头条 美国餐馆 纽约房产 理财 移民 旅游 美食 川普 法拉盛 布碌仑 纽约 新泽西 洛杉矶 三藩市 芝加哥 波士顿 加拿大 温哥华 多伦多

日期:10/2018 用户评论

芝加哥商品交易所研报:欧元走势要看意大利?

市川新田三丁目

Euro’s Fate May Be in Italy’s Hands

By Erik Norland

While the trials and tribulations of Brexit grab the headlines, the collapse in the Italian bond market may be of far greater consequence to the future of Europe than Britain’s departure from the European Union.  The most recent selloff, which began in May, isn’t the first time that Italian debt has hit the skids.  It’s last major price decline, between 2009 and 2012, sent yields soaring (Figure 1) and threatened to take the Eurozone down with it.  What is remarkable is how little currency options appear to be responding to the potential threat on the horizon.

正当英国在脱欧过程经历的考验与磨难还在占据媒体头条之时,意大利债券市场的崩盘给欧洲的未来造成的后果却有可能比英国脱欧大得多。最新一波抛售潮发端于5月份,这已不是意大利债市的首次触礁了。2009-2012年期间经历上一次大跌造成意大利国债收益率大幅飙升,见下图一中绿线,当时差一点将整个欧元区债市都拖入深渊。值得注意的是当前外汇期权市场似乎对即将出现的潜在风险基本上什么反应。


Figure 1: Italian Yields Are at a 4 ½-Year High and Far Above Most Other Eurozone Countries.

意大利国债收益率达4年半来最高,远超其他大多数欧元区国债收益率 In the summer of 2012, newly installed European Central Bank (ECB) President Mario Draghi promised to “do whatever it takes” to prevent Italy, Spain, Portugal and Ireland from defaulting on their debt.  The market took him at his word.  Over the next few years, yield spreads between Italy and Spain narrowed versus the core countries (Germany, France and Holland) as the ECB cut rates to zero and began a quantitative easing program that eventually bought almost one third of the outstanding debt of each Eurozone country (except Greece). The ECB’s ultra-loose monetary policy offset a persistent fiscal tightening across the Eurozone (Figure 2) and helped to produce a belated recovery from the Europe’s

2008-2012 double-dip recession.

2012年夏季,当时刚上台的欧洲央行总裁德拉吉承诺将“不惜一切代价”以防止意大利、西班牙、葡萄牙和爱尔兰的国债出现违约。市场对此信以为真,在以后几年里,随着欧洲央行将利率降至零并开启量化宽松,最终买下了除希腊之外欧元区各成员国未到期国债总量的几乎三分之一意大利和西班牙的国债收益率与德国,荷兰和法国等欧元区核心国家的国债收益率之间利差出现了收窄。欧洲央行超级宽松的货币政策抵消了整个欧元区长期持续的财政紧缩政策带来的后果(见图二)并帮助欧元区走出2008-2012年期间先后两次触底的经济衰退,最终实现了姗姗来迟的经济复苏。

This seemingly happy state of affairs wasn’t joyful for everyone.  While Italian bond yields fell and fiscal deficits shrank, the Italian economy stagnated and unemployment persisted at high levels.  Moreover, Italy’s public-sector debt remains at 134% of GDP, far higher than most of its eurozone peers. The fact that Italy has relatively low private sector debt doesn’t appear to reassure investors. In any case, voters lost patience and in March voted heavily in favor of the leftist (Five Star) and right-leaning (Northern League) populist movements. In May, they entered into a coalition government that almost immediately upset markets by threatening to increase welfare spending and cut taxes simultaneously.

事态看上去挺美却并未能皆大欢喜。当意大利的国债收益率回落,财政赤字缩小后,意大利的经济却陷入停滞,失业率持续居高不下。此外,意大利公共债务占GDP的比例仍保持在134%,远超其他欧元区成员国。意大利私人债务水平较低的现实似乎并没有让投资者打消疑虑。不管怎样讲,选民对现实失去了耐心,在三月份举行的选举中左翼的五星运动和偏右翼的北方联盟等民粹主义政党获得了很高的支持率。五月份,这两个政党组成联合政府后几乎在第一时间里以增加福利开支同时进行减税的政纲让市场备受震动。

Since the election in March, the euro-U.S. dollar (EURUSD) exchange rate has been moving increasingly in lockstep with Italian government bond futures (and inversely with yields) (Figure 2). As such, the future direction of EURUSD might depend to a large extent on the fate of Italy’s debt market. If Italy’s coalition government persists in its fiscal loosening and investors continue to balk at financing widening deficits, EURUSD may be susceptible to a much deeper decline.  If the government abandons plans for tax cuts and spending increases, Italian debt and the euro might rebound.

三月份选举以来,欧元/美元汇率与意大利国债期货价格之间的走势关联越来越紧密,见下图二。因此,欧元/美元汇率未来的走向有可能很大程度上取决于意大利国债市场的动向。如果意大利的联合政府坚持宽松的财政政策,同时投资者继续对意大利发行更多的新国债弥补政府预算赤字而感到担忧,那么欧元/美元的汇率有可能会继续下行。如果意大利政府放弃减税和增加财政开支的立场,意大利国债的价格和欧元汇率有望出现反弹。


Figure 2: The Italian Government May Hold the Euro’s Fate in Its Hands.

