Category: Ideas
The Delusion about the Fed
by Professor Aswath Damodaran who disclose some myths in this note.
Myth 1. The Fed as Rate Setter.
The Fed sets only one interest rate, the Fed Funds rate. FFR is an overnight intra-bank borrowing rate, and that none of the rates that we face in our lives, either as consumers (on mortgages, credit cards or fixed deposits) or businesses (business loans and bonds), are set by or even indexed to the Fed Funds Rate.
The Federal Open Market Committee (FOMC) has the power to change this rate, which it uses at irregular intervals, in response to economic, market and political developments. FOMC meets 8 times each year.
The table below lists the rate changes made by the Fed in this century:
FFR is a range such as 5.00%-5.25%, so we usually use the effective FFR, which shrink to a figure.
The Figure below shows the move of effective FFR over time.
There are two periods that stand out.
- The first is the spike in the Fed Funds rate to more than 20% between 1979 and 1982, when Paul Volcker was Fed Chair, and represented his attempt to break the cycle of high inflation that had entrapped the US economy.
- The second was the drop in the Fed Funds rate to close to zero percent, first after the 2008 crisis and then again after the COVID shock in the first quarter of 2020. In fact, coming into 2022, the Fed had kept the Fed Funds rates at or near zero for most of the previous 14 years, making the surge in rates in 2022, in response to inflation, shock therapy for markets unused to a rate-raising Fed.
As noted that the Fed only set FFR, there are undoubtedly other interest rates you will encounter, but are not set by the Fed. Those other rates will fall into one of three buckets – (1) market-set interest rates, (2) rates indexed to market-set rates and (3) institutionally-set rates. None of these rates are set by the Federal Reserve, thus rendering the “Fed sets interest rates” as myth.
Myth 2. The Fed as Rate Leader
Although the Fed does not set rate directly, you may still believe that the Fed influences these rates with changes it makes to the Fed Funds rate.
The rates all seem to move in sync, though market-set rates move more than institution-set rates, which, in turn, are more volatile than the Fed Funds rate. The reason that this is a superficial test is because these rates all move contemporaneously, and there is nothing in this graph that supports the notion that it is the Fed that is leading the change. In fact, it is entirely possible, perhaps even plausible, that the Fed’s actions on the Fed Funds rate are in response to changes in market rates, rather than the other way around.
Some Statistics are provided by Professor Damodaran, as the Table below. To test whether changes in the Fed Funds rate are a precursor for shifts in market interest rates, a simple (perhaps even simplistic) test is provided. At the 249 quarters that compose the 1962- 2024 time period, each quarter was broken own into whether the effective Fed Funds rate increased, decreased or remained unchanged during the quarter. It seems undeniable that the “Fed as leader” hypothesis falls apart. In fact, in the quarters after the Fed Funds rate increases, US treasury rates (short and long term) are more likely to decrease than increase, and the median change in rates is negative. In contrast, in the periods after the Fed Fund decreases, treasury rates are more likely to increase than decrease, and post small median increases.
Findings how that the Fed is more like an follower rather than a leader, when it comes to interest rate. What is the cause of the those interest rate then? How else can you explain why interest rates remained low for the last decades, other than the Fed?
The answer is recognizing that market-set rates ultimately are composed of two elements: (1) expected inflation rate and (2) expected real interest rate, reflecting real economic growth. In the graph below, which the professor have used multiple times in prior posts, he compute an intrinsic risk free rate by just adding inflation rate and real GDP growth each year:
The figure is like the Taylor Rule. Interest rates were low in the last decade primarily because inflation stayed low (the lowest inflation decade in a century) and real growth was anemic. Interest rates rose in 2022, because inflation made a come back, and the Fed scrambled to catch up to markets, and most interesting, interest are down this year, because inflation is down and real growth has dropped. As you can see, in September 2024, the intrinsic risk-free rate is still higher than the 10-year treasury bond rate, suggesting that there will be no precipitous drop in interest rates in the coming months.
Myth 3. The Fed as Signalman
There are two major macroeconomic dimensions on which the Fed collects data,
- (1) real economic growth (how robust it is, and whether there are changes happening), and
- inflation (how high it is and whether it too is changing).
The Fed’s major signaling device remains the changes in the Fed Funds rate, and it is worth pondering what the signal the Fed is sending when it raises or lowers the Fed Funds rate.
- On the inflation front, an increase or decrease in the Fed Funds rate can be viewed as a signal that the Fed sees inflationary pressures picking up, with an increase, or declining, with a decrease.
- On the economic growth front, an increase or decrease in the Fed Funds rate, can be viewed as a signal that the Fed sees the economy growing too fast, with an increase, or slowing down too much, with a decrease.
These signals get amplified with the size of the cut, with larger cuts representing bigger signals.
The 50bp cut on the 18th of Sep means the mix. If you are an optimist, you could take the action to mean that the Fed is finally convinced that inflation has been vanquished, and that lower inflation is here to stay. If you are a pessimist, the fact that it was a 50bp decrease, rather than the expected 25bp, can be construed as a sign that the Fed is seeing more worrying signs of an economic slowdown than have shown up in the public data on employment and growth. There is of course the cynical third perspective, which is that the Fed rate cut has little to do with inflation and real growth, and more to do with an election that is less than fifty days away.
In sum, signaling stories are alluring, and you will hear them in the coming days, from all sides of the spectrum (optimists, pessimists and cynics), but the truth lies in the middle, where this rate cut is good news, bad news and no news at the same time, albeit to different groups.
Myth 4. The Fed as Equity Market Whisperer
The Fed’s capacity to influence the interest rates that matter is limited, but you may still hold on to the belief that the Fed’s actions have consequences for stock returns. In fact, Wall Street has its share of investing mantras, including “Don’t fight the Fed”, where the implicit argument is that the direction of the stock market can be altered by Fed actions.
Based on the professor’s data, the S&P 500 did slightly better in quarters after the FFR decreased than when the rate increased, but reserved its best performance for quarters after those where there was no change in the FFR. Stock markets will be better served with fewer interviews and speeches from members of the FOMC and less political grandstanding (from senators, congresspeople and presidential candidates) on what the Federal Reserve should or should not do.
Myth 5. The Fed as Chanticleer
The Fed is like Chanticleer, with investors endowing it with powers to set interest rates and drive stock prices, since the Fed’s actions and market movements seem synchronized. As with Chanticleer, the truth is that the Fed is acting in response to changes in markets rather than driving those actions, and it is thus more follower than leader. That said, there is the very real possibility that the Fed may start to believe its own hype, and that hubristic central bankers may decide that they set rates and drive stock markets, rather than the other way around.
Conclusion
The delusion shall be broken. The Fed did not lead the market but follow the market. Analyse the instruction of Fed might miss the cause and effect. Should do analyse the following factors.
It has distracted us from talking about things that truly matter, which include growing government debt, inflation, growth and how globalisation may be feeding into risk, and allowed us to believe that central bankers have the power to rescue us from whatever mistakes we may be making.
The Fed Delusion has destroyed enough investing brain cells for those who holding on to the delusion cannot let go. Do not hear talking among this group about what the FOMC may or may not do at its next meeting (and the meeting after that), and what this may mean for markets, restarting the Fed Watch. The insanity of it all!
Reference
https://aswathdamodaran.blogspot.com/2024/09/fed-up-with-fed-talk-central-banks.html
Non-Violent Communication
by Marshall B. Rosenberg, PhD
The book is discussing about how to do compassionate communication, or Non-Volent Commutation. The abbreviation NVC.
1. Giving from the Heart
There raise two questions:
- What happens to disconnect us from our compassionate nature, leading us to behave violently and exploitative?
- What allows some people to stay connected to their compassionate nature under even the most trying circumstances?
NVC is a way of communicating that leads us to give from the heart.
We perceive relationships in a new light when we use NVC to hear our own deeper needs and those of others.
Generally, the book gives a NVC model with four components.
- (Part One) Observations. We observe what is actually happening in a situation.
The trick is to be able to articulate this observation without introducing any judgement or evaluation — to simply say what people are doing that we either like or don’t like.
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(Part One) Feeling. We state how we feel when we observe this action, are we hurt scared, joyful, amused, irritated?
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(Part One) Needs. We say what needs of ours are connected to the feelings we have identified.
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(Part Two) Requests. The fourth component, requests, address what we are wanting from the other person that would enrich our lives or make life more wonderful for us.
We connect with people by first sensing what they are observing, feeling, and needing; then we discover what would enrich their lives by receiving the fourth piece — their request.
2. Communication That Blocks Compassion
- Moralistic Judgements.
One kind of life-alienating communication is the use of moralistic judgements that imply wrongness or badness on the part of people who don’t act in harmony with our values. (Don’t judge Good or Bad for others)
Don’t judge. Don’t do judgement, like “who is what”.
Analyses of others are actually expressions of our own needs and values.
It is important not to confuse value judgements and moralistic judgements. (We don’t do moralistic judgement, but can do value judgement).
- All of us make value judgements as to the qualities we value in life: for example, we might value honesty, freedom, or peace. Value judgements reflect our beliefs of how life can best to be served.
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We make moralistic judgements of people and behaviours that fail to support our value judgement: for example, “Violence is bad. People who kill others are evil”
- Classifying and judging people promotes violence.
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Make Comparisons.
Comparisons are a form of judgement. Making comparison blocks compassion.
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Denial of Responsibility.
The use of the common expression have to, as in “There are some things you have to do, whether you like it or not”, illustrates how personal responsibility.
The phrase makes one feel, as in “You make me feel guilty”, is another example of how language facilitates denial of personal responsibility for our own feelings and thoughts.
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Other Forms of Life-Alienating Communication.
Communicating our desires as demands is yet another form language that blocks compassion.
A demand explicitly or implicitly threatens listeners with blame or punishment if they fail to comply. It is a common form of communication in our culture, especially among those who hold positions of authority.
Thinking based on “Who deserves what” blocks compassionate communication.
Most of us grew up speaking a language that encourages us to label, compare, demand, and pronounce judgements rather than to be aware of what we are feeling and needing.
Four Components of NVC: Self-expression
3. Observing without Evaluating
The first component of NVC entails the separation of observation from evaluation.
- Observations are an important element in NVC, where we wish to clearly and honestly express how we are to another person. When we combine observation with evaluation, we decrease the likelihood that others will hear our intended message. Instead, they are apt to hear criticism and thus resist whatever we are saying .
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NVC does not mandate that we remain completely objective and refrain from evaluating. It only requires that we maintain separation between our observations and our evaluations.
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Don’t label even for positive words.
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The highest form of human Intelligence.
The Indian philosopher J. Krishnamurti once remarked that observing without evaluating is the highest form of human intelligence.
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Distinguishing Observations from Evaluations.
- The words always, never, ever, whenever, etc. express observations when used in the following ways
Whenever I have observed Jack on the phone, he as spoken for at least thirty minutes.
I cannot recall your ever writing to me.
- Sometimes such words are used as exaggerations, in which case observations and evaluations are being mixed:
You are always busy.
She is never there when she’s needed.
- When these words are used as exaggerations, they often provoke defensiveness rather than compassion.
Words like frequently and seldom can also contribute to confusing observation with evaluation.
4. Identifying and Expressing Feelings
The second component of NVC is to express how we are feeling.
- Feelings versus Non-feelings. The confusion, generated by the English language, is our use of the word feel without actually expressing a feeling.
Conversely, in the English language, it is not necessary to use the word feel at all when we are actually expressing a feeling: we can say, “I’m feeling irritated”, or simply “I’m irritated”.
So, distinguish between what we feel and what we think we are. Distinguish feelings from thoughts. For example,
- “I feel misunderstood“. The word “misunderstood” indicates the assessment of the other person’s level of understanding rather than any actual feeling.
- “I feel unimportant to the people with whom I work”. The word “unimportant” describes how I think others and evaluating me, rather than an actual feeling, which in this situation might be “I feel sad” or “I feel discouraged“.
- “I feel ignored”. The word “ignored” expresses how we interpret others, other than how we feel.
By developing a vocabulary of feelings that allows us to clearly and specifically name or identify our emotions, we can connect more easily with one another. Allowing ourselves to be vulnerable by expressing our feelings can help resolve conflicts.
5. Taking Responsibility for Our Feelings
The third component of NVC entails the acknowledgement of the root of our feelings.
NVC heightens our awareness that what others say and do may be the stimulus, but never the cause, of our feelings.
We see that our feelings result from how we choose to receive what others say and do, as well as from our particular needs and expectations in that moment. With this third component, we are led to accept responsibility for what we do to generate our own feelings.
- Four options for receiving negative messages:
- Blame ourselves
- Blame others
- Sense our own feelings and needs
- Sense others’ feelings and needs
We accept responsibility for our feelings, rather than blame other people, by acknowledging our own needs, desires, expectations, values, or thoughts.
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The more we are able to connect our feelings to our own needs, the easier it is for others to respond compassionately.
Connect your feeling with your needs: “I feel … because I need …”
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Distinguish between giving from the heart and being motivated by guilt.
The basic mechanism of motivating by guilt is to attribute the responsibility for one’s own feelings to others.
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The needs at the Roots of Feelings.
Judgements of others are alienated expressions of our own unmet needs.
If someone says, “You never understand me,” they are really telling us that their need to be understood is not being fulfilled.
When we express our needs indirectly through the use of evaluations, interpretations, and images, others are likely to hear criticism. And when people hear anything that sounds like criticism, they tend to invest their energy in self-defense or counterattack.
So, what shall we do is to express our needs, and we would have a better chance of getting the needs met, as it would be easier for others to respond to us compassionately. And, if we don’t value our needs, others may not either.
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From Emotional Slavery to Emotional Liberation.
- Stage 1: Emotional Slavery. W see ourselves responsible for others’ feelings.
We think we must constantly strive to keep everyone happy. Taking responsibility for the feelings of others can be very detrimental to intimate relationships.
- Stage 2: The obnoxious stage. We feel angry; we no longer want to be responsible for others’ feelings.
We become aware of the high costs of assuming responsibility for others’ feelings and trying to accommodate them at our own expense.
We tend toward obnoxious comments like, “Thant’s your problem! I’m not responsible for your feelings” when presented with another person’s pain.
- Stage 3: Emotional Liberation. We take responsibility for our intentions and actions.
We respond to the needs of others out of compassion, never out of fear, guilt, or shame.
6. Requesting That Which Would Enrich Life.
The fourth and final component of this process addresses what we would like to request of others in order to enrich life for us.
- Using positive Action Language.
We express what we are requesting rather than what we are not requesting. Do not request a “don’t”. Because “How do you do a don’t”? All I know is I feel won’t we I’m told to do a don’t.
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Tell others what to do, while requesting. Don’t be vague.
In addition to using positive language, we also want to word our requests in the form of concrete actions that others can undertake and to avoid vague, abstract, or ambiguous phrasing.
