看起来有点奇怪但却是实实在在的经济现象,至少从1980年代末以来持续至今,而且应该引起每一位做固定收益和做股票波动率的交易员注意。请继续看下去,我们将用尽可能简单的语言详细说明。


What goes ‘round, comes ‘round

有因必有果

The cycle has four phases.  As with any circular motion, where to begin is arbitrary, so we will begin at the bottom of the economic cycle and work our way to mid-stage expansion.

恐慌指数和美国债收益率的循环关联关系分成四个阶段,就像所有的圆周运动一样,从哪儿开始都可以,所以我们将从经济周期的底部开始然后一路下去直到扩张的中期阶段。

  1. Recession: yield curve moves from flat to steep (upward slope), equity volatility is relatively high.

    衰退:美国债收益率曲线从平坦开始走向陡峭化,为正向曲线,股票的波动率相对较高

  2. Early-stage recovery: yield curve remains steep, equity volatility begins to fall.

    复苏的早期阶段:国债收益率曲线保持陡峭,股票波动率开始回落

  3. Mid-stage expansion: the yield curve starts to flatten, equity volatility remains low.

    扩张的中期阶段:国债收益率曲线开始平坦化,股票波动率保持低位

  4. Late-stage expansion: yield curve becomes even flatter, equity volatility soars as fears of recession dominate investor behavior.

    扩张的后期:国债收益率曲线变得进一步平坦化,股票波动率大幅上涨,因对经济将陷入衰退的担心会主导投资者的行为

The VIX is the index of implied volatility on S&P 500® options and its daily time series is extraordinarily choppy.  To see its relationship with the yield curve, we smooth them both by taking a two year (500 business day) moving average and then put the results into an “X to Y” scatterplot.  The result is quite extraordinary:  consistent counter-clockwise motion.

恐慌指数是衡量标准普尔500指数期权的隐含波动率的指数,其每日波动情况相当剧烈。为了了解其与美国债收益率曲线的关联关系,我们采用两年即500交易日移动平均值对其进行平滑,并将结果放到“X轴—Y轴”的散点透视图中表示出来。结果相当非同寻常:这是一个持续逆时针的运动。

From our arbitrary starting point in a recession, the Federal Reserve (Fed) has responded to the economic downturn with much lower short-term rates.  Steep, upward sloping yield curves with short-term rates much lower than long-term bond yields eventually are associated with an economic recovery and lower equity-market volatility.  A sustained economic expansion, with relatively low equity-market volatility makes the Fed feel comfortable about removing monetary policy accommodation and flattening the yield curve (i.e., short-term rates moving higher with stable bond yields).  A tight monetary policy, flat yield-curve environment finally is associated with an economic downturn and massive correction in the equity and credit markets which sends volatility soaring.  High volatility and a crashing economy force the Fed to lower short-term rates and ease policy in order to assist in generating an economic recovery.  Wash.  Rinse.  Repeat. (Figures 2, 3, 4).  

我们从随意选定的经济衰退期开始,美联储对经济衰退的回应是大幅降低短期利率。国债收益率曲线出现陡峭化,大幅向上弯曲,债券的短期利率远低于长期收益率,最终迎来经济复苏和低的股市波动率。经济扩张持续扩张以及股市波动率处于相对较低的水平,让美联储乐见退出宽松的货币政策以及国债收益率曲线的平坦化。紧缩的货币政策,平坦的国债收益率曲线最终迎来的是经济下行和股市与信用债券市场的大调整,并造成波动率猛增。高波动率和经济崩溃破事美联储降低短期利率并放宽货币政策以帮助经济复苏。洗洗,涮涮,周而复始。(见图二、三、四)                               

This same four-stage cycle occurred (1) in the 1990-1999 period, ending in the “Tech Wreck” on Wall Street and an economic downturn with rising unemployment; (2) in the 2000-2008 period, ending in the spectacular “Housing Bust” and Wall Street panic, triggering sharply rising unemployment; and (3) the 2009-??? period in which we are now in stage four, with the Fed raising short-term rates, the yield curve starting to flatten, and the economic expansion looking a little long in the tooth.

同样的四阶段周期的情况也发生在(1)1990-1999年期间,终结于华尔街的“高科技泡沫破裂”,伴随着经济衰退而来的失业率上升;(2)2000-2008年期间,终止于前所未有的“房地产泡沫”和华尔街股市暴跌,引发失业率大幅上升;(3)2009至今,现在我们正处在第四阶段,联储正在提高短期利率,美国债收益率曲线开始平坦化,经济扩张的似乎时间有点过长了。

Figure 2: The 1990-1999 VIX-Yield Curve Cycle

Figure 3: The 2000-2008 VIX-Yield Curve Cycle

Figure 4: The Current VIX-Yield Curve Cycle

That is, currently, the markets are in a phase that closely resembles the mid-expansion phases seen during the mid-1990s (1994-96) and the mid-2000s (2005-06).  As already noted, the Fed has commenced removing monetary accommodation.  Yield curves are flattening.  VIX remains unperturbed at extraordinarily low levels. This phase may persist another year or so as the yield curve continues to flatten and the VIX, most likely, remains low for a while longer.  How long this lasts depends upon the Fed and the economy.  The faster the Fed tightens, the more quickly the yield curve will flatten, and the more likely the markets will move to the next phase.

