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巴克莱:资金外流创纪录 中国家底还能撑多久?(中英对照)

我要收藏 2015-09-29 20:44 阅读(10803) 来源:港股那点事


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巴克莱:资金外流创纪录 中国家底还能撑多久?

China's "Reverse QE" Could Top$1.2 Trillion, Barclays Says

Submitted by Tyler Durden on09/21/2015

编者按:这篇文章读起来会很拗口,也不那么容易读懂——如果你的金融知识没有那么扎实的话。之所以还是强烈推荐,是因为作为一个独立旁观者,巴克莱分析和揭示了当前中国面临的最头疼的两难困境:人民币可能需要经历一轮更大规模贬值,这势必令资本外流进一步加剧,外汇储备进一步承受下行压力。同时,人民银行为了维持汇率而进行的每一轮干预措施都会吸走流动性,这意味着北京必须通过降准和释放流动性来抵消紧缩。但是,降准和注资就意味着宽松政策。这样,人民币将不得不承受更多压力,并进入恶性循环——这是一个异常艰难又非常严峻的问题。

Last week, we updated ourassessment of capital outflows in China, noting that based onavailable information, it appears that outflows may have surpassed $300 billionfrom early July through mid-September. That figure comes from our analysis ofJuly TIC data, Goldman’s assessment of underlying currency demand (comprised ofoutright spot plus freshly-entered forward contracts), and Nomura’s estimatesfor onshore spot intervention and offshore spot and forward meddling by thePBoC in September.

上周,我们对中国资本外流的评估做了更新,并指出根据现有资料,7月上旬到9月中旬,资金外流量已超过3000亿美元。这一数据来自我们对7月国际资本流动报告(TIC)数据、高盛对基础货币需求(包括现货市场和新发行的远期合约)、野村证券对人民银行九月干预措施的分析。

As we began to detail late last year whenfalling crude began to pressure the accumulated petrodollar reserves of theworld’s energy exporters, and as we and finally countless others have discussedin the wake of China’s shift to a new currency regime, FX reserve drawdownsserve to tighten global liquidity and work at cross purposes with DM QE. Thiscreates a dilemma for Fed policy as hiking rates could accelerate outflows fromemerging markets thus putting further pressure on already falling USD reserves.In other words, in today’s world, a 25 bps hike by the FOMC would be amplifiedand transformed into something much larger once it reverberates throughout theglobal financial system.

去年,石油价格下跌,对全球能源出口国的巨额石油美元储蓄造成压力。就像大家探讨的那样,在中国于8月中旬开启汇率改革之后,外汇储备大幅下降让全球流动性收紧,对发达国家量化宽松政策也造成不同程度影响。这种局面让美联储进退维谷,因为加息政策只会加速资本从新兴市场流出,并对已经出现下滑的美元储备造成进一步下行压力。换言之,基础利率哪怕只提高25个基点(0.25%),其效果都会被显著放大,并对全球金融系统形成震撼。

Assessing how large the cumulative outflowfrom China may end up being is important as it proxies for the expected drainon global liquidity (or at least part of the drain on global liquidity, as wemust also consider the possibility that net petrodollar exports turn deeplynegative in the face “lower for longer” crude). Previously, we suggested thatoutflows could eventually reach $1.1 trillion. That figure was derived from alook at BofAML’s assessment of the size of the RMB carry trade, which is nowunwinding.

弄清楚中国的最终累计资本外流规模有多大至关重要,因为它代表了外界对全球流动性干涸的预估(或者说它至少代表了外界对一部分全球流动性干涸的预估,因为我们不能排除在原油持续低迷的情况下,石油美元的净出口额会直接为负的可能)。此前,我们根据美林美银全球研究部对人民币套利交易的评估判断认为,中国的资本外流量可能达到1.1万亿美元

Needless to say, rampant speculation thatChina is targeting a much larger devaluation than that implied by the August 11“one and done” reset only serves to put more pressure on RMB, necessitatingstill more reserve drawdowns. Of course each round of interventionsucks liquidity out of the system which means Beijing must offset thetightening with RRR cuts and liquidity injections. But the very act of cuttingrates and injecting cash is perceived by the market as easing, which puts morepressure on the yuan and the vicious, self-feeding loop is perpetuated.