 This Time It’s Different (and Not in a Good Way)

这次与以往不同,但形势不妙

The last time that Italy found itself in financial trouble, it found a savior in one of its very own, Mario Draghi.  This time, with the ECB near its limit in terms of what it can buy and Draghi on his way out, it’s not so clear who will rescue Italy if its debt market fails to rebound.  In 2012, the ECB had ample room to buy sovereign debt from every issuer in Europe.  Over the next several years, ECB bought €1.8 trillion of public debt, including €341 billion of Italian bonds. The ECB cannot purchase more than a third of the outstanding debt of any public issuer and must purchase the debt of all countries roughly in proportion to the size of their respective economies.  The ECB is currently near that limit.  This is among the reasons why the ECB has downshifted its buying program from €60-80 billion per month from 2015-2017 to €30 billion per month for the first nine months of 2018.  It plans to buy only €15 billion per month in Q4 2018. As such, if investors lose confidence in Italian debt on the scale of the period from 2009-12, it’s not obvious that the ECB could or would bail Italy out a second time.

上一次意大利深陷财政危机之时,遇到的大救星是自己人马里奥·德拉吉(译者注:现任欧洲央行行长马里奥·德拉吉是意大利人)。这回,由于欧洲央行购债额度已所剩无几再加上德拉吉即将换届下台,现在不太清楚谁将在意大利债券市场未能反弹的情况下向意大利伸出援手。2012年的时候,欧洲央行买入欧元区每个国家主权债的购债空间均相当充裕。在其后几年里,欧洲央行买了价值1.8万亿欧元的各国国债,其中包括价值3410亿欧元的意大利国债。欧洲央行购买任何一国国债的金额不能超过该国国债未到期余额的三分之一,并且全部购债金额中某一成员国国债的持仓比例必须与该成员国的经济总量在整个欧元区的占比基本一致。现在欧洲央行即将触及该界限了,这就是为啥欧洲央行将其每月购债规模从2015-2017年期间的600-800亿欧元降至2018年前9个月的300亿欧元,并计划在今年第四季度将每月购债金额降至只有150亿欧元的原因之一。因此,如果投资者对意大利国债失去信心的程度与2009-2012年期间一样,那么欧洲央行是否有能力或意愿再次应援意大利就不得而知了。

What is clear is that any further tensions in the Italian debt market will most likely be negative for the euro.  That said, it’s remarkable how unconcerned the EURUSD option market appears to be.  EURUSD options have rarely been much cheaper than they are today.  British pound (GBPUSD) options have become slightly more expensive in response to the most recent breakdown in Brexit talks but EURUSD options have barely budged in response to Italy (Figure 3).  Perhaps options traders are right to be nonchalant about Italy’s rising bond yields.  Maybe Italy will get its house in order or perhaps investors will get on board with supporting a looser Italian fiscal policy.  That said, conditions may be ripening for a spike in EURUSD volatility.

有一点是清楚的,意大利国债市场的危机未来出现任何加剧均非常有可能利空欧元的汇率。正因如此,欧元/美元期权市场对此可能性无动于衷才会如此引人注目。在历史上欧元/美元的期权费报价很少出现明显低于当前水平的情况英镑/美元期权费报价的历史均值略高于当前水平,原因是近期英国脱欧谈判走向破裂,但是欧元/美元的期权报价却几乎没有因意大利危机而发生波动,见图三。也许,期权交易员对意大利国债收益率上涨不以为然的做法是正确的。也许是认为意大利会自己解决问题,或者投资者已经转而认可意大利实行宽松财政政策的立场。不管咋说,欧元/美元期权的波动率出现上涨的时机已经成熟了。


Figure 3:  Yawn.  EURUSD Options Traders Largely Unmoved by the Selloff in Italy’s Debt Market.

欧元/美元的期权交易员对意大利国债遭到抛售的现实几乎不为所动

 While the overall level of options volatility is low, the skewness of the EURUSD options implied volatility curve reveals the direction of investors’ worries.  Not too many are worried about a sudden rise in EURUSD.  Out-of-the-money call options are actually cheaper than at-the-money options until one gets to strikes 3% or more above the current market price.  By contrast, put options become steadily more expensive (Figure 4).  This suggest that options traders are, to some extent, bracing for EURUSD’s downside.

在期权波动率的整体水平处于低位之时,欧元/美元期权隐含波动率曲线的偏斜程度揭示出来投资者为何而忧。没多少人担心欧元/美元的汇率会突然上涨,价外看涨期权的期权费实际上比平价期权的期权费要低,除非未来的行权价比当前汇率高3%以上。与此相反的是,看跌期权的期权费随着行权汇率水平的降低而稳定上行,见图四。这说明期权交易员在某种程度上更倾向于认为欧元/美元的汇率会下行。

Figure 4: EURUSD Risks Skewed to the Downside, According to Options.

 Bottom Line

要点

  • EURUSD options remain historically cheap in the face of elevated political and market risks.

  • 欧元/美元期权的期权费在欧元区政治风险和市场风险升温的情况下仍处于历史低点

  • Italian government debt markets are increasingly driving swings in the exchange rate.

  • 意大利国债市场的动向对欧元汇率的影响力越来越大

  • EURUSD puts are generally more expensive than calls, indicating that options traders fear downside more than upside for the euro.

  • 元/美元看跌期权的期权费总体上高于看涨期权的期权费,说明期权交易员对元/美元汇率贬值的担忧程度高于升值

  • The ECB may no longer be in a position to help Italy if debt markets continue to sell off.

  • 如果意大利债市继续遭到抛售,意大利可能很难得到欧洲央行的有力援救

    地点:美国 芝加哥, 日期:10/30/2018, 字数:36873, 关于:芝加哥 新闻

    快速回复

    GO八婆网 新闻 分类 旅游 餐馆 论坛

    -本页面有问题,联系管理员
    -关于GO八婆网

    © [ GO八婆网 ] 最后更新:Wed Nov 14 2018 07:42:54