event study: t+1显著正，t+0及其他后续不显著
导致政策实施到落地存在距离，可能会有与预期的差距
且并非所有政策都有明确指向性，可能有偶然性等
财政对疫情的支持率先退出。大概半年后fed退出支持，转而紧缩
目前fed预期控制inflation，但是此时us经济尚好，若us经济周期步入减弱周期，fed压力会加大。因此fed预期要在recession来临之前尽快加息控制inflation。5、6、7三个月连续50bp加息后，预期fed会判断是否继续加息。
欧洲央行：taper结束后预期也会加息，效仿fed节奏。
US商品预期增长（原油120以上）
De-Globalisation趋势形成。国际社会对我国的影响将会越来越弱。
purely基于历史数据：万得全A 跌至 M2的1/563
万得全A代表A股加权平均，M2代表市场流动性
首先分享下我对全球长期国债利率、各国汇率、主要权益市场指数的观察，并重点分析我国金融市场在过去几个月的表现。
近期美元一篮子指数大幅上升，美国十年期国债利率一度突破3%，涨幅非常大，在此背景下，德国、法国、意大利十年期国债利率也显著上升。其中意大利涨幅最大，其次是法国，德国也从负利率上行到接近1%的利率水平。日本目前基本没有通货膨胀压力，央行货币政策也没有紧缩的苗头或倾向，但日本十年期国债利率上升幅度超过20BP，从零利率或负利率上涨到0.25%-0.3%的利率水平。相应地，欧元对美元明显贬值，但日元对美元贬值的幅度显著更大。
从全球主要市场来看，欧洲、日本的经济周期与美国很不同步，特别是日本与美国经济周期的差别更大。同时，日元的自由浮动和大幅贬值也给本国金融市场提供了缓冲和保护，尽管日本央行对长期国债利率也做出了强有力的承诺，但日本长期国债利率仍上升了20-30BP。
回到中国，近期人民币对美元汇率从6.3左右开始贬值，最低点甚至接近6.8，应该说也出现了短时间较为剧烈的贬值。考虑到中美经济周期和货币政策取向的差异，这并不意外。但值得注意的是，近期中国长期国债利率大体稳定，中短端利率，包括七天回购利率、一年期国债利率的下行趋势则非常明显。需要进一步考虑的因素是地缘政治风险导致资本从中国债券市场流出的冲击。俄乌冲突后的一段时间内，中国债券市场出现了一定程度的外资净流出现象。在其他因素不变的条件下，这无疑倾向于抬高中国的利率水平。换句话说，如果没有俄乌冲突，尽管发生了美联储加息和人民币贬值，中国债券市场利率的下行应该更明显。
从全球来看，人民币贬值在一定程度上受到美联储加息的影响。但从国债利率走向来看，相比日本、德国、法国和意大利，中国国债利率的变化与自身经济变化的联系可能更加紧密。
对此，一个重要的解释是，中国金融市场开放度还不太高，再加上人民币汇率自由浮动所提供的保护，货币政策具有较强的自主性，因此在全球主要市场利率上行时，人民币国债利率不仅没有随美元利率上升，而且短端利率还出现明显下沉。
这也进一步反映出，本轮人民币贬值在一定程度上反映着中国经济景气下行的影响。
其次是对疫情下储蓄率变化及储蓄流向的观察。
2020年和2022年两次疫情均带来居民储蓄率的大幅上升。其中一部分来自非意愿储蓄的上升，因为疫情会阻碍消费；另一部分则来自预防性储蓄的上升，这体现出居民对不确定性的担忧。
2020年居民部门户调储蓄率上升最高一度达到5%-6%，2022年这一数值迄今可能接近3%。值得关注的是，储蓄率上升后，多余的储蓄资金会流向何处？
2020年疫情暴发，市场经历了一个月的短暂恐慌后，储蓄主要流向了股票和房地产市场，直接结果就是股票在短暂下跌后，快速、大幅地上升；房地产市场也出现购销两旺的局面，房价显著上升。