Making requests in clear, positive, concrete action language reveals what we really want. Don’t make vague language, as vague language contributes to internal confusion.
For example, instead of saying “I want you to feel free to express yourself around me” , “I’d like you to tell me what I might do to make it easier for you to feel free to express yourselves around me”.
The first sentence do not actually tell the other to express what.
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Making Requests Consciously.
When we simply express our feelings, it may not be clear to the listener what we want them to do.
We are often not conscious of what we are requesting. We talk to others or at them without knowing how to engage in a dialogue with them. We toss out words, using the presence of others as a wastebasket. In such situations, the listener, unable to discern a clear request in the speaker’s words, may experience the kind of distress.
Requests may sound like demands when unaccompanied by the speaker’s feelings and needs.
The clearer we are about what we want, the more likely it is that we’ll get it.
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Asking for a Reflection.
To make sure the message we sent is the message that’s received, ask the listener to reflect it back.
Express appreciation when your listener tries to meet your request for a reflection.
When we first begin asking others to reflect back what they hear us say, it may feel awkward and strange because such requests are rarely made. When I emphasize the importance of our ability to ask for reflections, people often express reservations. They are worried about reactions like, “What do you think I am — deaf?” or, “Quit playing your psychological games.” To prevent such responses, we can explain to people ahead of time why we may sometimes ask them to reflect back our words. We make clear that we’re not testing their listening skills, but checking out whether we’ve expressed ourselves clearly.
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Requesting Honesty
After we express ourselves vulnerably, we often want to know:
- What the listener is feeling.
We’d like to know the feelings that are stimulated by what we said, and the reasons for those feelings. For example, by asking. “I would like you to tell me how you fell about what I just said, and your reasons for feeling as you do”.
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What the listener is thinking.
Specify which thoughts we’d like them to share. For example, we might say, “I’d like you to tell me if you predict that my proposal would be successful, and if not, what you believe would prevent its success.” rather than simply saying, “I’d like you to tell me what you think about what I’ve said.” When we don’t specify which thoughts we would like to receive, the other person may respond at great length which thoughts that aren’t the ones we are seeking.
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Whether the listener would be willing to take a particular action.
For example, by asking, “I would like you to tell me if you would be willing to postpone our meeting for one week.”
- What the listener is feeling.
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Requests versus Demands
Requests are good, while Demands are bad.
Our requests are received as demands when others believe they will be blamed or punished if they do not comply. When people hear a demand, they see only two options: submission or rebellion. Either way, the person requesting is perceived as coercive, and the listener’s capacity to respond compassionately to the request is diminished.
The more we have in the past blamed, punished, or “laid guilt trips” on others when they haven’t responded to our requests, the higher the likelihood that our requests will now be heard as demands. We also pay for others’ use of such tactics. To the degree that people in our lives have been blamed, punished, or urged to feel guilty for not doing what others have requested, the more likely they are to carry this baggage to every subsequent relationship and hear a demand in any request.
It’s a demand if the speaker then lays a guilt trip.
We can help others trust that we are requesting, not demanding by indicating that we would only want them to comply if they can do so willingly. Thus we might ask, “Would you be willing to see the table?” rather than “I would like you to set the table.” However, the most powerful way to communicate that we are making the most powerful way to communicate that we are making a genuine request is to empathise with people when they don’t agree to the request.
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Defining our objective when making requests.
Expressing genuine requests also requires an awareness of our objective. If our objective is only to change people and their behaviour or to get our way, then NVC is not an appropriate tool.
The objective of NVC is not to change people and their behaviour in order to get our way; it is to establish relationships based on honesty and empathy that will eventually fulfill everyone’s needs.
Our objective is a relationship based on honesty and empathy.
Four Components of NVC: Apply to others
7. Receiving Emphatically
We refer the communication process that contains observing, feeling, needing, and requesting, as receiving emphatically
- Empathy is not just hearing.
The hearing that is only in the ears is one thing. The hearing of the understanding is another. But the hearing of the spirit is not limited to any one faculty, to the ear, or to the mind.
Bad: give advice or reassurance and to explain our own position or feeling.
Good: The true empathy requires us to focus full attention on the other person’s message. We give to others the time and space they need to express themselves fully and to feel understood.
Intellectual understanding blocks empathy. Questions such as, “when did this begin?” constituted the most frequent response; they give the appearance that the professional is obtaining the information necessary to diagnose and then treat the problem. In fact, such intellectual understanding of a problem blocks the kind of presence that empathy requires.
The key ingredient of empathy is presence: we are wholly present with the other party and what they are experiencing.
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Listening for feelings and needs.
No matter what words people use to express themselves, we listen for their (1)observations, (2)feelings, (3)needs, and (4)requests.
To listen to what people are needing rather than what they are thinking. People would be less threatening if you hear what they’re needing rather than what they’re thinking about you. Instead of hearing that he’s unhappy because he thinks you don’t listen, focus on what he’s needing by saying, “Are you unhappy because you are needing…”
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Paraphrasing.
After we focus our attention and hear what others are observing feeling, and needing and what they are requesting to enrich the lives, we may wish to reflect back by paraphrasing what we understood.
Advantages:
- If we have accurately received the other party’s message, our paraphrasing will confirm this for them. If, on the other hand, the paraphrase is incorrect, we give the speaker an opportunity to correct us.
- Paraphrasing offer people time to reflect on what they’ve said and an opportunity to delve deeper into themselves.
How to Do: Paraphrasing take the form of questions that reveal our understanding while eliciting any necessary corrections from the speaker.
Questions may focus on these components:
- What others are observing: “Are you reacting to how many evenings I was gone last week?”
- how others are feeling and the needs generating their feelings: “Are you feeling hurt because you would have liked more appreciation of your efforts than you received?”
- what others are requesting: “Are you wanting me to tell you my reasons for saying what I did?”
- Do the questions like above, not the followings, as the above invite others’ corrections.
1.“What did I do that you are referring to?” 2. “How are you feeling?” “Why are you feeling that way?” 3. “What are you wanting me to do about it?”
This second set of questions asks for information without first sensing the speaker’s reality.
When asking for information, first express our own feelings and needs. Because schoolteacher types questions are too straight forward. People would prefer questions that reveals the feelings and needs within ourselves, and show feelings make people feel safer.
i.e. Instead of asking “What did I do?”, we might say, “I’m frustrated because I’d like to be clearer about what you are referring to. Would you be willing to tell me what I’ve done that leads you to see me in this way”
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Sustaining Empathy.
I recommend allowing others the opportunity to fully express themselves before turning our attention to solutions or requests for relief. When we proceed too quickly to what people might be requesting, we may not convey our genuine interest in their feelings and needs; instead, they may get the impression that we’re in a hurry to either be free of them or to fix their problem.
By maintaining our attention on what’s going on within others, we offer them a chance to fully explore and express their interior selves.
We know a speaker has received adequate empathy when (1) we sense a release of tension, or (2) the flow of words comes to a halt.
8. The Power of Empathy
Empathy allows us “to re-perceive [our] world in a new way and to go on.”
- Empathy and the Ability to Be Vulnerable
Because we are called to reveal our deepest feelings and needs, we may sometimes find it challenging to express ourselves in NVC.
Self-expression becomes easier, however, after we empathise with others, because we will then have touched their humanness and realized the common qualities we share. The more we connect with the feelings and needs behind their words, the less frightening it is to open up to other people.
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Empathy for Silence
Empathise with silence by listening for the feelings and needs behind it.
9. Connecting Compassionately with Ourselves
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Translating Self-Judgements and Inner Demands.
Self-judgements, like all judgements, are tragic expressions of unmet needs.
A basic premise of NVC is that whenever we imply that someone is wrong or bad, what we are really saying is that he or she is not acting in harmony with our needs. If the person we are judging happens to be ourselves, what we are saying is, “I myself am not behaving in harmony with my own needs.” I am convinced that if we learn to evaluate ourselves in terms of whether and how well our needs are being fulfilled, we are much more likely to learn from the evaluation.
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NVC Mourning
Mourning in NVC is the process of fully connecting with the unmet needs and the feelings that are generated when we have been less than perfect. It is an experience of regret, but regret that helps us learn from what we have done without blaming or hating ourselves.
We can train ourselves to recognise judgemental self-talk and to immediately focus our attention on the underlying needs.
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Self-Forgiveness.
When were listen emphatically to ourselves, we will be able to hear the underlying need. Self-forgiveness occurs the moment this emphatic connection is made.
NVC Self-Forgiveness: connecting with the need we were trying to meet when we took the action that we now regret.
The process of mourning and self-forgiveness frees us in the direction of learning and growing.
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Don’t Do Anything That Isn’t Play
Do things that are playful. We want to take action out of the desire to contribute to life rather than out of fear, guilt, shame, or obligation. Here are some possible ways:
- Translating “Have to” to “Choose to”
With every choice you make, be conscious of what need it serves.
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Cultivating Awareness of the Energy Behind Our Actions.
Consider the statement “I choose to … because I want …”. Be careful with the important values behind the choices you have made.
- For Money
- For Approval
- To Escape Punishment
- To Avoid Shame
- To Avoid Guilt
- To Satisfy A Sense of Duty
- Translating “Have to” to “Choose to”
10. Expressing Anger Fully
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The Core of Anger
All angers are as a result of life-alienating, violence-provoking thinking. At the core of all anger is the need that is not being fulfilled. Thus anger can be valuable if we use it as an alarm clock to wake us up — to realise we have a need that isn’t being met and that we are thinking in a way that makes it unlikely to be met.
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Four Steps to Expressing Anger.
- Stop and do nothing except to breathe. We refrain from making any move to blame or punish the other person. We simply stay quiet.
- Identify the thoughts that are making us angers
- Connect with our needs. We know that all judgements are tragic expressions of unmet needs, so we take the next step and connect to the needs behind those thoughts.
- Express our feelings and unmet needs. We open our mouth and speak the anger — but the anger has been transformed into needs and need-connected feelings.
- Offering Empathy First.
Another step needs to take place before we can expect the other party to connect with what is going on in us. Offer Empathy First.
- The more we hear them, the more they’ll hear us.
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Stay conscious of the violent thoughts that arise in our minds, without judging them.
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When we hear another person’s feelings and needs, we recognise our common humanity.
11. Conflict Resolution and Mediation
This topics is regarding addressing how to apply NVC in resolving conflicts.
- Human Connection.
Create connection between the people who are in conflict is the most important thing.
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Steps.
- Express our own needs.
- Seek the real needs of the other person. Seek the need behind their words, the need underneath what they are saying.
- Verify that we both accurately recognise the other person’s needs.
- Provide as much empathy, mutually hearing each other’s needs accurately.
- Propose strategies for resolving the conflict.
P.S. Avoid the use of language that implies wrongness. Listen to each other with utmost care.
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On Needs, Strategies, and Analysis.
Fundamentally, needs are the resources life requires to sustain itself. Consider difference between a person’s needs and his or her strategy for fulfilling them, and make strategies.
Sensing others’ needs, no matter what they’re saying.
Using present and positive action language to resolve conflict.
The use of NVC to resolve conflict differs from traditional mediation methods; instead of deliberating over issues, strategies, and means of compromise, we concentrate foremost on identifying the needs of both parties, and only then seek strategies to fulfill those needs.
We start by forging a human connection between the parties in conflict. Then we ensure that both parties have the opportunity to fully express their needs, that they carefully listen to the other person’s needs, and that once the needs have been heard, they clearly express doable action steps to meet those needs. We avoid judging or analysing the conflict and instead remain focused on needs.
When one party is in too much pain to hear the needs of the other, we extend empathy, taking as long as necessary to ensure that the person knows their pain is heard. We do not hear “no” as a rejection but rather as an expression of the need that is keeping the person from saying “yes”. Only after all needs have been mutually heard, do we progress to the solution stage: making doable request using positive, action language.
When we assume the role of mediating a conflict between two other parties, the same principles apply. In addition, we keep careful track of progress, extend empathy where needed, keep the conversation focused on the present, moving it forward, and interrupting where necessary to return to the process.
With these tools and understanding, we can practice and help others resolve even long-standing conflicts to their mutual satisfaction.
12. The Protective Use of Force
In situations where there is no opportunity for communication, such as in instances of imminent danger, we may need to resort to the protective use of force. The intention behind the protective use of force is to prevent injury or injustice, never to punish or to cause individuals to suffer, repent, or change. The punitive use of force tends to generate hostility and to reinforce resistance to the very behaviour we are seeking. Punishment damages goodwill and self-esteem, and shifts our attention from the intrinsic value of an action to external consequences. Blaming and punishing fail to contribute to the motivations we would like to inspire in others.
13. Liberating Ourselves and Counselling Others.
Apply the NVC to ourselves, in order to enhances inner communication by helping us translate negative internal messages into feelings and needs. Our ability to distinguish our own feelings and needs and to empathise with them can free us from depression.
14. Expressing Appreciation in Nonviolent Communication
Research shows that if a manager compliments employees, they work harder. And the same goes for schools: if teachers praise students, they study harder. The author have reviewed this research, and find that recipients of such praise do work harder, but only initially. Once they sense the manipulation behind the appreciation, their productivity drops.
When we use NVC to express appreciation, it is purely to celebrate, not to get something in return.
- The Three Components of Appreciation
- the actions that have contributed to our well-being;
- the particular needs of ours that have been fulfilled;
- the pleasureful feelings engendered by the fulfilment of those needs
The sequence of these ingredients may vary; sometimes all three can be conveyed by a smile or a simple “Thank you.” However, if we want to ensure that our appreciation has been fully received, it is valuable to develop the eloquence to express all three components verbally.
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We shall overcome the reluctance to express appreciation.
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When we receive appreciation expressed in this way, we can do so without any feeling of superiority or false humility—instead we can celebrate along with the person who is offering the appreciation.
Atomic Habits
by James Clear
The book tells how to cultivate habits.
The author states the following. As changes that seem small and unimportant at first will compound into remarkable results if you’re willing to stick with them for years. We all deal with setbacks but in the long run, the quality of our lives often depends on the quality of our habits. With the same habits, you’ll end up with the same results. But with better habits, anything is possible.
The backbone of this book is the author’s four-step model of habits–cue, craving, response, and reward–and the four laws of behaviour change that evolve out of these steps.
The Fundamentals – Why Tiny Changes Make a Big Difference
1 The Surprising Power of Atomic Habits
- The relentless commitment to a strategy make a Cycling Coach outstanding than others (referred as “the aggregation of marginal gains”, which was the philosophy of searching for a tiny margin of improvement in everything you do). The whole principle of this coach is if you broke down everything you could think of that goes into riding a bike, and then improve it by 1 percent, you will get a significant increase when you put them all together.