现在市场处于与1990年代中(94-96年)和2000年代中(2005-2006年)之间的期间见到的扩张中期非常相似的阶段。正如前面提到的,美联储开始启动货币政策正常化。美国债收益率曲线还在走平,恐慌指数在极低的水平安之若素。本阶段也许会再持续一年左右,美国债收益率曲线会继续平坦化,恐慌指数非常有可能还要保持一段时间低位。该阶段会持续多长时间取决于美联储和经济状况。美联储加息速度越快,美国债收益率曲线就会以更快地速度平坦化,而市场就更有可能进入下一阶段。

The next phase is the late-stage economic expansion.  By this time the yield curve will be quite flat.  VIX will start to rise from its current two-year moving average of around 12% to much higher levels, perhaps as much as 50% to 100% higher depending on the degree to which market participants fear a future recession.  The combination of a flat yield curve and higher equity volatility will probably also blow out credit spreads and choke off lending to certain sectors of the economy, which has the potential to provoke a sharp slowdown in economic activity and then another easing cycle. 

下一阶段就是经济扩张的后期,这一时期美国债收益率曲线将非常平坦。恐慌指数将开始从现在约12%的两年移动平均值大幅上升,根据市场人士对未来衰退的恐惧程度的不同,也许会高达50%甚至是100%以上。平坦的国债收益率曲线和股市波动率的高企可能也会造成信用利差暴涨并导致对某些行业停止借贷,这样就有可能引发经济活动的大幅放缓,紧随其来的是新的货币宽松周期。


The Interplay of Fed policy and Economic Downturns

联储货币政策和经济下行阶段的相互影响

What makes this cycle tick is the interplay of Fed policy and economic downturns.  At the beginning of our cycle, rising unemployment in a recession triggers a Fed policy shift to much lower short-term interest rates.  Treasury bond yields typically decline as well with lower inflation expectations, although the drop in short-term rates far outweighs any bond rally.  Easier monetary policies are then associated with the end of the recession and start of the recovery.  At the end of the cycle in the late-stage economic expansion, it is fears of rising inflation associated with very low unemployment which is the catalyst for the Fed shifting to a tighter monetary policy.

本周期起作用的是联储货币政策和经济下行之间的相互作用。在本阶段的起始,经济衰退中失业率上升引发美联储货币政策转向大幅降低短期利率。美国债收益率通常也会在低通胀预期出现的同时出现下降,尽管短期利率的下跌幅度远超债券的上涨。伴随着衰退的结束和复苏的开始,货币政策相对宽松。在经济扩张的后期阶段结束时,失业率水平极低的同时对通胀水平上升的担忧导致美联储货币政策转为收紧。


Figure 5: Economic Downturns and T-Bill Rates

While displaying some consistent themes, every “VIX – Yield Curve” cycle also responds to different external forces.  And, in some cases, the line of causality from late-stage economic expansion to recession is not so clear.

在显示出一些持续性关联关系的同时,每一次“恐慌指数—国债收益率曲线”关联关系的周期性变化也对一些外部因素的变化做出了反应。而且在某些情况下,经济扩张的后期阶段至经济衰退期的因果演变关系并不是那么清晰。

In the late 1990s, there was the exuberance of a market fueled by rising technology stock valuations even as earnings from these companies were only growing slowly.  The general view of the progression of events was that the Fed tightening triggered the “Tech Wreck” in stocks and that was the catalyst for the economic downturn.

在1990年代末,在高科技股票估值上升的刺激下,股市一片繁荣景象,即使这些高科技公司的营收水平只是缓慢增长。一般的看法是美联储紧缩货币引发了“高科技股票崩盘”并引发了经济衰退。

The 2008-2009 economic disaster had a different story to tell.  This time, the 2003-2005 mid-stage expansion had featured a housing boom fueled by lax banking oversight and regulation, as well as, a 1% federal funds rate with a sharply upward sloping yield curve.  The Fed removed the monetary accommodation in 2005-2006, taking the federal funds rate to 5% and flattening the yield curve.  This action stalled the housing boom.  The straw that broke the camel’s back, or the catalyst for the deep recession, however, was the financial panic that occurred in September 2008 when the U.S. Fed and Treasury collaborated to put Lehman Brothers into bankruptcy and bail-out AIG to ensure certain other investment banks remain solvent. Compared to the previous period of rising unemployment in 2001-2003, 2008-2009 was characterized by massive de-leveraging across many sectors of the economy, leading to an exceptionally deep recession, now known as the “Great Recession”.