迄今为止，本轮疫情下的储蓄似乎有三个主要流向：一是储蓄存款，表现为M2的快速上涨。二是固定收益和固定收益+市场。因此，近期在基本面没有明显变化的情况下，信用利差开始缩小，信用债涨幅较好，各等级市场的信用风险溢价都在下行。三是减少负债。居民部门将储蓄用于削减自身负债，通过提前偿还、加大住房贷款偿还量等方式，降低自身杠杆。
这种情况与2020年形成了鲜明对比，反映出居民对就业安全和未来收入的信心出现动摇。
最后是对中国权益市场的观察。
从全球权益市场指数来看，目前纳斯达克指数跌幅超过30%，标普指数跌幅超过20%，中国创业板、沪深300指数的跌幅与之相比大体接近。但是如果把中国股票市场放在自身历史和全球金融市场的大背景下，有两个问题十分突出。
第一，中国股市在货币政策和流动性没有明显收紧的背景下，股指下跌幅度较显著，这在过去20多年的历史中尚属首次。第二，从全球市场来看，中国股指跌幅比日股、欧股更大。但美日欧显然都受到联储货币紧缩的影响，其债券市场也在下跌。而中国的债券市场则不然，市场的下跌有更深层次的原因。
实际上，从2月份开始我们都已经知道，用自由现金流贴现法的分析框架来观察，中国股市下跌的原因并非来自模型的分母端，即利率等因素，也不是来自于对短期盈利变化的担忧，尽管这有一些影响。市场的主要担忧来自于分子端，对长期现金流增长的可得性和确定性的预期转弱。
一个可能的解释是，经过连续几年的上涨，市场部分板块估值过高，透支了未来的盈利增长，在没有明显诱因的条件下，股价由于自身重力的作用在某个时刻下跌。一个竞争性的解释是，由于宏观政策和监管环境的变化，部分行业未来的可见度下降，增长潜力和确定性都出现新的变数。我们相信这两种解释可能并行不悖，后一因素的解释对市场总体上来说也许更重要一些。
立足底线思维警惕金融市场出现“完美
在此背景下，对当前形势做两点研判。
第一，3月中旬到4月底，面对内外错综复杂的经济金融形势，决策层释放了了一系列强有力的政策信号，具体政策层面也开始出现调整迹象。从交易的角度来看，市场似乎正在稳定下来。市场稳定的含义指的是，市场也许已完全吸收、甚至过度吸收了上述负面影响因素；与此同时，市场正试探性地对政府正在采取的积极政策进行评估和定价。
也就是说，至少从股票市场来看，市场正边际好转，并正在尝试消化吸收正向因素。不过，政策的落地情况等仍然牵制着市场的方向，也需要警惕出现预期外的因素导致市场可能再次剧烈调整。
第二，立足于底线思维来考虑：由于中外周期走向的背离，在极端情况下，一方面美元快速升值使得人民币承压；另一方面，经济下行或许会导致国内出现超预期的风险暴露，引发资本外流。如果这两种情况同时发生，可能会导致股债汇全面下跌，相互激荡，并进一步传染到信贷和房地产市场，从而形成“完美风暴”。这种可能性尽管不高，但无疑值得警惕。
原作者：高善文
Debts Were Raised in the Crisis but were unable to be ended after. The CB, thus, print money to repay those debts.
Eight Factors are used to evaluate the movement of dominant countries: Education Innovation and Tech, Competitiveness, Output, Trade, Military, and Monetary.