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As these and hundreds of other small improvements accumulated, the results came faster than anyone could have imagined.
But when we repeat 1 percent errors, day after day, by replicating poor decisions, duplicating tiny mistakes, and rationalising little excuses, our small choices compound into toxic results.
Making a choice that is 1 percent better or 1 percent worse seems insignificant in the moment, but over the span of moments that make up a lifetime these choice determine the difference between who you are and who you could be. Success is the product of daily habits–not once-in-a-lifetime transformations.
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Time magnifies the margin between success and failure. It will multiply whatever you feed it. Good habits make time your ally. Bad habits make time you enemy.
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Forget about goals, focus on systems instead.
What’s the difference between systems and goals? Goals are about the results you want to achieve. Systems are about the processes that lead to those results.
Goals are good for setting a direction, but systems are best for making progress.
A handful of problems arise when you spend too much time thinking about your goals and not enough time designing your systems.
- Problem #1: Winers and losers have the same goals.
Goal setting suffers from a serious case of survivorship bias. People who end up with winning–the survivors–and mistakenly assume that ambitious goals led to their success while overlooking all of the people who had the same objective but didn’t succeed.
Nobody has the goal of losing, but only winners prove with the goal.
- Problem #2: Achieving a goal is only a momentary change.
When you solve problems at the results level, you only solve them temporarily. In order to improve for good, you need to solve problems at the systems level. Fix the inputs and outs will will fix themselves.
- Problem #3: Goals restrict your happiness. Goals create an “either-or” conflict: either you achieve your goal and are successful or you fail and you are a disappointment. Do not link goals with happiness, instead link with the process. When you fall in love with the process rather than the product, you don’t have to wait to give yourself permission to be happy. You can be satisfied anytime your system is running.
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Problem #4 Goals are at odds with long-term progress. A goal-oriented mindset can create a “yo-yo” effect. Many runners work hard for months, but as soon as they cross the finish line, they stop training. The purpose of setting goals is to win the game. The purpose of building systems is to continue playing the game. Have a long-term thinking, and do not be goal-oriented.
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If you’re having trouble changing your habits, the problem isn’t you. The problem is your system. Focusing on the overall system rather than a single goal, is one of the core themes of this book.
The atomic habit refers to a tiny change, a marginal gain, a 1 percent improvement. Atomic habits are the building blocks of remarkable results.
2 How Your Habits Shape Your Identity (and Vice Versa)
Few things can have a more powerful impact on your life than improving your daily habits. However, once your habits are established, they seem to stick around forever–especially the unwanted ones.
- There are three layers of behaviour changes:
- The first layer is changing your outcomes/results.
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The second layer is changing your process, changing the habits and systems
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The third and deepest layer is changing your identity, changing the beliefs, the worldview, the self-image, etc.
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Outcomes are about what you get. Processes are about what you do. Identity is about what you believe.
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Many people begin the process of changing their habits by focusing on what they want to achieve. This leads us to outcome-based habits. The alternative is to build identity-based habits. With this approach, we start by focusing on who we wish to become.
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The ultimate form of intrinsic motivation is when a habit becomes part of your identity. True behaviour change is identity change. You might start a habit because of motivation, but the only reason you’ll stick with one is that it becomes part of your identity. i.e.
- The goal is not to read a book, the goal is to become a reader/
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The goal is not to run a marathon, the goal is to become a runner.
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The goal is not to learn an instrument, the goal is to become a musician.
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The Shaping Identity is a double-edged sword. The deeply a thought or action is tied to your identity, the more difficult it is to change it.
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A two-step process to changing your identity.
- Decide the type of person you want to be.
- Prove it to yourself with small wins.
- The more you repeat a behaviour, the more you reinforce the identity associated with the behaviour.
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The more evidence you have for a belief, the more strongly you will believe it.
The process of building habits is actually the process of becoming yourself.
- Small habits can make a meaning full difference by proving evidence of a small identity.
- Use the feedback loops. Once you have a handle on the type of person you want to be, you can begin taking small steps to reinforce your desired identity. Your habits shape your identity, and your identity shapes your habits.
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To cultivate a habit. The first step is not what or how, but who.
3. How to Build Better Habits in 4 Simple Steps
Scholar, Thorndike, described the learning process, “Behaviours followed by satisfying consequences tend to be repeated and those that produce unpleasant consequences are less likely to be repeated”
- Why the Brain builds habits?
Whenever you encounter a new situation in life, the brain has to make a decision. Neurological activity in the brain is high during the period.
As habits are created, the level of activity in the brain decreases. When a similar situation arises in the future, you know exactly what to look for. There is no longer a need to let the brain think and make decision and analyse every angle of a situation.
In short, habits are mental shortcuts learned from experience.
Habits reduce cognitive load and free up mental capacity, so you can allocate your attention to other tasks.
Habits do not restrict freedom. They create it. In fact, the people who don’t have their habits handled are often the ones with the least amount of freedom, because the brain is always overloaded.
When you have habits dialed in and the basics of life are handled and done, your mind is free to focus on new challenges and master the next set of problems.
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The process of building a habit.
Four simple steps: cue, craving, response, and reward.
- Cue triggers your brain to initiate a behaviour.
- Cravings are the motivational force behind every habit.
- Response is the actual habit you perform, which can take the form of a thought or an action.
- Rewards are delivered by Response. There are two purposes of reward. (1) Reward satisfy your craving. (2) reward teaches us which actions are worth remembering in the future.
- The author would illustrate those four steps in details later.
- The four steps make a loop, and reinforce the process. The cue triggers a craving, which motivates a response, which provides a reward, which satisfies the craving and, ultimately, becomes associated with the cue.
- The four laws of behaviour change.
- The 1st Law (Cue) <– Make it obvious.
- The 2nd Law (Craving) <– Make it attractive.
- The 3rd Law (Response) <– Make it easy.
- The 4th Law (Reward) <– Make it satisfying.
- For bad habits, do the reveres. Make the cue invisible, make craving unattractive, make response difficult, and make reward unsatisfying.
The 1st Law: Make it Obvious
4. The Man who didn’t Look Right
- With enough practice, your brain will pick up on the cues that predict certain outcomes without consciously thinking about it.
- Once the habits become automatic, we stop paying attention to what we are doing.
- The process of behaviour change always starts with awareness. You need to be aware of your habits before you can change them.
5. The Best Way to Start a New Habit
- The 1st law of Behaviour Change is make it obvious.
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Two most common cues are time and location. Create the Implementation Intention, which is a plan you make beforehand about when and where to act. That is, how you intend to implement a particular habit. Like “When situation X arises, I will perform response Y”. Or, I will [BEHAVIOUR] at [TIME] in [ LOCATION].
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Many human behaviours follow a chain reaction cycle. You decide what to do next based on what you have just finished doing (Bayesian). No behaviours happen in isolation. Each action becomes a cue that triggers the next behaviour.
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Habit Stacking. Inspired by the above, when it comes to building new habits, you can use the connectedness of behaviour to your advantage. One of the best ways to build a new habit is to identify a current habit you already do each day, and then stack your new behaviour on the top. In a word, linking one behaviour with the other.
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Tie your desired behaviour into something you already do each day. Once you have mastered this basic structure, you can begin to create larger stacks by chaining small habits together. The habit stacking allows you to create a set of simple rules that guide your future behaviour.
In short, After I [CURRENT HABIT], I will [NEW HABIT].
6. Motivation is Overrated, Environment Often Matters More
People Often choose products not because of what they are, but because of where they are. Environment is the invisible hand that shapes human behaviour.
In this way, the most common form of change is not internal, but external: we are changed by the world around us. Every habit is context dependent.
By psychologist Kurt Lewin (1936): Behaviour is a function of Person in their Environment, B=f(P,E).
- In humans, perception is directed by the sensory nervous system. We perceive the world through sight, sound, smell, touch, and taste. And other ways of sensing stimuli, some are conscious, but many are non-conscious. Receptors in your body pick up on a wide range if internal stimuli. One of the most powerful human sensory abilities is vision. A small change in what you see can lead to a big shift in what you do.
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The environments where we live and work often make it easy not to do certain actions because there is no obvious cue to trigger the behaviour. What we do is to make it visually obvious. We shall change the environment.
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Environment design is powerful not only because it influences how we engage with the world but also because we rarely do it.
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Create the the Context of Cue.
Over time, your habits become associated not with a single trigger but with the entire context surrounding the behaviour.
The behaviour is not defined by the objects in the environment but by our relationship to them. Thank in terms of how you interact with the spaces around you.
The power of context reveals an important strategy: habits can be easier to change in a new environment.
Whenever possible, avoiding mixing the context of one habit with another. The inspiration is to split the Space to Work, and the Space to Study and Live.
If your space is limited, divide your room into activity zones: a chair for reading, a desk for writing, a table for eating, etc.
7. The Secret to Self-Control
When scientists analyse people who appear to have tremendous self-control, it turns out those individuals aren’t all the different from those who are struggling. Instead, “disciplined” people are better at structuring their lives in a way that does not require heroic willpower and self-control. In other words, they spend less time in tempting situations.
- Bad habits are auto-catalytic: the process feeds itself.
One of the most practical ways to eliminate a bad habit is to reduce exposure to the cue that causes it.
The practice is an inversion of the 1st Law of Behaviour Change. Rather than make it obvious, you can make it invisible (for the bad habit).
The 2nd Law: Make it Attractive
8. How to Make a Habit Irresistible
Scientists refer to exaggerated cues as supernormal stimuli, which is a heightened version of reality and elicits a stronger response than usual. They exaggerate features that are naturally attractive to us, and our instincts go wild as a result, driving us into excessive shopping habits, social media habits, porn habits, eating habits, and many others. Hereafter are some biological response.
- The Dopamine-Driven Feedback Loop
Dopamine is not the only chemical that influences your habits, but it is the one that provide a window into the biological underpinnings of desire, craving, and motivation that are behind every habits.
For years, scientists assumed dopamine was all about pleasure, but now we know it plays a central role in many neurological processes, including motivation, learning and memory, punishment and aversion, and voluntary movement.
When it comes to habits, the key takeaway is this: dopamine is released not only when you experience pleasure, but also when you anticipate it.
The more attractive an opportunity is, the more likely it is to become habit-forming.
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Use the Temptation Bundling to make your habits more attractive.
Temptation bundling works by linking an action you want to do with an action you need to do.
9. The Role of Family and Friends in Shaping Your Habits
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The Seductive Pull of Social Norms: Humans are herd animals. We want to fit in, to bond with others, and to earn the respect and approval of our peers.
Those who collaborated and bonded with others enjoyed increased safety, mating opportunities, and access to resources.
We imitate the habits of three groups in particulars:
- The close.
As a general rule, the closer we are to someone, the more likely we are to imitate some of their habits. Our friends and family provide a sort of invisible peer pressure that pulls us in their direction. We soak up the qualities and practices of those around us.
One of the most effective things you can do to build better habits is to join a culture where your desired behaviour is the normal behaviour. Join a culture where (1) your desired behaviour is the normal behaviour and (2) you already have something in common with the group.
Conversely, peer pressure is bad only if you’re surrounded by bad influences.
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The many.
The normal behaviour of the tribe often overpowers the desired behaviour of the individual.
Humans are similar. There is tremendous internal pressure to comply with the norms of the group. The reward of being accepted is often greater than the reward of winning an argument, looking smart, or finding truth.
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The powerful.
We try to copy the behaviour of successful people because we desire success ourselves.
High-status people enjoy the approval, respect, and praise of others. And the means if a behaviour can get us approval, respect, and praise, we find it attractive.
- The close.
10. How to Find and Fix the Causes of Your Bad Habits
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Habits are all about associations. There associations determine whether we predict a habit to be worth repeating or not. The brain is continually absorbing information and noticing cues in the environment. Every time you perceive a cue, your brain runs a simulation and makes a prediction about what to do in the next moment.
The cause of your habits is actually the prediction that precedes them.
There predictions lead to feelings, which is how we typically describe a craving — a feeling, a desire, an urge. Feelings and emotions transform the cues we perceive and the predictions we make into a signal that we can apply.
To summaries, the specific cravings you feel and habits you perform are really an attempt to address your fundamental underlying motives. Whenever a habit successfully addresses a motive, you develop a craving to do it again.
Habits are attractive when we associate them with positive feelings, and we can use this insight to our advantage rather than to our detriment.
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Reprogram Your Brain to Enjoy Hard Habits.
Changing just one word: You don’t “have” to You “get” to.
Transition from seeing there behaviours as burdens and turn them into opportunities.
Re-framing your habits to highlight their benefits rather than their drawbacks is a fast and light wight way to reprogram your mind and make a habit seem more attractive.
If you want to take it a step further, you can crate a motivation ritual. You simply practice associating your habits with something you enjoy, then you can use that cue whenever you need a bit of motivation.
Three deep breaths. Smile. Ped the dog. Repeat.
Eventually, you’ll begin to associate this breathe-and-smile routine with being in a good mood. It becomes a cue that means feeling happy.
The key to finding and fixing the causes of your bad habits is to re-frame the associations you have about them. It’s not easy, but if you can reprogram your predictions, you can transform a hard habit into an attractive one.
The 3rd Law: Make it Easy
11. Walk Slowly, but Never Backward
When you’re in motion, you’re planning and strategising and learning.
Action is the type of behaviour that will deliver an outcome.
If you want to master a habit, the key is to start with repetition, not perfection. You don’t need to map out every feature of a new habit. You just need to practice it.
Get start, try and protect, get exploration, not prepare for perfection.
- How long does it actually take to form a new habit?
The more you repeat an activity, the more the structure of your brain changes to become efficient at that activity. Neuroscientists call this long-term potentiating, which refers to the strengthening of connections between neurons in the brain based on recent patterns of activity. With each repetition cell-to-cell signaling improves and the neural connections tighten.
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Repetition is a form of change
An English philosopher George H Lewes noted, “In learning to speak a new language, to play on a musical instrument, or to perform unaccustomed movements, great difficulty is felt, because the channels through which each sensation has to pass have not become established; but no sooner has frequent repetition cut a pathway, than this difficulty vanishes; the actions become so automatic that they can be performed while the mind is otherwise engaged.”
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All habits follow a similar trajectory from effortful practice to automatic behavior, a process known as automaticity. Automaticity is the ability to perform a behaviour without thinking about each step, which occurs when the non-conscious mind takes over.
In practice, it doesn’t really matter how long it takes for a habit to become automatic. What matters is that you take the actions you need to take to make progress. Whether an action is fully automatic is of less importance.
12. The Law of Least Effort
- Habits like scrolling on our phones, checking email, and watching television steal so much of our time because they can be performed almost without effort. They are remarkable convenient.