2008-2009年经济危机期间发生的情况有所不同。这次,在2003-2005年扩张的中期最引人注目的是在银行放宽信贷审查标准以及1%的联邦基金利率牵引的陡峭的美国国债收益率曲线共同作用下引发的房地产荣景。美联储在2005-2006年期间退出宽松的货币政策,将联邦基金利率提升到5%并造成国债收益率曲线平坦化。该举措终结了房地产泡沫,成了压倒骆驼的那根稻草,或成为经济进一步下跌的催化剂,但是,当2008年9月金融危机爆发时,美联储和美国财政部联手让雷曼兄弟公司倒闭并对美国国际集团施以援手确保其他的投行保持清偿能力。与以前2001-2003年,2008-2009年期间失业率上升期间相比不同的是,很多行业都经历了大规模的去杠杆,并导致了经济衰退程度前所未有地加深,现在则称之为“大衰退”。

The current economic expansion, which started back in late 2009, is now the second longest on record in the post-WWII period.  And, it has displayed a number of different characteristics from our two previous “VIX – Yield Curve” cycles examined here.   As already mentioned, the 2008 crisis was a “financial de-leveraging” recession, which is typically deeper and does not display “V-Shaped” recoveries.  And, the slow pace of economic growth in the expansion led to the use of unconventional monetary policy (i.e., asset purchases or Quantitative Easing) by the Fed.  QE worked to raise asset prices and push volatility even lower but failed to encourage more economic growth or push inflation higher.  The QE phase distorted the shape of the yield curve by pushing bond yields lower.  The removal of monetary accommodation was delayed, although we are now observing this stage in action, and this time around it includes raising short-term rates as well as unwinding Quantitative Easing.

从2009年末持续至今的经济扩张态势是二战后持续时间第二长的。并且,显示出了与我们在以前两篇文章中提到的“恐慌指数—美国债收益率曲线”的关联关系不同的几个特点。正如以前提到的,2008年危机是“金融去杠杆”引发的衰退,通常衰退程度更甚并且没有显示出“V型”反转。而且,经济扩张阶段的慢速增长导致美联储采取非常规的货币政策手段,例如资产买入或量化宽松。量化宽松导致资产价格上涨并且进一步推低波动率但是并没有刺激经济进一步成长也没有导致通胀上升。量化宽松造成美国债收益率走低并扭曲了美国国债收益率曲线的形态。货币政策正常化被推迟了,尽管我们现在已经看到正常化正在实施之中,现在的正常化手段包括短期利率的提升和量化宽松的退出。

The last factor of note in this cycle is the persistence of low inflation. The Fed typically views inflation as being pushed higher by low unemployment and tight labor markets, and that has not happened in this cycle, at least not yet.  Thus, the Yellen Fed has admitted to some confusion about the economic outlook and has been exceedingly cautious in raising short-term rates.  Indeed, the -Fed under Jerome Powell may even consider raising its long-term inflation target from 2% to, perhaps, 3% or 4%.  This would signal a desire by the Fed to stop raising short-term rates while it unwinds QE.  And, it might prolong the period of an upwardly sloped yield curve.

本周期最后一个值得注意的点是持续出现的低通胀。美联储通常认为通胀是受到低失业率和就业市场紧张状况的驱使而走高,本周期尚未出现这一情况,至少是现在还没有。因此,耶伦治下的美联储承认对经济前景有些困惑并且对调升短期利率非常谨慎。确实,杰瑞米鲍威尔时代的美联储甚至考虑到要将短期利率从2%提升到,比方说3%或4%。美联储终结量化宽松之时,低通胀会导致联储停止提升短期利率,而且,也会造成美国债收益率曲线长期出现近低远高的向上倾斜状态。

The alternative scenario is that the Fed tightens by a total of 75 basis points (bps) in 2018 (in addition to the 25 bps it has signaled for December 2017), as its “dot plot” suggests.  If rates were 100 bps or 1 percent higher by end of 2018, then that should put the current cycle on course to take a sharp right turn across the bottom of the graph. This might move up not only equity index volatility but also implied and realized volatility on all manner of products including high yield bonds, Treasuries, metals, currency and perhaps even energy and agricultural goods options.

另一种情况是除了其在2017年12月份所暗示的加息25个基点之外,按照其“点阵图”所做的预测,美联储在2018年总共加息75个基点。如果在2018年底以前利率上升一个百分点,那么将造成现在正在进行的周期性走势在图的底部迅速向右转,这不仅会造成股指波动率上升,而且还会造成其他各类资产包括高收益债,美国国债,贵金属,外汇也许甚至还有能源和农产品的期权波动率同时出现上升。


As the saying goes: watch this space. 

正如常言所云:静观其变。

Figure 6: Yield Curve Anticipates Economic Downturns

Bottom line:

要点:

  • Two-year average yield curve slopes and VIX levels move in a four-stage cycle.

  • 两年期美国国债收益率曲线和恐慌指数的波动呈现四个阶段的周期变化

  • Currently, we are in the mid-to-late expansion stage.

  • 现在,我们正处于扩张阶段中后期

  • Additional Fed tightening will flatten the yield curve more, which will eventually provoke an explosion in volatility as the VIX’s average level might double from current levels.

  • 联储进一步的紧缩行动将造成美国债收益率曲线的进一步平坦化,将最终导致波动率大爆炸,恐慌指数的均值会比目前水平翻番

  • It is likely the volatility will increase across a broad range of products including bonds, metals and currencies as well.

  • 有可能各类资产,包括债券,金属以及各外汇的波动率均将出现上升

..

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