中国需要管理跨境资本流动以避免风险 & 同时要担忧金融制裁，所以加速数字货币，放在被进行贸易制裁。
林毅夫 – 新结构经济学：新兴经济市场 – 后入者优势（copy paste），而previous dominant需要持续发展创新以维护it’s dominant place。Or battle through the other way, such as the military. 中国需要保持：1. 开放的态度 <– 作为全球化的推动者 （继续保持8%左右的增长，占全球GDP增长量的1/4，助力全球经济的发展）中国的增长会是其他（非美国）国家的机会；2. 动态的经济发展、避免战争风险希望历史进程以和平的方式推进，但是参考历史，战争的风险很大。
刘世锦：1. 绿色转型 <– 换技术； 2. 应对气候变化的压力 <– 对创新的需求。如对新能源汽车的需求远远超预期。；3. 创新使应对气候变化的成本大幅下降；4. 气候变化带来的技术与数字化转型紧密相关，传统经济与数字经济并行的局面已经出现。重心需要向绿色技术倾斜，由世界各国公认的目标需求而导向。
余永定：货币政策，+储备货币。布雷顿森林体系瓦解后，美元依旧保持信用，。而现今，美元的地位由需求带来。我国目前有3.3万亿美元外汇储备，而外汇储备收益率极低，且有大多是借来的而非由贸易顺差创造的，此部分成本极高。我国海外资产结构存在结构性问题（成本高收益低），尽管在当前如俄乌战争时分散海外资产投资亦有风险，但是将海外投资转移向如阿美股权投资等方式更加有效。 目前政策需求下，1. 长期保持贸易顺差未必好，因为国内内循环中缺少内需。2. 考虑取消为鼓励出口执行的退税政策。3. 考虑增加战略物资储备。4. 不再购买美国国债，而是转为购买美国产品import。5. 考虑贸易逆差用掉多余的外汇储备。6. 坚持浮动汇率制度，减少干预。7. 维持必要的资本管制，抑制热钱流入和资本外逃。8. 增加海外投资（将贸易顺差转为海外投资）。9. 在海外投资中小心陷阱，维持国际收支平衡。
李稻葵：以人均寿命为测度，谈疫情控制。消费下降1%，人均寿命减少10天，不抗疫人均寿命减少10天。无其他有效内容。
Q&A：
Q: 中国如何能不重蹈日本的覆辙？
林：判断国家发展时，要有怎样的标准。日本56年人均在美国20%左右，维持9%增长。95年GDP达美国70%，人均已经超过美国，相当于平均劳动生产率比美国还高。此时，追求发展，需要自己创新以继续带动经济发展，难。故自此95年后，gdp增长仅2%。此后夹杂 crisis+人口结构问题，日本发展进入停止。而我国目前人均gdp仅达美国20%水平，同时潜在增长率（林的衡量指标）有很大空间。如何避免日本道路：避免人口老龄化，技术创新产业升级 => 带来足够的潜在增长率。
Q: 俄乌冲突+绿色转型=》能源安全危机。我国如何平衡能源安全问题与绿色转型的需求？
刘：对未来做合理规划，加快绿色转型（当技术成型后即不会影响增长，反而会加快，仅在前期会小幅度阻碍增长）。
Q: 人民币成为国际货币的过程中需要资本账户自由开放。我国何时能做好这个准备？
余：学者对于资本账户开发的定义不一，需要具体问题具体分析。余的观点，需要保守，暂时不开放（回想2years till now, 如果已开放，我国面对pandemic会有更大的风险）。但是原则上讲，在向开放的方式进发。
The Fed increase the federal fund rate and resulting in an increase in the nominal interest rate in the U.S. market. The U.S. dollar becomes more and more attractive to global investors due to mainly two reasons. One is that the U.S. dollar behaves as the safety currency (detailed reasonings are shown in the previous posts), and the other is that the increase in the interest rate attracts money from other countries to be invested in the U.S. market.
U.S. dollar gets appreciated for the above two reasons, and thus the U.S. faces an increase in trade deficits. For the aggregate U.S. market, imports are way more than exports. However, those extra imports are clearly paid through the U.S. dollar or exchanged with other currencies (but shared with the same logic as paid with USD). And that extra amount of US dollar is from the helicopter drops and QE of the Fed. That means the extra US dollars back with nothing, but are used to purchase/import assets from other countries. Right! it do not need to be backed by other in the current economy (Also, MMT advocates even crazy).
I am telling that those facts are equivalent to that the U.S. is getting net imports from other countries for free. Also, the U.S. is sending its “worthless” extra currency to others, exchanging goods and services. Productions are not working in a good way for those exporting countries in the battle with the pandemic.
Due to the fact that the US dollar is the safest currency, the extra printed amount is absorbed by other countries that get net exports to the U.S. Those other countries export goods and services and import back inflation. There are also countries that conduct QE in a similar rhythm to the U.S. would face even higher inflation intuitively, because the US dollar is the safest one and the only one linked with crude oil and commonly accepted in commodities trading but other countries’ currencies are not.