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You don’t actually want the habit itself. What you really want is the outcome the habit delivers. The greater the obstacle — that is, the more difficult the habit — the more friction there is between you and your desired end state. This is why it is crucial to make your habits so easy that you’ll do them even when you don’t feel like it. If you can make your good habits more convenient, you’ll be more likely to follow through on them.
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The less friction you face, the easier it is for your stronger self to emerge. The idea behind make is easy is not only do easy things. The idea is to make it as easy as possible in the moment to do things that payoff in the long run.
- Reduce the friction associated with good behaviours. When friction is low, habits are easy. Increase the griction associated with bad behaviours. When friction is high, habits are difficult.
- Prime your environment to make future actions easier.
13. How to Stoop Procrastinating by Using the Two-Minute Rule
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The Two-Minute Rule. Even when you know you should start small, it’s easy to start too big. When you dream about making a change, excitement inevitably takes over and you end up trying to do too much too soon. The most effective way I know to counteract this tendency is to use the Two-Minute Rule, which states, “When you start a new habit, it should take less than two minutes to do”.
A new habit should not feel like a challenge. The actions that follow can be challenging, but the first two minutes should be easy. What you want is a “gateway habit” that naturally leads you down a more productive path.
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For Example: You can usually figure out gateway habits that will lead to your desired outcome by mapping out your goals on a scale from “very easy” to “very hard”. For instance, running a marathon is very hard. Running a 5K is hard. Walking ten thousand steps is moderately difficult. Walking ten minutes is easy. And putting on your running shoes is very easy. Your goal might be to run a marathon, but your gateway habit is to put on your running shoes. That’s how you follow the Two-Minute Rule.
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focusing on just the first two minutes and mastering that stage before moving on the next level. Eventually, you’ll end up with the habit you had originally hoped to build while still keeping your focus where it should be: on the first two minutes of the behaviour.
14. How to Make Good Habits Inevitable and Bad Habits Impossible
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Usecommitment device, a choice you make in the present that controls your actions in the future.
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The best way to break a bad habit is to make it impractical to do. Increase the friction until you don’t even have the option to act.
- Onetime choices — like buying a better mattress or enrolling in an automatic savings plan — are single actions that automate your future habits and deliver increasing returns over time.
The 4th Law: Make It Satisfying
15. The Cardinal Rule of Behaviour Change
We are more likely to repeat a behaviour when the experience is satisfying. Conversely, if an experience is not satisfying, we have little reason to repeat it.
- The first three laws of behaviour change — make it obvious, make it attractive, and make it easy — increase the odds that a behaviour will be performed this time. The fourth law of behaviour change — make it satisfying — increases the odds that a behaviour will be repeated next time. It completes the habit loop.
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However, there is a trick. Your human nature live in what scientists call an immediate-return environment because your actions instantly deliver clear and immediate outcomes. Yet, you, per se, live in what scientists call a delayed-return environment because you can work for years before your actions deliver the intended payoff.
The world has changed much in recent years, but human nature has changed little. The world becomes more Rewards-Delayed, but human nature needs Rewards-Immediate.
The brain’s tendency to prioritise the present moment means you can’t rely on good intentions.
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Every habit produces multiple outcomes across time. Unfortunately, these outcomes are often misaligned. With our bad habits, the immediate outcome usually feels good, but the ultimate outcome feels bad. With good habits, it is the reverse: the immediate outcome is enjoyable, but the ultimate outcome feels good.
In other words, the costs of your good habits are in the present. The costs of your bad habits are in the future.
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Cardinal Rule of Behaviour Change: What is immediately rewarded is repeated. What is immediately punished is avoided.
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You need to work with the grain of human nature, not against it. The best way to do this is to add a little bit of immediate pleasure to the habits that pay off in the long-run and a little bit of immediate pain to ones that don’t/ Cultivate habits by artificially rewards yourself to the human nature.
To select short-term rewards that reinforce your identity rather than ones that conflict with it.
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In summary, a habit needs to be enjoyable for it to last.
16. How to Stick with Good Habits Every Day
Making progress is satisfying, and visual measures — like moving paper clips or hairpins or marbles — provide clear evidence of your progress. As a result, they reinforce your behaviour and add a little bit of immediate satisfaction to any activity.
- Use habit track. Habit tracking (1) creates a visual cue that can remind you to act, (2) is inherently motivating because you see the progress you are making and don’t want to lose it, and (3) feels satisfying whenever you record another successful instance of your habit.
- What can we do to make tracking easier? First, whenever possible, measurement should be automated. Second, manual tracking should be limited to your most important habits. Finally, record each measurement immediately after the habit occurs.
- How to recover quickly when your habits were interrupted? Never miss twice. Try to not break the Chain.
17. How an Accountability Partner Can Change Everything
- The more immediate the pain, the less likely the behaviour. If you want to prevent bad habits and eliminate unhealthy behaviours, then adding an instant cost to the action is a great way to reduce their odds.
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An accountability partner can create an immediate cost to inaction. We care deeply about what others think of us, and we do not want others to have a lesser opinion of us.
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A habit contract can be used to add a social cost to any behaviour. It makers the costs of violating your promises public and painful.
Just as governments use laws to hold citizens accountable, you can create a habit contract to hold yourself accountable.
Advanced Tactics: How to Go from Being Merely Good to Being Truly Great
18. The Truth About Talent (When Genes Matter and When They Don’t)
The secret to maximising the odds of success is to choose the right field of competition. In short: Genes don’t determine your destiny. They determine your areas of opportunity.
- How your personality influences your habits:
- Openness to experience
- Conscientiousness
- Extroversion
- Agreeableness
- Neuroticism
Our habits are not solely determined by our personalities, but there is no doubt that our genes nudge us in a certain direction.
The Takeaway is that you should build habits that work for your personality. You don’t have to build the habits everyone tells you to build. Choose the habit that best suits you, not the one that is most popular.
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How to find a game where the odds are in your favour:
- In the beginning of a new activity, there should be a period of exploration. The goal is to try out many possibilities, research a broad range of ideas, and cast a wide net.
- After this initial period of exploration, shift your focus to the best solution you’ve found — but keep experimenting occasionally.
- In the long-run it is probably most effective to work on the strategy that seems to deliver the best results about 80 to 90 percent of the time and keep exploring with the remaining 10 to 20 percent.
When you can’t win by being better, you can win by being different. By combining your skills, you reduce the level of competition, which makes it easier to stand out.
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How to getthe most out of your genes:
The genes do not eliminate the need for hard work. They clarify it. They tell us what to work hard on. Once we realise our strengths, we know where to spend our time and energy.
In summary , one of the best ways to ensure your habits remain satisfying over the long-run is to pick behaviours that align with your personality and skills. Work hard on the things that come easy.
19. The Goldilocks Rule: How to Stay Motivated in Life and Work
The way to maintain motivation and achieve peak levels of desire is to work on tasks of “just manageable difficulty”.
The human brain loves a challenge, but only if it is within an optimal zone of difficulty.
- The Goldilocks Rule states that humans experience peak motivation when working on tasks that are right on the edge of their current abilities. Not too hard. Not too easy. Just right.
When you’re starting a new habit, it’s important to keep the behaviour as easy as possible so you can stick with it even when conditions aren’t perfect.
Once the habit has been established, it is important to continue to advance in small ways.
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How to stay focused when you get bored working on your goals
The greatest threat to success is not failure but boredom.
Variable rewards won’t create a craving, but they are a powerful way to amplify the cravings we already experience because they reduce boredom.
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Professionals stick to the schedule; amateurs let life get in the way. Professionals know what is important to them and work toward it with purpose; amateurs get pulled off course by the urgencies of life.
The only way to become excellent is to be endless fascinated by doing the same thing over and over. You have to fall in love with boredom
20. The Downside of Creating Good Habits
Habits are necessary, but not sufficient for mastery. What you need is a combination of automatic habits and deliberate practice.
\text{Habits} + \text{Deliverate Practive} = \text{Mastery}
- Mastery is the process of narrowing your focus to a tiny element of success, repeating it until you have internalised the skill, and then using this new habit as the foundation to advance to the next frontier of your development.
- Improvement is not just about learning habits, it’s also about fine-tuning them. Reflection and review ensures that you spend your time on the right things and make course corrections whenever necessary.
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Perform annual review, in which reflect on the previous year, reflect on my progress by answering three questions:
- What when well this year?
- What didn’t go so well this year?
- What did I learn?
Answer three questions in the yearly Integrity Report:
- What are the core values that drive my life and work?
- How am I living and working with integrity right now?
- How can I set a higher standard in the future.
Never reviewing your habits is like never looking in the mirror. Periodic reflection and review is like viewing yourself in the mirror from a conversational distance. You can see the important changes you should make without losing sight of the bigger picture.
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How to break the beliefs that hold you back:
The more scared an idea is to us — that is, the more deeply it is tied to our identity — the more strongly we will defend it against criticism.
One solution is to avoid making any single aspect of your identity an overwhelming portion of who you are.
“Keep your identity small”. The more you let a single belief define you, the less capable you are of adapting when life changes you. In other words, don’t be overconfident about your identity, Be acceptable to things.
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When you spend your whole life defining yourself in one way and that disappears, who are you now?
The key to mitigating these losses of identity is to redefine yourself such that you get to keep important aspects of your identity even if your particular role change. I.E.
- Instead of saying “I’m the CEO”, say “I’m the type of person who builds and creates things”
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Not “I’m a great soldier”, Yes “I’m the type of person who is disciplined, reliable, and great on a team”
Habits deliver numerous benefits, but the downside is that they can lock us into our previous patterns of thinking and acting — even when the world is shifting around us. Everything is impermanent. Life is constantly changing, so you need to periodically check in to see if your old habits and beliefs are still serving you.
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A lack of self-awareness is poison. Reflection and review is the antidote.
Don’t let the Identity obstacle your belief. Be a Open Person.
Men are born soft and supple; dead they are stiff and hard.
Plants are born tender and pliant; dead, they are brittle and dry.
Thus whoever is stiff and inflexible is a disciple of death.
Whoever is soft and yielding is a disciple of life.
The hard and stiff will be broken.
The soft and supple will prevail.
人之生也柔弱,其死也坚强。草木之生也柔脆,其死也枯槁。故坚强者死之徒,柔弱者生之徒。是以兵强则灭,木强则折。
《道德经》– 老子
About Gold
About Gold ?
There seems some “irrational” movements of gold price since the end of 2023.
How gold should be priced? What factors affect the pricing of gold. Here below are some of my reading and insights.
Typical Determinants
Typically, the gold price is considered to be correlated with a list of factors:
- Inflation
In counter with the inflation.
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Long-term Real Interest Rate
TIPS, the Treasury Inflation-Protected Securities, is considered to be the real-interest rate, as the inflation rate is counter-deducted. The long-term rate, specifically 10-yr rate, is preferred as we generally assume holding the Gold in a long-term investment horizon. The long-term Real Interest Rate is considered as the opportunity of holding gold. Therefore, the higher rate, the greater the cost of holding golds, and less demand of gold. Price decrease thereafter.
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US Dollar
The Brandon Wood System links the gold price with US Dollar, with 35USD = 1 ounce Gold. Since the collapse of Brandon Wood System, there is not a fixed exchange rate between USD and Gold anymore. However, USD is still the most important determinant of gold price in that the unit of Gold price is still USD/ounce. It is also like an exchange rate, the more per ounce value of gold is, the more USD/ounce should be. Or, contrastively, the weak USD is, the more USD/ounce shall be.
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US Dollar Index
The US Dollar Index might be consider an proxy of the strength and weakness of US dollar. However, as US dollar is the weighted geometric mean of the exchange rates of six major currencies compared to the US dollar:
- Euro (EUR) – 57.6% weight
- Japanese yen (JPY) – 13.6% weight
- British pound (GBP) – 11.9% weight
- Canadian dollar (CAD) – 9.1% weight
- Swedish krona (SEK) – 4.2% weight
- Swiss franc (CHF) – 3.6% weight
The USD Index is actually a composite of weighted average of above listed currency. The increase of US dollar index means USD is appreciated w.r.t. above currencies. I.E. if USD appreciates w.r.t. EURO, then USDX is likely to increase.
Therefore, an increase in USDX means appreciation of USD, and then USD/ounce shall decrease, gold price decrease.
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Risks / Uncertainty
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Demand and Supply from Central Banks.
We ignore the impact of demand and supply from individuals and industries, but focus on the demand of Central Banks. Like what those CB did during February and March 2024 would increase the demand of gold price.
Empirical Research
Refer to the research report from CICC, a four-factor model is established. The authors specified the relationship between gold and those four factors, one by one.
- The dependent variable: Gold Price. (Also, attention that they focus on the gold price, not the return as machine learning usually do)
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Explanatory Variables:
- US Real Interest rate
Capture the Opportunity Cost of holding gold. Similar as the explanation in the above section.
- US Dollar Index,
Similar as the explanation in the above section.
- Central Bank Net Gold Purchasing,
The supply side is limited, demand is mainly driven by the Central Banks of US, China, EU, JP, etc.
- US Gov Debt Level.
This factor represents the credibility of US dollar or US government. The greater US Debt level, the less credit-worthy the US gov is. Then, the more desire of holding gold as the counter party of US Dollar credibility.
The Statistic table is shown below.
The author argue that people do not need to consider the spurious regression though the R-squared is incredibly high. They state that the reason is that they are only considering the model like a co-integration model. They have tested the integration of the residual term, and find that the residual is stationary. High R-squared means there are less left in the residual.
Their explanation is like the Bull Shit. However, we just ignore the bull shit econometric modeling and statistic figure in the above table, as we are not doing academic. Let consider the predictable power and the implication of the model.
Here below is their simulated result and the real gold price movement. Let’s investigate is their model perform as good as stated in their report. Also, let’s see how ML way could perform.
