2018 Yield Curve: Flattening or Steepening?

2017年美元债市场第一大热点应当是美国国债收益率曲线不停歇的扁平化，从年初2年期与10年期之间的123bps之差，到年末的50bps之差，押对了的交易员赚得盆满钵满。随着2年期和10年期美国国债利差仅剩50bps，2018年美国国债收益率曲线如何走，显得非常重要，可以说是第一议题。 短端国债的走势与Federal Fund Rate高度正相关，2017年12月加息后，随着一系列不错的经济数据出台，美联储明年3月份再次加息的概率已经上升至67.5%。短端国债的收益率大概率还会继续攀升。 而通胀预期的持续低迷，导致长端国债的收益率一直上不去。看起来，扁平化的美国国债收益率曲线似乎将进一步扁平化，甚至inverted。 这又是相当让人困惑的。从历史经验来看，国债收益率曲线过度扁平化（特别是inverted）往往意味着危机与衰退，但这与当前美国经济以及世界范围内同步出现的良好经济增长十分矛盾。 债券市场mispriced? 近日，读到Minneapolis Fed President Neel Kashkari的一段访谈谈话，觉得颇为有趣: “The bond market is saying a couple of things to me. One that inflation expectations are drifting lower - they have drifted lower, and that’s in large part because of the Fed. The Fed is sending these hawkish signals by raising interest rates in a low inflation environment. And second, I think the markets are pricing in a lower neutral real interest rate. So the interest rate that balances savings and investment in the economy, which is set by broader macro-economic forces, has been trending down over the last few decades. I think markets are embracing that concept, and pricing in a lower Rate which then caps where bond yields are, and at the same time, can explain some of the appreciation of the equity markets as they are discounting cash flows at a lower rate. So those are the signals I take away from the bond market right now. By raising rates in a low inflation environment, we are sending a signal that the 2% inflation target is not a target, but that it is a ceiling and that we are not going to allow inflation to creep above 2% and I think that is putting pressure on the long end of the curve. If you look at the way we have behaved, not what we have said, we say it is a target not a ceiling, over the last 5 or 6 years, we have been treating 2% as a ceiling and I think markets have figured that out, and they are pricing that in. To me, the Fed is pushing up the front end with their rate increases and pushing down the long end by sending this very hawkish signal about the outlook for inflation. It’s normal to expect some flattening when the Fed is in a tightening cycle, the front end tends to move up more than the long end does, I would have expected, with the tax reform package coming together, some movement in the long end. But the fact that the long end is not moving either in response to our hikes, or the tax package, that tells me that inflation expectations must be solidly anchored.” 所以，继续加息，国债收益率曲线继续扁平？如果Mr Kashkari是对的，考虑到现阶段美国国债长短端的利差，在完全扁平化或inverted之前，美联储加息的次数也不会多了，难道我们真的进入了加息后半场？ 如果不是这样，那么上述逻辑哪里出了问题？看起来最有争议的是“inflation expectations are drifting lower - they have drifted lower, and that’s in large part because of the Fed.” 确实，从上图可以看出，2014年美联储开始逐渐退出QE、正常化货币政策后，通胀预期就开始下降，似乎确实是美联储的责任。但值得探讨的是，2014年之前，美联储常年QE，通胀预期也没有起来。 通胀预期是个让人头疼的词。但对于2018年的美元债市来说，可能又是最关键的一个词。 ©️未经许可，禁止转载、摘编、复制及建立镜像等任何使用。