Fed放水，释放美元供给，按quantity theory of money的说法：people hoard money instead of spending them。但是现实中， hyperinflation comes later than the theory tells。原因可以部分可以参考MMT。同时美元作为 1. 最safest的货币，且 2. 与石油挂钩，并未大宗商品交易的主要媒介，仍然有很大的需求。导致虽然市场上美元供给增加了，但是因为紧张的国际关系、俄乌战争、de-globalisation、pandemic的影响，以及上述两条原因，市场上对美元仍有大量需求，导致inflation没有立刻到来。
但是，大量printed US dollar实际上并没有real goods\ productions or services的支持，很多出口商品的他国公司获得美元（or other currencies, but similar as holding USD）交付（美国import，其他国家export），这里的美元只能用来交易且为extra美元。相当于是Fed pays nothing印的钱，买了real goods。这些出口国家失去了商品、产能、and factors，得到了USD，相当于得到了nothing but inflation，由美国extra money printed 带来的 inflation。
同时一些国家与美国同步QE印钱，执行类似的monetary policy降息，为了保证foreign exchange相对稳定。但是这些国家的货币并非如同USD一样highly demanded。所以这些国家的货币难以与美元继续peg，脱钩后会引入even higher inflation。
Implications：自主货币政策（而非peg）的重要性；外汇储备以应对紧急 外汇、国际经济（如利差倒挂）情况的重要性；以及外汇市场中globalisation情况变化下的monetary policy的重要性。
The Merrill Lynch Investment Clocks describe a framework for understanding the business cycle.
The Merrill Lynch clock separates the business cycle into four phases. Each phase is comprised of the direction of growth and inflation relative to their trends.
After stagflation, people are frustrated and have low confidence in investing.
Both the GDP growth and inflation are falling or lower than the trend. The stocks are suffering in a bear market but bonds suppose to be the most welcomed asset because of the generous monetary and fiscal support from governments and central banks (bail-out, cutting rates, and stimulus programs).
Jan 2020 till Apr 2020, the pandemic flowed globally. Governments of each country conducted policies of lockdowns. The economy was blocked, and the unemployment rate increased. A recession began globally.
Investors’ confidence has built up / recovered.
Growth starts to back on track while inflation still remains low. Stocks regain attraction with very attractive valuation and improving earnings. It is, of course, the most favorable asset at this stage.
From May 2020 to Feb 2021, the Central Banks and Fiscal Divisions of each country placed monetary policies and fiscal policies, aiming to boost the economy. A huge amount of money was pooled into the market. QE and Helicopter Drops were conducted and resulted in an increase of M2, about 10% in the European market, and 25.7% in the U.S. Meanwhile, the interest rate hit the floor. Banks with extra money reserves holding started to actively search for clients with the demand for money.
The good thing is money went to the market and smoothed the economy. The recession gets reversed a little bit. However, bad things happened at the same time that (1). individuals and firms held extra money. That fact raised people’s expectation of inflation, and thus invested their extra holding of money into stock markets, pushing an increase in the index; (2). Firms with not good financial and operating conditions were also granted credits and debts. Potential default probabilities increased.
Growth reaches its peak and slows down and inflation is rising. (does it sound familiar if you follow these days’ headlines?) Both stocks and bonds won’t perform well, but betting on commodities will be a proliferating and profitable strategy.
The economy got overheated, and the economy was still speedily moving until reaching a peak. After achieving the top, growth got slower.
The expected inflation in the recovery stage transferred to a true increase in inflation with high CPI. Investors started to be unconfident and started to pursue safety assets, which are necessities such as commodities (metals and crude oil).
Inflation is way out of control and that severely hurts consumer confidence. Central banks are forced to hike rates, and stocks, as one of the leading indicators of the economy, have already fallen. However, this stage of the cycle doesn’t happen that often in the last few decades, thanks to Fed’s “remarkable” economic interference policy, which is to print out enormous money to stimulate the economy meanwhile artificially setting interest rates low to control the inflation (however we just don’t know how long it could last). Flying to safety assets, cash is the best choice given the circumstance.
https://medium.com/@richardhwlin/how-does-investment-clock-work-c7d8fbbeb7bd
自微观至宏观的结构。微观层面，公司的资产价值增长或公司的利润增长，而某行业内多个公司总值或均值的增长带来了行业的增长。同理，行业引申至宏观经济体。本质上是weighted average，而意识上是 多个个体增长 带来整体 增长。逻辑简单。
同时，在经济扩张阶段，企业对loanable fund的需求增加反映在财务上往往是负债增加。企业若需继续扩展则 负债增加带来的风险 需要被 企业增长的预期带来的预期收益冲抵，因为如此，理性投资者才原因承担更高的风险。
P.S. Considering the interest rate and saving, lower real interest rates motivate individuals to consume more and save less. Greater consumption enhances capital/money transferring in the whole economy. We may say that a lower interest rate can not just stimulate the economy in a positive way through increase the desire for investment and consumption, but also smooth the economy by pooling liquidity into the market.