Code Example
USD流转 信用 硅谷银行
QE
本来美元作为通用货币,而且很稳定,美国慢慢印钱慢慢灌水就行了,可惜来了疫情,为了刺激US内的经济循环,全世界委屈下,然后开始大量印钱,美国牛逼。短期情况下价格水平不变,(1)超额印出的美元可以用来购买import其他国家的资产(2)促进国内消费,带动健康的经济循环。
QT
随着时间段变长,中长期市场会超额印钱速了美元贬值,一般情况下,每次贬值到一定程度的时候都会加息让美元回流。因为加息之后收益利率变高,投资者可以买美元存银行或者换美元买美国其他资产,带来USD需求增加,让在外流动的美元减少,推动美元升值。然后US付利息。财政费用支出增加(财政部,cb配合,以及us gov资产负债表研究 wait to be done)。
QE+QT Circulate
吸收到一定程度后,USD升值,市场中的USD量达到适当(quasi-equilibrium)水平后,可以重复QE QT过程。
综上:QE+QT结合相当于:投资者(其他国家)把钱存入银行(US),银行(US)给投资者利息,然后用投资者的钱,买投资者(其他国家)的资产。In short, US用付利息(money)去买世界的goods and services。 但是,所谓利息,不过是张纸,或者说credit paper罢了。
Some Facts in Reality
- 中国通过出口,挣了很多Current account surplus 贸易顺差,即中国在出口商品的过程中,挣了很多USD。此时。中国世界工厂的职能使得,进口商进口中国商品的时候,对CNY需求增加,使得CNY相对升值。曾经中国对CA surplus的处理是,买gov bond,但是近年逐步增加对实体资产的持有,以及对gold的持有(2020-2021全球QE的背景下,gold储备量保证该国货币的信用水平。USD持有也有为其他国家货币提供credibility的功能,但是该功能在US超量QE的背景下逐渐下降)。持有实体资产的好处在于,不是paper currency,相对更加保值且有能力转换为生产力,受到风险时也更加稳定。
- US QE的时候,中国也处在疫情全国quarantine的阶段,出口减少,导致全球市场上超额印发的USD没有办法购买足够的商品(中国supply少了很多,其他国家同样export少了)。此时US QE的超量不能被市场消化,US通胀大幅上涨。US为了避免hyper- inflation,加息收回USD。
- 各国EU,Canada,UK等(JP不同)为了避免在USD升贬值的过程中被US收割资产,基本上选择和US类似节奏的升降息,以避免本国资产大幅流出。中国外汇管制,资产难以流出。 => 超额USD难以被消耗。
- 俄乌问题+各种sanction使得如俄罗斯,伊朗等国家出现无法转账等问题,这些国家的货币流通出现困难,使得这些国家货币的credit下降。(此时这些国家对于USD的需求增加)。
- 石油美元的勾在新能源大背景下稍微减弱,但是已经稳定。
- etc
总之,在目前短期内,超额USD难以被消耗,US只能继续大幅加息,高利息高收益,为了吸引其他国家钱流入,为了收回超发的货币避免通胀。
硅谷银行
US QE+QT毕竟是宏观行为,但是它改变了收益率的模式。最明显的特征就是收益率曲线倒挂。长期利率低于短期利率。这导致微观层面,消费者存入银行的钱长期不如短期给的利息多,消费者缩减投资期限的情况增加。银行挤兑出现。
USD信用崩塌的情况逐渐出现。
The Impact of Balance of Payments Flows
As noted earlier, the parity conditions may be appropriate for assessing fair value for currencies over long horizons, but they are of little use as a real-time gauge of value. There have been many attempts to find a better framework for determining a currency’s short-run or long-run equilibrium value. Let’s now examine the influence of trade and capital flows.
A country’s balance of payments consists of its (1) current account as well as its (2) capital and (3) financial account. The official balance of payments accounts make a distinction between the “capital account” and the “financial account” based on the nature of the assets involved. For simplicity, we will use the term “capital account” here to reflect all investment/financing flows. Loosely speaking, the current account reflects flows in the real economy, which refers to that part of the economy engaged in the actual production of goods and services (as opposed to the financial sector). The capital account reflects financial flows. Decisions about trade flows (the current account) and investment/financing flows (the capital account) are typically made by different entities with different perspectives and motivations. Their decisions are brought into alignment by changes in market prices and/or quantities. One of the key prices—perhaps the key price—in this process is the exchange rate.
Countries that import more than they export will have a negative current account balance and are said to have current account deficits. Those with more exports than imports will have a current account surplus. A country’s current account balance must be matched by an equal and opposite balance in the capital account. Thus, countries with current account deficits must attract funds from abroad in order to pay for the imports (i.e., they must have a capital account surplus).
When discussing the effect of the balance of payments components on a country’s exchange rate, one must distinguish between short-term and intermediate-term influences on the one hand and longer-term influences on the other. Over the long term, countries that run persistent current account deficits (net borrowers) often see their currencies depreciate because they finance their acquisition of imports through the continued use of debt. Similarly, countries that run persistent current account surpluses (net lenders) often see their currencies appreciate over time.
However, investment/financing decisions are usually the dominant factor in determining exchange rate movements, at least in the short to intermediate term. There are four main reasons for this:
- Prices of real goods and services tend to adjust much more slowly than exchange rates and other asset prices.
- Production of real goods and services takes time, and demand decisions are subject to substantial inertia. In contrast, liquid financial markets allow virtually instantaneous redirection of financial flows.
- Current spending/production decisions reflect only purchases/sales of current production, while investment/financing decisions reflect not only the financing of current expenditures but also the reallocation of existing portfolios.
- Expected exchange rate movements can induce very large short-term capital flows. This tends to make the actualexchange rate very sensitive to the currency views held by owners/managers of liquid assets.
Current Account Imbalances and the Determination of Exchange Rates
Current account trends influence the path of exchange rates over time through several mechanisms:
- The flow supply/demand channel
- The portfolio balance channel
- The debt sustainability channel
Let’s briefly discuss each of these mechanisms next.
The Flow Supply/Demand Channel
The flow supply/demand channel is based on a fairly simple model that focuses on the fact that purchases and sales of internationally traded goods and services require the exchange of domestic and foreign currencies in order to arrange payment for those goods and services. For example, if a country sold more goods and services than it purchased (i.e., the country was running a current account surplus), then the demand for its currency should rise, and vice versa. Such shifts in currency demand should exert upward pressure on the value of the surplus nation’s currency and downward pressure on the value of the deficit nation’s currency.
Hence, countries with persistent current account surpluses should see their currencies appreciate over time, and countries with persistent current account deficits should see their currencies depreciate over time. A logical question, then, would be whether such trends can go on indefinitely. At some point, domestic currency strength should contribute to deterioration in the trade competitiveness of the surplus nation, while domestic currency weakness should contribute to an improvement in the trade competitiveness of the deficit nation. Thus, the exchange rate responses to these surpluses and deficits should eventually help eliminate—in the medium to long run—the source of the initial imbalances.
The amount by which exchange rates must adjust to restore current accounts to balanced positions depends on a number of factors:
- The initial gap between imports and exports
- The response of import and export prices to changes in the exchange rate
- The response of import and export demand to changes in import and export prices
If a country imports significantly more than it exports, export growth would need to far outstrip import growth in percentage terms in order to narrow the current account deficit. A large initial deficit may require a substantial depreciation of the currency to bring about a meaningful correction of the trade imbalance.
A depreciation of a deficit country’s currency should result in an increase in import prices in domestic currency terms and a decrease in export prices in foreign currency terms. However, empirical studies often find limited pass-through effects of exchange rate changes on traded goods prices. For example, many studies have found that for every 1% decline in a currency’s value, import prices rise by only 0.5%—and in some cases by even less—because foreign producers tend to lower their profit margins in an effort to preserve market share. In light of the limited pass-through of exchange rate changes into traded goods prices, the exchange rate adjustment required to narrow a trade imbalance may be far larger than would otherwise be the case.
Many studies have found that the response of import and export demand to changes in traded goods prices is often quite sluggish, and as a result, relatively long lags, lasting several years, can occur between (1) the onset of exchange rate changes, (2) the ultimate adjustment in traded goods prices, and (3) the eventual impact of those price changes on import demand, export demand, and the underlying current account imbalance.
The Portfolio Balance Channel
The second mechanism through which current account trends influence exchange rates is the so-called portfolio balance channel. Current account imbalances shift financial wealth from deficit nations to surplus nations. Countries with trade deficits will finance their trade with increased borrowing. This behaviour may lead to shifts in global asset preferences, which in turn could influence the path of exchange rates. For example, nations running large current account surpluses versus the United States might find that their holdings of US dollar–denominated assets exceed the amount they desire to hold in a portfolio context. Actions they might take to reduce their dollar holdings to desired levels could then have a profound negative impact on the dollar’s value.
“Shifts in Global Asset Preferences” means would alter the components of assets allocation in the portfolio.
The Debt Sustainability Channel
The third mechanism through which current account imbalances can affect exchange rates is the so-called debt sustainability channel. According to this mechanism, there should be some upper limit on the ability of countries to run persistently large current account deficits. If a country runs a large and persistent current account deficit over time, eventually it will experience an untenable rise in debt owed to foreign investors. If such investors believe that the deficit country’s external debt is rising to unsustainable levels, they are likely to reason that a major depreciation of the deficit country’s currency will be required at some point to ensure that the current account deficit narrows significantly and that the external debt stabilises at a level deemed sustainable.
The existence of persistent current account imbalances will tend to alter the market’s notion of what exchange rate level represents the true, long-run equilibrium value. For deficit nations, ever-rising net external debt levels as a percentage of GDP should give rise to steady (but not necessarily smooth) downward revisions in market expectations of the currency’s long-run equilibrium value. For surplus countries, ever-rising net external asset levels as a percentage of GDP should give rise to steady upward revisions of the currency’s long-run equilibrium value. Hence, one would expect currency values to move broadly in line with trends in debt and/or asset accumulation.
Reference
CFA Readings
因子投资的高维数时代
摘要:实证资产定价已然进入因子(协变量)的高维数时代。本文抛砖引玉,阐述我对此的四点思考。(DGP: Data Generating Process)
- Key Takeaway: over-parameterization 的时代已经到来,变量数量 k 大于样本数量 t 似乎并没有带来 interpolate的问题,反而给prediction带来了帮助。
0 引子
时至今日,实证资产定价(以及因子投资)已然步入了因子(协变量)的高维数时代。大量发表在顶刊上的实证结果表明,多因子模型具有很大的不确定性且因子的稀疏性假设不成立。人们熟知的 ad-hoc 简约模型无法指引未来的投资。
在高维数时代,寻找真正能够预测预期收益率的协变量是核心问题之一。为了实现这个目标,需要考虑的问题包括:(1)多重假设假设检验;(2)投资者(高维)学习问题 & 另类数据;(3)来自资产定价理论的指引:即解释预期收益率的因子应该也能解释资产的共同波动。最后,一个最新的讨论热点是因子的个数是否越多越好(即模型复杂度是否越高越好):复杂模型能更好地逼近真实 DGP,但参数估计的方差更大;简约模型的参数估计更准确,但却未必是 DGP 的合理近似。二者相比,如何权衡呢?
近日,我在某券商 2023 的年度策略会上做了题为《因子投资的高维数时代》的报告,阐述了我对上述四点的思考。本文借着报告的 slides 做简要介绍。由于对于某些问题专栏已经做了大量的梳理(比如多重假设检验),因此在本文的阐述中,在必要的地方会使用最少的文字(你马上就会明白我的意思)。
1 多重假设检验
这部分,一图胜千言。需要相关知识的小伙伴,请查看公众号的《出色不如走运》系列。
Next.
2 投资者学习问题 & 另类数据
理性预期假设投资者知道真实的估值模型。
然而,和进行事后(ex post)因子分析的你我一样,投资者在投资时同样面临协变量的高维数问题,因此不可能知道真实的估值模型,所以理性预期假设并不成立。这造成的结果是,均衡状态下资产价格和理性预期情况下相比出现偏差。在事后分析中,已实现收益率中包含一部分因估计误差导致的可预测成分。但对投资者来说,事前(ex ante)无法利用上述可预测性。
因误差导致的可预测性能够在样本内(IS)产生虚假的可预测性(无论投资者是否使用了先验以及无论先验是否正确),而在样本外(OOS)却无法预测收益率。这就是投资者(高维)学习问题导致的虚假的可预测性(Martin and Nagel 2022)。具体阐述见《False In-Sample Predictability ?》。面对这个问题,需要通过 OOS 检验才能规避。
投资者无法在事前投资中应对高维数,这主要体现在他们使用较少的协变量(因子)作为估值的依据。另一方面,由于一些变量的获取成本很高,投资者需要在该变量带来的预测好处和其成本之间权衡。此外,有限理性中的有限注意力机制也为投资者对简约性的渴望提供了微观基础。这两方面作用合力导致投资者在为资产定价时使用过度稀疏的估值模型。这样做的后果是,即便在样本外,也会出现因投资者学习问题而造成的虚假的可预测性。
就着上述推论,我们自然地引出本小节的另一个相关话题:另类数据。
回忆一下公众号之前的文章《科技关联度II》所介绍的 Bekkerman, Fich and Khimich (forthcoming)。相比于之前的基于专利类别的研究,该文对专利进行文本分析,通过提取专业术语并计算其重合度来描述公司之间的相似程度,以此构造了预期超额收益率更高的科技关联度效应。
比起专利类别,投资者在获得以及处理专利文本并计算科技关联度时的成本更加昂贵。这会导致大多数投资者会在为公司估值时忽略这方面的信息,即使用过度稀疏的估值模型,造成样本内和样本外收益率可预测性。
该文基于文本分析的科技关联度是近几年大红大紫的基于另类数据进行实证资产定价和因子投资的一个典型例子。然而,Martin and Nagel (2022) 所勾勒出的非理性预期假设世界告诉我们,使用最新的方法和技术构建预测变量并将其应用于早期历史时段时,它们在样本内和(伪)样本外检验中均能预测预期收益率。因此,我们在惊喜于另类数据的发现之余,恐怕也应该多一分谨慎。
除此之外,既然谈到另类数据,不妨再聊聊另一个相关话题。有相关研究表明,海外大量的另类数据供应商提供的数据都只具备对公司基本面的短时间尺度的可预测性。Dessaint, Foucault and Fresard (2020) 的研究表明,如此另类数据可得性的提升降低了进行短时间尺度的预测成本(从而提高了准确性),但增加了进行长时间尺度预测的成本(从而降低了准确性)。对于公司基本面预测来说,二者的综合效果是 mixed。可以预见,未来在使用另类数据预测公司基本面时,会有更多的研究向这个方向倾斜。
3 和协方差矩阵有关
Ross (1976) 的 APT 指出,解释资产预期收益率截面差异的因子应该同时能够解释资产的共同运动。在市场中不存在近似无风险套利机会这个假设下,Kozak, Nagel and Santosh (2018) 同样论述了这一点(见《Which beta (III)?》)。
以下展示了 BetaPlus 小组构造并维护的 A 股常见七类风格因子在 2000/01/01 到 2022/04/30 之间的表现。统计数据表明,在该实证区间内,虽然它们的收益率均值高低有差异,但收益率的标准差同样也有差异,因此并没有哪个风格因子的风险调整后收益明显高于其他的因子。
再来看一个美股的例子。Kozak, Nagel and Santosh (2018) 将实证区间分成前后两半儿并考察了 15 个因子。下图展示了每个因子在前后两个区间内夏普率的散点图。如果能够在获得高收益的同时降低波动,那么样本内(前一半区间)夏普率高的因子在样本外(后一半区间)的夏普率应该仍然更高一些,我们将会看到这些点围绕在 45 度直线上。然而事实并非如此。无论样本内的夏普率多高,这 15 个因子样本外的夏普率几乎是一条平行于横坐标的水平线,而非人们期望的 45 度斜线。(我用几百个因子在 A 股做了同样的实证,观察到了类似的结果。)
上述结果显示,(样本外)高收益往往对应着高波动(对着样本内硬挖 —— data snooping —— 另说),这一实证结果和 APT 吻合。
早在几十年前,Eugene Fama 曾经打趣到 APT 让众多挖因子的尝试“合理化”,即 APT 只说了资产预期收益率和众多因子有关,但却没有指出到底有哪些因子。因此,很多学者打着 APT 的旗号“肆无忌惮”地挖出了一茬又一茬因子(zoo of factors),Fama 把这个现象称作 APT 给了这些研究“fishing license”(即 APT 让这些研究合理化)。(Sorry,这里我实在忍不住吐槽一句,在一本著名的资产定价教材的中译版中,中文作者竟然真的把 fishing license 翻译成“钓鱼许可证”……)
如今,当我们重新审视 APT 时,毫无疑问应该将它作为挖掘真实因子的有效指引,正如本节一开头说的那样:解释资产预期收益率截面差异的因子应该也能解释资产的共同运动。在这个认知下,以 PCA 为代表的一系列实证资产定价研究在这几年取得了很多突破(Kelly, Pruitt and Su 2019 、Kozak, Nagel and Santosh 2020)。
4 越复杂越好 ?
在本节的讨论中,我们以因子个数的多少代表模型复杂度。因子个数越多,模型越复杂。
2019 年,Belkin, et al. (2019) 一文提出了机器学习中样本外误差的“double descent”现象,引发了机器学习领域和理论统计领域的广泛讨论。为了理解这一现象,我们先从熟知的 bias-variance trade-off 说起。
对于模型来说,其样本外表现和模型复杂度关系密切。当模型复杂度很低时,模型的方差很小(因为变量参数估计的方差很小),但是偏差很高;当模型复杂度高时,模型的方差变大,但是偏差降低。二者的共同作用就是人们熟悉的 U-Shape,即 bias-variance trade-off,因此存在某个最优的超参数,使得样本外的总误差(风险)最低。
我们还可以换个角度来理解 bias-variance trade-off,而这个角度对理解 double descent 至关重要。当模型很简单时,它能够有效规避过拟合,但却很难想象如此简单的模型是真实世界的好的近似;而当模型复杂时,它更有可能逼近真实世界,但是也的确更容易过拟合。因此 bias-variance trade-off 也可以理解为 approximation-overfit trade-off。
然而,上述结论有一个我们都习以为常的前提:变量个数 < 样本个数。那么,如果模型复杂到变量(因子)的个数超过了样本的个数又会出现怎样的情况呢?事实上,这一问题并非无缘无故的凭空想象。对于复杂的神经网络模型来说,模型参数的个数很容易超过样本的个数,然而这些模型确在样本外有着非凡的表现(哦,当然不是资产定价领域)。这个现象促使这人们搞清楚 what is behind the scene。
当变量个数 > 样本个数时,模型在样本内能够完美的拟合全部样本(在机器学习术语中,这个现象被称为 interpolation)。对这样一个模型来说,人们通常的认知是,它在样本外的表现一定会“爆炸”,即毫无作为。这是因为它过度拟合了样本内数据中的全部噪声。然而,Belkin, et al (2019) 指出,当人们让模型复杂度突破样本个数这个“禁忌之地”后,神奇的事情发生了:样本外总误差并没有“爆炸”,而是随着复杂度的提升单调下降。正因为在样本个数两侧都出现了误差单调下降的情况,Belkin, et al (2019) 将这个现象称为 double descent。
因为本文的目的并非解释背后的统计学理论,所以我在此对该现象给一些直觉上的解释。当变量个数超过样本个数的时候,样本内的解是不唯一的,而最优的解可以理解为满足参数的方差最小(正则化或 implied 正则化在这个过程中发挥了非常重要的作用)。随着变量越来越多,最优解的方差总能单调下降。
再来看偏差,通常来说,偏差确实会随着复杂度的提升而增加。但是所有模型都是真实 DGP 的某个 mis-specified 版本。当存在模型设定偏误的时候,可以证明当变量个数超过样本个数时,偏差也会在一定范围内随着复杂度而下降。因此,二者的综合结果就是模型在样本外的误差表现会随复杂度的上升而下降。(在一些情况下,样本外误差的 global minimum 出现在当变量个数 > 样本个数时。)
以下两张 slides 总结了上面的话(第二张 slide 里的表参考了 Bryan Kelly 的 talk,特此说明)。
对于资产定价和因子投资来说,如果你和我一样认同因子的高维数时代 —— 即收益率的 DGP 包含了非常多的因子,那么上述关于模型复杂度的探讨也许会带来全新而有益的启发。在这方面,也有大佬已经走在了前面。Bryan Kelly 和他的合作者以及学生一起写了一系列“复杂度美德”的 working papers,在资产定价领域探索提升复杂度带来的样本外好处。例如,Kelly, Malamud and Zhou (2022) 一文使用神经网络对美股进行了择时(每次建模仅利用一年 12 期的数据训练神经网络),并发现了类似的 double descent 现象。
当然,即便我们认同了“越复杂越好”,也依然要回答更重要的问题,即如何估计参数,如何正则化,如何来利用成千上万甚至更多的因子来形成关于预期收益率更好的预测。虽然 Kelly 等人的文章在择时方面取得了让人兴奋的结果,但在 cross-section 是否有类似的实证结果依然需要时间来回答(Kelly 有一篇 working paper 研究 cross-section,但还没有 publicly available)。
但是无论如何,欢迎来到 over-parameterization 时代。
5 结束语
以上就是我对因子投资高维数时代的四点思考。
不过在本文的最后,仍然有必要指出,在协变量的高维数时代,如何 prepare 因子固然重要(小心多重假设检验、小心投资者学习、利用 APT 的 implication),但是如何求解高维问题才更加核心(如何利用复杂度的好处 ?)。
或许,我们已经到了从计量经济学到机器学习的必然转型时刻。正如 Stefan Nagel 的《机器学习与资产定价》(Nagel 2021)所倡导的那样,将经济学推理注入机器学习算法将成为高维数时代研究的必经之路。
参考文献
- Baba-Yara, F., B. Boyer, and C. Davis (2021). The factor model failure puzzle. Working paper.
- Bekkerman, R., E. M. Fich, and N. V. Khimich (forthcoming). The effect of innovation similarity on asset prices: Evidence from patents’ big data. Review of Asset Pricing Studies.
- Belkin, M., D. Hsu, S. Ma, and S. Mandal (2019). Reconciling modern machine-learning practice and the classical bias-variance trade-off. PNAS116(32), 15849 – 15854.
- Dessaint, O., T. Foucault, and L. Fresard (2020). Does alternative data improve financial forecasting? The horizon effect. Working paper.
- Kelly, B. T., S. Malamud, and K. Zhou (2022). The virtue of complexity in return prediction. Working paper.
- Kelly, B. T., S. Pruitt, and Y. Su (2019). Characteristics are covariances: A unified model of risk and return. Journal of Financial Economics 134(3), 501 – 524.
- Kozak, S., S. Nagel, and S. Santosh (2018). Interpreting factor models. Journal of Finance73(3), 1183 – 1223.
- Kozak, S., S. Nagel, and S. Santosh (2020). Shrinking the cross-section. Journal of Financial Economics 135(2), 271 – 292.
- Linnainmaa, J. T. and M. R. Roberts (2018). The history of the cross-section of stock returns. Review of Financial Studies31(7), 2606 – 2649.
- Martin, I. and S. Nagel (2022). Market efficiency in the age of big data. Journal of Financial Economics145(1), 154 – 177.
- Nagel, S. (2021). Machine Learning in Asset Pricing. Princeton University Press.
- Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory 13(3), 341 – 360.
By
石川 https://zhuanlan.zhihu.com/p/589370949?utm_medium=social&utm_oi=774013724896788480&utm_psn=1583185642497994752&utm_source=wechat_session&utm_id=0
安全与发展 – 高善文经济观察
背景
1991年苏联解体以后,全球经济进入了后冷战时代,后冷战时代突出的特点是全球经济经历了以增长和效率为导向,以开放和融合为手段,以猛烈的经济增长为结果的波澜壮阔的接近30年的经济增长。而这一增长过程中国无疑是最大的受益者之一。苏联解体以后,全球经济经历的差不多接近30年的波澜壮阔的全球化,深刻的改变了全球地缘政治的格局。
在这样的背景下,在最近几年以来,由于与全球化伴随的地缘政治环境的变化,以及许多国家内部政治经济环境的变化,安全开始成为许多政府企业和金融机构在思考增长和效率的同时,不得不认真考虑的关切。
而这样的安全关切在整个90年代,在2010年之前的十年,总体上并不明显。比如说作为现在的跨国公司的管理层,在考虑供应链的全球布局和生产能力的全球布局的同时,他要考虑效率,要考虑成本,但是现在同时也要考虑供应链的韧性,也要考虑备份,也要考虑安全冗余。
比如说许多国家的中央银行和大型金融机构在国际金融市场进行资产配置的时候,他要考虑在极端的条件下,自己的美元资产会不会遭遇像俄罗斯中央银行的外汇储备一样的结局?就是由于这样或者是那样的政治因素的话被冻结,甚至的话被没收,而在2020年之前,对大多数中央银行来讲,这样的安全关切应该说都是不突出的。实际上今年以来,在国际黄金价格的上涨过程之中,非常重要的持续的买家之一,就是许多国家的中央银行。那么为什么许多国家的中央银行在今年以来大量的增持黄金?众说纷纭,但是一种解释就是美国等西方国家冻结俄罗斯外汇储备的措施,使得其他中央银行在外汇储备的配置上要考虑安全冗余。
再比如说对于一些西方国家政府而言,在很多重要的技术领域都采取了额外的限制措施,这些限制措施通常被认为也反映了他们日益加剧的安全关切,所以安全与发展问题再继续追求经济增长的同时去兼顾安全关切,已经是一个在全球范围之内相当普遍的重要的关切。
在这样的条件下,我们看到二十大的报告非常正式的提出了安全与发展的主题,要统筹好安全与发展的关系,安全是发展的前提,发展是安全的保证,要这个妥善的统筹和处理好 安全与发展之间的关系。那么这一主题的提出毫无疑问反映了我们刚才所讲的很多国际国内政治经济环境的变化,但是从这一主题的提出到它最终落实为一整套庞大的政策法律法规体系,就是把这样的主题最后落实为一整套庞大复杂精巧的法律法规体系,无疑是需要时间的。而这一过程的话也会对于经济社会很活动,对于很多企业产生微妙的或者是十分重大的影响。
我们接下来讨论的问题的重点是想弄清楚在全球和中国都在统筹兼顾安全与发展的条件下,这样的时代主题的变化会如何的影响资本市场的估值体系,特别是如何影响资本市场的估值结构?那么呢我想了一段时间的话,试图提出一个概念性的框架性的分析思路,然后接下来我们会用一些案例去尝试去解释这个概念体系。但是毫无疑问的话,随着未来的政策法律法规体系变得越来越细致,越来越精巧,我们还可以补充越来越丰富的案例,然后的话我们有一些案例也不见得那么恰当,需要继续调整。
安全 x 发展
$$ 安全 \times 增长 $$
所以在这里我首先想跟大家介绍的是个人思考了一段时间以后所想提出的一个分析的概念体系,或者是基本的分析思路。我的基本的想法的话是可以设立一个两维四象限的坐标体系,它的横轴的话是增长的纬度,纵轴的话是安全的维度。那么在四象限体系之中,在横轴上越往左边走,那么一个给定的行业或者是一个给定的企业,它的增长动力、增长潜能、增长潜力就越弱,越往右边走的话,它的增长的潜力,增长的动力相对而言的话就越强。然后在纵轴上的话是安全关切,所以的话在纵轴的下方,应该说它标志着与它相关联的很多的行业,不很涉及到安全关切,对它的安全关切的维度,或者是对安全的影响相对是很小的,在纵轴上越向上方走,那么安全关切越严重,安全关切的越大。
然后我们还想说的是我们在这里所说的安全理论上应该是一个总体的安全观,它应该包括比如说金融安全、经济安全、生态安全、领土安全、政治安全、意识形态安全等等。政府的安全关切是一个总体的安全关切,所以的话在这样的安全关切下的未来将要制定的政策法律法规体系,也必然反映了具有非常广泛含义的一个安全主题,那么与这样的一个背景相适应,我们在这里所想讲的纵轴的安全问题,也是一个相对综合的总体的安全关切。
Specify
那么有了这样的一个四象限的划分以后,我们试图在四象限里边的话举出一些案例,这些案例不尽恰当,但是的话一部分原因的话是因为我们认为在过去几年反映了安全关键的变化,在这些层面上的话已经有一些政策上的进展,另外一方面这些案例有助于说明我们即将这个展开的逻辑。
- Debt – Gov Bond <- for Safety
- 我们从横轴来看问题,从横轴来看问题。在中国的资本市场上的话,我们知道通常有一个大拇指法则,如果你要买债的话,在公司基本面一样的背景下,你要买国有企业的债,如果这两个公司的基本面是差不多的,你要买国有企业的债,原因也很简单,一方面的话国有企业本身经营更加稳健,当然不排除有很多稳健的民营企业,但是国有企业总体上经营更加稳健,另外一个的话就是在行业遭受意想不到的负面因素的影响和困难的条件下,总体上国有企业获得政府救助的可能性不低于民营企业,也许比民营企业要大一些,所以在同样的条件下,我们一般认为要买国有企业的债。
- Equity – Public Issued Private Firm <- for Growth