假设两个经济体，A和C。C的经济增长快，市场中对goods, services, factors, labours等各方面的需求高，同时对money的需求高。对 money 的高需求，带来了高成本 – higher interest rate。而A增长相对少，甚至Central Bank需要主动采取措施给降低interest rate来降低loanable fund 的成本，刺激需求。
基于以上大背景。A市场中利率水平低，C市场中利率水平高。
Under Globalization, money flows across countries with low fees and less regulation. Without considering others, money would flow into the market with a higher interest rate, pursuing higher returns. However, sovereign risks, frictions, regulations, etc, would block that path.
在全球化的大背景下，如果假设低fees低监管等限制，money会流入高收益的市场。但是现实中往往并非如此，因为投资者会考虑其他因素，如地缘风险，政策变化等等。
继续之前的例子， C国利率高，money流入C国，对于C国currency的需求大，currency appreciates。C国货币升值后，A国再进口C国商品物料或投资的成本变高。对C国货币的需求又会相对减少。Overall, a Dynamic Equilibrium occurred.
当然，以上为理想情况。现实中USD起到全球主要流通外汇的左右，尤其特殊的意义。且经济情况今非昔比。市场或宏观经济体面临不同的环境：如De-globalisation;
https://mp.weixin.qq.com/s/sInT_p-p9ewRYEbt8MMtmg
The story began in the third quarter of 2012 when the Japanese Yen depreciated until the beginning of 2013 as the rising Blue curve shows.
As we all know, Japan has been getting into a negative interest era for a long time, partially because the terrible economic condition makes its government have to raise debts (I haven’t studied the Japanese problem. Once do that, I will update it.).
Since 2008 when the US saved the market through QE, the Japanese CB chose to conduct a similar monetary policy to boost its domestic market after Aben won the presidency.
Intuitively, Abenconomics applied QE would result in an excess supply of the Japanese Yen. Unlike the US dollar that backed with the Oil price, the excess money supply of the Japanese Yen would make it depreciate. Soros estimated that opportunity and shorted the Yen, and meanwhile took a long position of Nikkei stocks and bonds in the Japan Market.
QE would result in an extra money supply as we all know, investors who get that extra money would try to invest that money into the financial market, both the stock market and the debt market. As we can find that stock market increased with the depreciation of the Japanese Yen. Soros won the gamble.
However, there is a Winner and there must be a loser, which is the Japanese Central Bank. The failure of the monetary policy of the Japanese CB made worse its domestic economic condition.
In the current world, the CB of each country has to rigorously implement its monetary policy. QE might not be an ideal way to stimulate the market, because not every currency has the ability, like the US dollar, to back up with commodities and oil prices. Also, countries especially those that are in the EU are facing a conflict of interest in conducting monetary policy.
Let’s see from the figure. During the crisis, Fred conduct QE, pooling money into the market, and reduce the federal fund rate, trying to activate the market. As in the shaded area, which represents the crisis period, the green line jumps with the dropping of the blue line.
In the last post, US Dollar & Commodity Price, I discussed the fact that increasing the interest rate in the U.S. market would result in appreciation of the US dollar because the US dollar would be more attractive for investors. Meanwhile, in the crisis especially, unsafety concerns and greater demand for necessitates such as commodities and energy (oil), would also increase the demand for US dollar, as they are traded by US dollar, and thus result in appreciation of US dollar. The conflicts emerge during the crisis period, the shaded area, that Fred reduced the federal rate to activate the market, but the US dollar index increased instead. It seems the demand for necessities dominates the effects of decreasing the federal rate in the crisis.
$$ Federal Rate \downarrow \Rightarrow US Investment \downarrow \Rightarrow US Dollar Index \downarrow $$
$$ Crisis \Rightarrow Uncertainty + Demand for Commodity \& Energy \uparrow \Rightarrow Demand for US Dollar \uparrow \Rightarrow US Dollar Index \uparrow$$
In the crisis, demand for necessities pushes up the demand for the US dollar and thus lifts the US dollar index. However, those two indices work in the same way (positive correlated) in the non-crisis period.