- 那么另外一个的话,如果在股票市场上,在公司的基本面差不多的条件下,你要买民营企业的股票,要买民营企业的股票,重要的原因之一,也是相对而言,国有企业的经营太稳健,风险暴露不足,而民营企业的话具有更多的增长方面的追求,从而更好地匹配了股票投资者对增长和风险暴露的要求。
那么从横轴来看,一个常常看到的现象,在相对低增长的行业里边,整个的经营环境比较稳定。那么国有企业相对而言的话可以有不错的生存环境,如果市场是竞争性的,然后的话是可以相对自由进出的,但是在一个高速增长的技术非常不确定充满变化的行业之中,总体上来讲,国有企业的优势相对民营企业而言不是那么突出。
Quadrant
那么有了这样的背景介绍以后,我们来介绍一下我们对4个象限里边它的一个主要的影响的看法。
- 第一象限:
- 无疑的话它满足两个特征,第一个特征的行业是高增长状态,第二个的话它与安全关切密切相关,典型的比如说卡脖子工程,典型的比如说涉及到国防军工等等很敏感的领域,典型的比如说事关未来制造业尖端的竞争力的核心技术。
- 在这些领域的话,它既有非常大的一个增长的不确定性和潜力,同时又事关安全关切。那么在这个领域毫无疑问的话,我个人认为的话,未来所谓的新型举国体制将要重点发力的领域,就是在第一象限,那么新型举国体制在第一象限怎么发力?我们还需要继续观察。但是我个人认为的话,在这一象限之中,一个非常大的矛盾是如果在象限之中完全由国有企业来主导,那么由于国有企业本身经营相对比较稳健,面对高速增长和不断变化的技术环境,它不见得能够去抓住和实现很多不同的技术路径去实现最终真正市场驱动的增长。但是如果在这个领域完全由民营企业去主导,那么民营企业的主导在多大程度上能够很好地解决安全关切,也是存在一些需要继续观察的一些现象的。那么在这个领域,我现在倾向性的想法是这个领域在未来一定是国有企业和民营企业并重,两个毫不动摇。政府一方面要支持民营企业在这一领域能够非常自由的去去实现增长,去创业、去研发。另外一方面,毫无疑问的话,也会支持国有企业在这一领域的话做大做强。特别重要的是在这些领域,如果潜在的在众多的细分的小的行业和领域里边,一个企业可以做到龙头,但是在细分行业的龙头在总量上在宏观上不具有足够大的体量,那么在这些领域我个人猜测可能民营企业的优势相对会更多一些。但是如果一个行业本身具有战略性的全局性的重要性,企业的体量在未来有足够的大,那么国有企业或者是国有的成分在其中,很可能的话将是十分重要的。
- 民营负责增长,国有负责做大做强
- 第二象限
- 第二象限的两个特征:1. 有安全关切,2. 没有增长,没有增长意味着行业的竞争格局、技术路径、用户市场等等的话相对比较稳定。在政府全面加强监管和管制的条件下,在这一领域,在整个的行业的增长环境相对比较稳定的条件下,国有企业总体上来讲的话会获得一些优势,或者如果政府不用监管和管制的手段去管理这些行业,那么另外一个办法就是扩大国有企业的话在这些领域的存在。
- 有安全需求,意味着拒绝外资,存在行业壁垒,国企垄断。市场稳定,无竞争,无增长。
- 第三象限
- 既没有增长,同时又不关安全关切。那么在这一领域政府会继续延续以前长期坚持的政策,会继续毫不动摇的鼓励民营企业在这些领域的话去做大做强,会继续去欢迎外资和外商在这些领域去投资和展业。
- 在我们在这里举了一个家用电器的例子,实际上另外一个例子,比如说资产管理,比如说公募基金,那么在一定程度上,也许它也可以放在象限,它没有那么大的安全关切,同时的话行业的竞争格局在一定程度上也比较成熟和稳定。
- 政府在这个领域继续去扩大开放,引进外资,对民营企业的话采取公平竞争,甚至是更照顾性的政策。在这个领域破除行政性的垄断,去鼓励竞争,延续过去很多年的政策,都是完全可能的。
- 由于没有安全的需求,可以吸引外资。由于没有增长,鼓励竞争促进增长。 – 惨烈,但在竞争中脱颖而出的企业可能有巨大机会。
- 第四象限
- 涉及到未来相对比较强劲的增长,同时它的安全关切又不大。这些领域的话毫无疑问由于增长所暗含的技术以及商业环境变动的不确定性,以及它的安全关切没有那么大,民营企业将是在这一领域的话最为主导性的力量。
- 但是对比第三和第四象限非常重要的区别是在第三象限,对第三象限的行业和企业而言,可以继续坚持全球化的路径,可以继续坚持全球化的供应链的配置,全球的市场的开放和竞争。
- 对于第四象限的行业和企业而言,是不是包括专精特新存在争议,比如说太阳能光伏等等的领域,比如说新能源汽车。一般认为是存在高增长的领域,安全关切又不是那么严重,它应该继续可以维持一个全球开放包容互联互通的贸易体系,让中国的企业的话继续在全球市场上做大做强,去参与竞争。但是这些领域的问题是看起来,包括美国欧洲在内,也试图在这些领域采取一些或者说是限制性的政策,或者是对本国企业的话进行扶持性的政策,从而扭曲全球的竞争环境。
3C
我们知道美国政府所谓的对华政策有三C 的说法,其中的话一个C 是corporation是合作,那么在第三象限的,我认为在经济上的话,在这个领域中美之间的合作应该是没有什么障碍的。
还有一个C 的话是competition就是竞争,这个竞争的话当然是良性的竞争,那么在竞争这一领域,也许它适用于第四象限的情况,比如说美国政府试图去补贴他们的电动汽车行业,希望与中国的电动汽车企业进行竞争,去也许去补贴他们的一些民用的具有潜在高增长的领域的行业,与中国的企业进行竞争。但是在这个领域的主要的问题,也许的话各国都试图通过补贴等等扭曲竞争的手段来获得一些优势,但是也许需要一些全球性的更加统一的贸易规则来管理在高增长的新兴领域在全球范围之内的竞争,但是在这些领域总是有一些空间的。
我们知道很多人担心中国的新能源汽车的高速增长的出口是不是能够维持,在很大程度上实际上背后的担心是美国是不是会像在半导体等等领域的政策一样,去对我们的新能源汽车进行打压。那么在我们这样的一个四象限的分析体系之中,我个人倾向于认为中美欧在一定程度上制定一些全球性的通用的管理补贴,管理竞争的规则,使得在这些领域的话,全球化能够继续推进全局性的一个合作和竞争,能够继续正常和健康的展开,可能性和空间应该是比较大的。
如果说第三象限就是美国人所讲的c之中的cooperation,那么第四象限也许就是良性的 Competition竞争,第一象限恐怕在一定程度上就是另外一个c。那么毫无疑问的话,围绕这些变化所带来的很多的政策法规体系,有一个逐步落地的过程,而且这一过程也难免会有很多的调整,纠偏会有很多的反复。
Cases
接下来,我们是想使用我们在这里所找出的几个案例,围绕我们刚才所讲的这些特征,来看一看市场是如何表现的,从而的话为我们未来进一步去理解这些过程对众多行业的影响提供一些线索。
- 第一象限 – 军工
我们计算的是国防军工指数的情况,国防军工的话毫无疑问它处在第一象限,处在第一象限,那么由于安全关键的增强等等,它相对它相对的增长前景的话变得更加明朗。
我们这张图使用的是国防军工相对于万德全A的价格指数,就是国防军工的价格指数除以万得全A的价格指数,然后某个时间点设定为100,然后我们来看它的变化。那么在这张图上很容易看到的,2020年的某个时候以来,相对于万得全A指数,总体上来讲,国防军工指数开始获得一个单边的,尽管有很多波动的越来越大的一个相对收益。
在国防军工指数获得相对收益的同时,我们再来看,在行业在国防军工这个行业之内,国有企业相对于非国有企业的估值情况,我们刚才说第一象限里边一方面它继续去维持增长,另外一方面在一些重要的领域,可能国有企业由于这样那样的原因会获得额外的优势,这种优势毫无疑问会反映在估值层面上。
国防军工的估值在行业内相对非国有企业的情况如上图。那么结论也是类似的,跟我们刚才的阐述和预期比较接近。进入2020年以来,2020年七八月份以后,总体上在行业内国企相对非国企开始获得越来越大的估值优势。
在第一象限里边的国防军工行业,如果大家说国防军工获得相对外的权益,可能还有很多别的原因。但是在行业内部国企相对非国企获得了估值上的优势,提供了另外一个值得我们思考的证据,那么这个的话是从市净率的角度来考虑,从市净率的角度来考虑,相对的结论也是类似的。
2020年以后,国企相对非国企的估值优势总体上正在出现相对单边的放大。对国防军工这样一个明显的处于在第一象限的行业来讲,第一它高增长或者是高增长再进一步得到加强。
再者,是电力设备。之所以把电力设备放在这里,是因为我不是那么拿得准电力设备在多大程度上是否涉及到安全关切,对一部分国外的一些观察家来讲,他们怀疑担心或者认为电力设备同样存在安全关切,因为他们担心其他国家的政府在发电设备里边会安装后门,这样的话当两国处于敌对状态的时候,通过开启后门是对方的供电网络整个瘫痪,这个就可以不战而屈人之兵。
在这个意义上来讲,电力设备涉及到重要的基础设施,从而的话存在安全关切。但是到底如何看待电力设备这个行业,大家可以见仁见智,但是我们来看一看它的一个这个行业内的一个表现,一个的话是它相对万德全A的价格指数,我们看到进入2020年以后,总体上它具有明显的相对的收益。
另外在行业之内,国企相对非国企在2020年以后它的估值优势在扩大。2020年以后,2021年初以后,国企相对非国企的估值优势在扩大,特别是在市净率层面上,估值的扩大的表现的很明显,在市盈率层面上情况是相似的。
那么从它获得相对收益到国企获得相对估值优势这些层面上来讲,电力设备与国防军工都有一定的相似性,所以我们刚才把它放在了第一象限,但是这当然是可以争议的。
- 第二象限 – 互联网
进入第二象限,我们找的一个指数的话是wind中概股100指数的中概股,100指数里边的大头的话是互联网。当然除了互联网还有很多别的企业,但是大头是互联网。
这是一个相对宏观的指数,不完全是一个单个行业的指数。在反对资本无序扩张的过程之中,应该说互联网相对是资本无序扩张表现比较明显的一个领域。反对资本无序扩张,显然有安全关切在里边。而进入最近这几年以来的话,互联网的话毫无疑问的也结束了此前的高增长状态,转入的一个相对中低速的增长。
那么观察wind中概100指数的情况的话,毫无疑问的话就像大家都知道的一样,如果以纳斯达克指数为基准的话,我们看到进入2021年以后的话,它具有相对显著的价格上的走弱,同时他们的营业收入毫无疑问,特别是进入2022年以后,进入一个相对很低的增长阶段,这是它相对纳斯达克的一个估值的变化,市净率的估值的变化。
我们看到的在2018年之前它有一些估值的优势,随着高增长的结束,在2018年到2020年的它相对纳斯达克的估值是一样的。进入2021年以后,它相对纳斯达克的估值上的劣势开始逐步的放大。从政府对这些行业的管理措施来讲,非常细的法律法规体系似乎还没有看到,但是红绿灯体系已经是明确提出的一个标准。
所谓红绿灯体系就是有些领域是红灯,有些领域是绿灯。也许我们还要等一等才能看到,但是红绿灯体系显然意味着对这一行业的话,在未来的话会有更多的限制性的措施。同时在这一领域适当的去引导国有资本的适当的扩大,对这一领域的参与,也是回应政府安全关切的非常重要的维度。
- 第三象限 – 家电
第三象限的例子是家用电器,实际上可以放入第三象限的行业还很多,但是这个需要逐个行业去研究。我们就先拿了家用电器,因为家用电器我们认为比较典型,它不涉及安全关切行业有没有什么增长。
上图是家用电器相对万得全A指数的一个相对价格指数的情况,总体上17年以后有几年的增长,那么21年以后的话,在不长的时间里边把几年的增长吐得差不多了。
但是我们看这个行业内部国企相对非国企的估值层面的变化,总体上来看,尽管在国防军工领域,我们看到了国企的估值优势相对在扩大,但是在家用电器这个领域,国企相对非国企的相对估值体系总体上是相对比较稳定的。
无论是从PE的角度来看,还是从PB的角度来看,相对的估值体系都是比较稳定的。换句话来讲,从市场观察的角度来讲,在这一领域不存在安全关系,不存在反对资本无序扩张,不存在走回头路,不存在国有企业获得了更大的一个政府的扶持或者是政策上的优势,这个行业的经营环境法规环境等等是相对稳定和透明的。
实际上很多的行业也许都处在领域,那么对这个领域来讲,继续去参与全球的分工合作和竞争,毫无疑问的话应该是在政治上在全球规则上应该是没有什么障碍的,而且政府也乐于在这个领域的话去继续推动全球性的贸易合作和竞争。但是国有企业相对非国有企业估值的变化与国防军工的话形成了鲜明的对比,同时如果说国防军工随着这几年安全关切的增强,开始获得相对的收益,那么在家用电器这一相对没有明显增长的领域,在这几年的时间里边,实际上的话还有一些价格上的价格的相对万德全A指数的相对的走输,当然这一走输可能有很多行业层面的原因,我具体不是那么了解,但是毫无疑问这不是一个高增长的行业,它的增长的动量没有增强,这个应该是比较确定的。
- 第四象限 – 电力设备 & 新能源车
那么接下来的话我们讨论的是新能源汽车,我们认为的话它是典型的处在第四象限的行业。它是一个存在着高度不确定性的高增长的行业,同时又需要也有可能制定全球性的规则来管理各国政府的补贴,以及其他的一些产业政策,来在这一领域营造一个全球的公平竞争的环境和体制。
当然除了新能源汽车之外,在民用的领域,我们还可以找到不少其他的高增长的行业,我们以新能源汽车为例来看问题。
那么毫无疑问,我们知道新能源汽车是一个高增长的行业,进入2020年晚些时候以后,相对万德全A总体上来讲它获得了明显的相对收益。与此同时,在PE层面上,新能源、汽车在2022年5月就是在最近半年以来似乎获得了一些估值的优势,但是在PB层面上这种估值优势是很不明显的。
实际上2020年这行业显著的获得相对收益的同时,国有企业的估值的相对的劣势在PB层面上还有一定的扩大,相对于股价的表现而言,相对股价的表现而言,在PB层面上国有企业的估值的劣势的话,相对而言还有一定的扩大。
当然未来进一步的变化我们可以继续观察,但是我想说的是迄今为止在新能源汽车上的市场价格的变化,在很大程度上也支持我们一开始在四象限的分析之中,对第四象限的行业特征的定义,就是它继续以民营企业来主导,继续是全球性的继续维持较高的估值。
新能源汽车看起来符合这个定义,而在第三象限的话,整个的竞争环境非常的稳定,然后可以继续坚持全球化,没有任何问题,但是在第四象限的领域,需要强化一些全球性的规则的制定,来维持一个公平竞争的环境,防止安全竞争的过度的波及到太多的行业和领域。
在第一象限的话,我们知道国有企业看起来很可能获得很多的相对的优势,另外的话它是确定的处在一个高增长的领域。第二象限的话面临的主要问题应该就是加强管制红绿灯等等。
最后我们看一个专精特性,在涉及到安全关切的众多的小的细分领域,由于技术上的不确定性,以及这些领域足够的细分,完全由国有企业去主导这些领域,我个人认为可能在操作上不一定那么现实,国有企业也许就是起到主要的骨骼架构的作用,在大量的细分行业里边的龙头,可能主要还有民营企业来主导。那么围绕专精特新的这个板块的话,我们也来看一看它的表现和市场的看法。
首先专精特新的相对的价格指数,总体上来讲的话,在2021年以来,2020年底以来,相对于万德全A的它有不断扩大的相对的收益。而且在专精特性内部,国企相对非国企的优势,没有特别明显的单边扩大,在PB层面上没有特别明显的单边扩大。在PE层面上,就这几年的情况来看,2020年以来有一些单边扩大,也许与盈利的不平衡有关系,但是在PB层面上,国有企业相对非国有企业的估值优势的单边的扩大是不明显的。
由于这样的原因,我们把专精特新的放到了第四象限,也许有的人的话会觉得专精特新的放在第一象限更合适,但是即使把它放在第一象限,考虑到它涉及到大量的细分行业的龙头,然后在双循环之中是以内循环为主,在细分行业之中主要由民营企业来主导,又是一个高增长的领域,所以它继续会维持相对较高的相对收益。
当然,也许有人觉得专精特新因自主可控等因素涉及安全关切,放在第一象限更合适,这无疑可以讨论。
最后一个部分的话,我们主要是围绕全球性的经济发展环境的变化,想去谈一谈我们的认识,特别是在估值层面上我们的认识。我们想说的是安全与发展并重的关切,不仅对中国重要,对跨国公司对全球很多中央银行,对于一些发达国家来讲都存在这样的倾向。
那么在安全与发展并重的条件下,它与过去效率优先追求增长的就具有显著的差异。那么为了分析这一体系的影响,我们就设了四个象限。那么在四象限的分析体系下,我们会发现对于一些行业它会产生非常大的影响,在一些领域国有企业会获得明显的估值优势。
在另外一些领域法律法规的引入意味着估值体系的重建在另外一些领域的继续去维持和推动全球化,存在这样的可能性,也存在迫切的需要。还有一些领域,过去所发展起来的全球性的经济治理体系,可以继续健康的发挥作用。
那么从估值体系层面上来看,我们四象限的划分在有限的案例之中与市场的估值的相对表现具有一定的一致性,这为我们理解未来安全与发展并重的理念如何落地,它落地必然有一整套的法律法规政策体系。
那么在落地的过程之中,很多的行业都要受到这样或者是那样的影响,然后这些影响在估值层面上将会有什么样的变化呢?可能的话多少会提供一些参照的意义,尽管安全的关键的毫无疑问变得很重要,但是在我们刚才的分析之中,我们也看到在第三象限所体现的全球合作的领域,在第四象限所体现的发展的领域,全球化看起来的话仍然有相当的生命力,那么未来如何会如何演绎的话,让我们拭目以待。
Ref
高善文经济观察
不一样的房地产泡沫 – 高善文经济观察
中国房地产市场
那么我们来看中国的数据,这是中国房地产投资占整个经济比重的一个数据的结果,在这里的话我们剔除了土地购置费,使得房地产开发投资的口径与我们所使用的美国和日本的数据尽量可比。
我们看到中国房地产投资占整个经济比重的最高点出现在2013年前,在当时这一比例大概在12%左右,从2014年以后,中国房地产投资占整个GDP的比重,总体上的话就开始经历一个单边的波动下降的过程,到2022年的这一比例估计可能在7.6%左右,7.6%左右的房地产投资占比与日本80年代早期泡沫化之前的水平,与美国2003年之前的水平基本上是接近的,也许略低一些基本上是接近的,考虑到中国的城市化过程还不能说已经结束,考虑到中国的人均收入水平还处在一个相对较快的提升过程之中,城市化过程也还不能说完全已经结束,我们很难认为这样的房地产投资的占比和水平处在明显偏高的状态。
所以从这些数据来看,我们想说的是如果认为2022年我们经历了房地产泡沫的破灭,那么在2022年之前,我们应该看到房地产投资的迅速的放大,迅速的扩大,而泡沫的破灭需要去消化泡沫的扩张过程中所形成的很多的不平衡。但是在房地产投资的数据上,实际上的话在总量数据上,我们并没有看到在2021年之前房地产投资有异常的扩大。恰恰相反,他经历了持续时间的话,也大概有七八年的一个单边的波动下降的过程,而且的话它的绝对的水平考虑到中国城市化的进度的话,也不能说处在异常高的水平。
我们刚才已经看到从我们所使用的估计数据上来看,与投资的数据相一致,中国房地产的一个存货的最高峰出现在2013年前后,当时的投资也处在最高水平。2021年20年前后的话,整个的存货都处在相对偏低的水平。
换句话来讲,也许我们可以认为2019年以来,中国房地产投资的占比基本处在大体合理的水平附近,很难认为市场上积累了非常严重的从总量数据上来看,很难认为市场上积累了严重的供应过剩。
- Key Takeaway:
- 由房地产投资占GDP比例来看,比较纵向过去时间,及横向US&JP,中国房地产市场并未供应过剩。
我们还可以从另外一个角度的话来观察同样的数据,那么在这个数据上的话,我们计算的是房屋的价格弹性,新房的价格弹性。什么叫新房的价格弹性?我们知道在过去十四五年的时间里边,房地产市场经历了好几轮周期,经历了五轮周期。我们计算和比较了梅龙的房地产的下降过程,我们计算和比较了每一轮的房地产市场的下降过程,所谓的价格弹性是这样来计算的。
$$\epsilon = \frac{\Delta (每一轮周期70城房价格 P) 顶部 – 底部}{\Delta (商品房销售量 Q) 顶部 – 底部}$$
该比例小,说明他的倒数大 =\frac{\Delta Q}{\Delta P}。价格变化会量变化的影响。
首先我们来计算在房地产市场的下降过程之中,从顶部到底部交易量的下降,我们同时计算从顶部到底部新房价格的下降,然后我们把价格的下降与交易量的下降,计算一个比值,计算一个百分比的比值就得到一个弹性。
那么这些弹性我们认为它的含义在哪里?我们认为这一弹性的含义就像我们在这里所能看到的一样,我们已经知道2013年房地产投资占GDP的比重是最高的,我们所估算的房地产的存货也是最多的,但是2013年在价格下跌过程之中,这一弹性也是最大的。
价格的弹性,在一定程度上代表了市场的供应压力,代表了供应曲线的斜率,代表了市场上的供应压力。在2013年,我们知道各方面的供应压力都是最大的,但是在2013年的时候,新房的向下的价格弹性也是最大的。
以此来对比,在2021年以来的这轮房地产价格的下跌过程之中,尽管交易量的下跌是比较惊人的,交易量的下跌我刚才讲有疫情所带来的影响,疫情的话使得大家带来了很多心理的疤痕,也有的话房地产市场自身调整的影响,所以房地产市场的一个交易量的下降是很大的。
但是从弹性的角度来看,在2021年以来的这一轮房地产市场调整过程之中,它的弹性是过去15年之中最小的。现在的弹性比2017年小,比2009年小,比2007年内容的话也要更小。在价格层面上更小的弹性,我们认为也支持这种看法,就是市场上的供应过剩的压力,至少在新房市场上并不可能显著,市场上没有显著的供应过剩的压力,显示它与一般的房地产泡沫破灭相比,具有一些显著不一样的特征。
我们可以继续计算在二手房市场上的价格弹性,那么相对比较一样的特征是2013年在新房市场上有巨大的价格压力,价格弹性很大,在二手房市场上,2013年的时候,价格压力也很大,价格弹性也很大。
但是从弹性的角度来看,在2021年以来的这一轮房地产市场调整过程之中,它的弹性是过去15年之中最小的。现在的弹性比2017年小,比2009年小,比2007年内容的话也要更小。在价格层面上更小的弹性,我们认为也支持这种看法,就是市场上的供应过剩的压力,至少在新房市场上并不可能显著,市场上没有显著的供应过剩的压力,显示它与一般的房地产泡沫破灭相比,具有一些显著不一样的特征。
我们可以继续计算在二手房市场上的价格弹性,那么相对比较一样的特征是2013年在新房市场上有巨大的价格压力,价格弹性很大,在二手房市场上,2013年的时候,价格压力也很大,价格弹性也很大。
那么从二手房市场的价格弹性相比,今年以来的价格下跌的压力要更大一些,但是显著的低于2013年的水平,也许接近或者是略低于2007年的水平,比2017年的水平略高一些。换句话来讲,看起来新房市场的所承受的价格压力,供应压力比新房比二手房市场相对于新房市场的话看起来要略大一些。
一个额外的解释的话,也许是一部分的住户面对疫情,对于生意对资产负债表所带来的冲击,就像减持股票一样,被迫减持多余的房地产,从而在房地产市场上,除了相对新化市场造成了一些额外的压力,但是这些压力相对2013年相比并不突出,跟2007年的水平相比,也许差不多,放在历史上来看的话,也许就处在中位数附近的水平。
结论
那么做完这些比较,我们想做的结论是什么?尽管不少舆论认为2022年中国经历了房地产泡沫的破灭,这一破灭的话,对未来几年的经济增长都会形成持续的负面影响。但是我们从这些数据想得到的结论是,2022年中国房地产市场经历的应该不是一次泡沫的破灭,至少它不是一次典型的泡沫的破灭。
实际上的话我们倾向于认为房地产市场2022年的房地产市场经受了两个因素的打击,而不是一个泡沫的破灭。
一个因素的话就是持续的疫情形成了疤痕效应,疤痕效应使得住户不敢买房,同时还在一定程度上去减持房地产市场的持有,在需求端造成了压力。
另外一方面,在2016年以后,房地产行业逐步开始流行所谓的高周转模式,高周转模式作为一种商业模式,具有巨大的内在脆弱性。高中的模式对于本质上是一种高杠杆模式,对于连续的融资,对于顺畅的融资,对债务工具的依赖非常的强烈。
所以但是由于这样或者是那样的原因,在2016年以后,房地产行业开始流行高周转模式,高周转的模式作为一种商业模式,具有巨大的内在脆弱性,那么高周转模式的内在脆弱性,由于房地产调控等原因的话被充分的暴露出来,迫使整个行业需要转变,自己的商业模式需要大幅度的修正。
而房地产行业在修正、在放弃高周转模式的过程之中,又遭遇了疫情的疤痕效应,在需求端所造成的冲击。
在这两种因素的条件下的话,我们我们认为的话在很大程度上回应了2022的话,房地产行业的状态销售非常的低,然后开工非常的低,投资大幅度的下降,然后全行业的话面临着相当普遍的不断蔓延的,在前一段时间以前比较普遍的不断蔓延的一个违约的压力。所以我们认为它不是一个由供应的过剩所推动的典型的房地产泡沫和泡沫的破灭,而是一个房地产行业经历了由于高周转的模式的内在脆弱性所带来的流动性危机。
这些流动性危机由于疤痕效应在房地产市场上的影响进一步加剧,那么我们看到最近一段时间以来的话,政府对房地产行业采取了非常强有力的一个扶持政策,对于一些大型的头部房企来讲,流动性压力出现了一些明显的缓解。
但是就像我们第一部分曾经讨论的那样,疤痕的消退,财务的疤痕、心理的疤痕、疤痕的消退需要时间,意味着在需求端的房地产市场的需求的恢复需要较长时间,不会很快就出现微型的反弹。政府看起来也没有刺激房地产需求的愿望,在政治上的这种做法也很难受到欢迎,同时疤痕效应的持续存在,也使得民众很难迅速的去增加房地产市场的风险暴露。另外从高周转模式转换到更可持续的制造模式,也是需要较长时间。
尽管流动性危机在行业层面上正在经历明显的缓解,头部企业的流动性的状况有明显的改善,但是房地产行业从高周转模式,顺利的转换到实际上我个人认为是制造模式,也需要较长的时间,这意味着的话我们现在所看到的政策以及市场的调整,意味着房地产行业转入了一个有序的供应端的出清,房地产行业正在转入一个有序的供应端的出清,但是行业迅速经历需求的强劲和持续的恢复,房地产投资迅速经历非常强劲的上升,房地产新的商业模式迅速到位,可能在短期之内都不是特别的现实。
看得更长一些,我们这部分讨论的话所面临的比较大的问题是,由于房地产行业正在经历一个有序的供应端的出清,由于过去几年新开工,总体上处在相当低的水平,从宏观上的房地产投资占比,以及我们所估算的行业的存货压力来看,即使在现在房地产行业的意愿存货水平都处在偏低的水平,但是这一偏低的状态在未来无疑的话会继续维持,甚至会进一步强化。那么这些因素合并的结果是在较为长期的将来,房地产疤痕效应消除,房地产行业的商业模式转换完成以后,在市场的需求开始正常化以后,在一段时间里边也许会面临着市场供应不足的压力,而市场供应不足的压力在很多层面上,包括对房价等等的都会产生一定的不利的影响。
如果我们回顾2016年的三去一降一补之中的去产能,对很多的产能过剩行业所采取的强有力的去产能措施,我们就会知道当时的去产能措施在一段时间以后的话,都产生了这些行业价格非常强有力的上升。而且这些上升事后被证明的话是可维持的,因为很多被去除的供应再也没法回来了,相对去适应一个供求偏紧的局面,很多行业的产品价格经历了很大的上升,它的一个价格波动的中枢都上升到相对以前的更高一点的水平。
那么在中国的房地产市场来讲,我们刚才讲现在的房地产市场在过去几年并没有经历供应过剩的积累,相反从很多的数据上来看,供应是偏少的,但是在现在的市场条件下,无论是民众的疤痕效应,还是房地产企业的一个创业模式的调整,都意味着这个市场仍然处在一个相对非常弱的状态。但是这个市场未来总会正常化的,疤痕效应加以较长的时间总会消除的,然后房地产市场供给侧的出清也会逐步有序的完成,然后在那个时候房地产市场会是什么样的状态,也许站在现在我们都要提前的有所考虑。
- Key Takeaway:
- 1. 从 房地产投资占GDP的比重看,中国房地产并严重供给过于需求。
- 2. 从 新房和二手房弹性看,可以得出类似的结果,供给可能并没有远高于需求。基于以上,房地产市场可能并不存在泡沫。
- 3. 但是基于 二手房弹性的数据看,疫情的确给households的资产负债表带来重创。一个假设是:asset price decrease, but debts keep the same。于是households必须要卖房以补充equity。因此,疤痕效应随之而来。
- 4. 2022年房地产市场衰落可能并不是因为泡沫。而是一下可能的两个原因:1. 疤痕效应。2. 房地产企业高周转的经营模式及其脆弱,在疫情带来需求减少且违约增加的情况下崩溃。房地产低迷是因为模式脆弱导致的流动性危机,而不是供给过剩带来的泡沫破灭。
- 5. 房地产行业因此需要经历一个 由高周转模式 – 生产制造模式的调整,需要很长时间。且疤痕效应消退需要很长时间。但是,当以上问题被消化的过程结束时,可能会有供给小于需求。(类比2016年三去一降一补,去产能的过程)。
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