I would use the Wilshirefred 5000 index as the stock market index as it is available in a longer period range in FRED.
While including the stock market index, it seems the stock market grows at a similar path to M2. Although no data is presented about the GDP, it is easy to imagine that the stock market would grow on the same path as the GDP as well. A spurious relationship exists clearly.
Could we explain the growth of the stock market cap as people hold more money and invest in stocks? Maybe right or wrong.
The Figure below shows the nearly random walk of the stock market growth. Presumably, if draw a histogram of the stock market return, it would most likely to be normally distributed and the mean might be positive because the market cap keeps growing (extreme value affects).
The line chart below shows the relationship between US Dollar Index and Commodity Price Index.
The dynamic macroeconomic condition of the world drives me to find the correlations among some macroeconomic indices.
The tight relationship between Russia and Ukraine (and NATO) and the pandemic drive energy price such as crude oil and gas keep increasing. On one hand, I may consider the rising energy price as mainly a supply-side problem. Although European countries conduct sanctions on Russia, they still have relative rigid demand for gas and crude oil from Russia. The lack of energy from the EU pushes the oil price to rise as the Green Line shows in the Figure below. On the other hand, the tight Global relationships between huge parties such as Russia, US, the EU, and China enhance the needs of necessities. Therefore, the prices of commodities and oil, which are necessities not only for the downstream consumers but also for industries, increase as expected.
Those facts that positive correlation of commodity price, energy price, and crude oil price can be found in the Figure below.
As the US dollar is internationally admitted and exchanged currency, commodities and crude oils are priced by it (the US Dollar).
As shown in the Figure below, there seems a negative correlation between the US dollar index and the Commodity index.
One explanation of that negative relationship is that the value or the intrinsic value of a commodity is the same either priced by the US dollar or price by the British pound. Therefore, if the US dollar depreciates, then people should spend more US dollars to buy the same certain quantity of commodities. Similar logic could be found in crude oil prices.
There could be other explanations or other factors that could be taken into consideration. Under the current world condition that de-globalisation and uncertainty emerge, people would hold more safe assets. Thus, commodities and old, which are necessities, and gold, which is a generally accepted symbol of value, become the top safety consideration for people (investors and firms may have greater demand for commodities and energy, and normal people may get access to gold and have more demand for gold). Finally, the price of them increases.
However, there raises a question I haven’t yet spent time on studying it.
If the US dollar appreciates, then the price of commodity should decrease as I just introduced. Then, there might be more demand for commodities and oil as the price is getting low (you may say the low price is due to the appreciation of the US dollar. you are right maybe, but that cannot convince me), at least in the U.S. market. As the transaction is made with the US dollar, the more demand for commodities and oils means more demand for the US dollar, therefore US dollar should keep appreicating. Is that right? If it is, then there won’t be a convergence and won’t have an equilibrium, instead, the appreciation of the US dollar would be magnified. The reverse situation would happen if the US dollar depreciates.
The Fred commission announced to increase the interest rate, in order to face the hyper-inflation resulting from its previous quantitative easing. Increasing interest rate means the US market would be more attractive to Global investors, so an increase in demand for the US dollar drives the US dollar to appreciate. The commodity price logically should go down. However, that divergence does not come out as we can find in the figure since the tight relationship between Russia and Ukraine happened.
Why the empirical finding contradicts with our logical indication?
Is that a result of the safety consideration (that people worry about the war and start to hold necessities) we just mentioned? If it is, then how can we split that part of the effect and show the negative correlation between the US dollar and commodity price. If not, then what factors contribute to the conflict? Is that due to the reason I discussed above? or there are any other factors (of course there are, but I neglect them because they have relatively small effects) cause that phenomenon?
In the second figure, the crisis happened in 2008 and 2019-now, as shown in the shaded period. In the crisis, the commodity price seems a leading index of the US dollar. The commodity reflects prior to the other economic factors, as demanders of the commodity, production firms, need to avoid fluctuations of prices. So they make hedging transactions earlier and predict the commodity price so that they can apply to their production process smoothly.