毋庸讳言,外界普遍认准人民币还会经历一轮更大规模贬值,远不止811日的一次性重设,这让外汇储备进一步承受下行压力。当然,每一轮干预措施都会吸走流动性,这意味着北京必须通过降准和释放流动性来抵消紧缩。但是,在市场看来,降准和注资就意味着宽松政策。因此,人民币不得不承受更多压力,并进入恶性循环

On Monday, we get a fresh take on all ofthe above courtesy of Barclays who says that before it’s all said and done,China’s FX reserves could take a hit on the order of $1.2 trillion.

巴克莱银行表示,中国的外汇储备水平可能会下降至1.2万亿美元

First, Barclays endeavors to explain whenthe adjustment will be sufficient for things to balance out or, alternatively,what will dictate the dynamics should the PBoC not allow for a deep enoughadjustment:

巴克莱银行的报告首先解释了调整什么时候才能达到均衡水平,或者说,如果中国人民银行不允许市场进行足够的深度调整,起决定性作用的因素又是什么:

An accurate picture of the scale ofcapital outflows along with new growth trend is crucial to understanding theextent of CNY depreciation needed and/or the sustainability of the marketinterventions/controls. Indeed, if policy makers are serious about having amarketdetermined exchange rate regime, the size of the real exchange rateadjustment will be enough at a point when capital outflows are largely financedby current account inflows or stable components of the capital account (FDI andportfolio outflows). On the flip side, if policy makers take a stepback from the recent moves towards flexibility, increase their marketinterventions and implement controls then the scale of capital outflows and thenew growth trend will determine the sustainability of such measures.

充分了解中国资本外流的规模,以及新的经济增长趋势,对理解人民币贬值以及市场干预/管制可持续性而言至关重要。如果政策制定者真心想让市场来决定汇率体系,当资本外流大多能被经常账户顺差或者资本账户(对外直接投资和证券投资)抵消,这种实际汇率的调整就足够了。另一面,如果政策制定者改变最近的政策灵活性,加强市场干预并实施资本管控,那么资本外流规模以及新的经济增长趋势的决定性因素,则是这种干预政策的可持续性。


图注:用世界银行剩余方法得出的非对外直接投资类资本外流估值

China’s slowdown coupled with the country’seconomic transition to a consumption and services led model has decreased theextent to which outflows can be covered by current account surpluses:

中国经济放缓,加之中国经济向消费和服务驱动型的发展模式转型,让资本外流的部分难以被经常账户顺差冲抵

Financing for capital outflows had beenrelatively straightforward when China was running very large current accountsurpluses. CA transactions fell below 8% in mid 2011 and have stayed low(around 5% of GDP including trade mis-invoicing) despite the increase incapital outflows.Weak global demand and competitiveness pressures as well asa push to rebalance growth away from exports to consumption have eroded the currentaccount surplus in recent years.

当中国经常账户存在显著顺差时,资本外流相对来说可以被直接对冲。尽管资本外流在加剧,经常账户占GDP水平仍然很低(约为5%,包括贸易进出口伪报),而2011年中期经常账户对GDP的占比便已低于8%。全球需求不振、竞争性压力,以及实现经济增长从出口依赖型向消费依赖型转变的再平衡压力,都让近年的经常账户赤字受到削弱。

And then there’s the infamous RMB carrytrade, discussed in these pages on countless occasions:

巴克莱银行的分析报告还提到了人民币套利交易:

China was able to offset capitaloutflows by increased borrowing from abroad, with total external debt standingat around USD1trn from different sources. We believe this borrowingcaptures a portion of the China carry trade – borrowing in USDs short term tofund RMB assets by onshore borrowers (corporates, banks and non bank financialentities). This increased borrowing was large enough such that China was ableto not only compensate for outflows but also to accumulate reserves during theperiod of 2011-2014. Both FDI inflows and portfolio flows are nowsmaller than international borrowings.

中国可以通过增加海外市场贷款来冲抵资本外流。现在,中国从外部不同渠道融通到的贷款已达到1万亿美元。我们认为,这部分贷款是中国套利交易的一部分——通过在岸债权人(企业、银行以及非银行金融机构)借短期美元,来投资人民币资产。这部分新增贷款规模很大,中国不仅可以用它来冲抵资本外流,还实现了2011年到2014年期间的外汇储备积累。而现在,不论是对外直接投资形式的资本流入,还是证券投资,都不如国际贷款的规模

Absent these inflows, China would havebeen running down reserves for the last few years. Most of this recentfinancing has come from the increase in cross border borrowing by the Chineseprivate sector. We estimate that these flows have soaked up close to 30% ofcapital outflows over the last 5 years from practically 0% in 2008.Additionally, that these flows are short term in nature, denominated mainly inUSDs and channelled to financial services and real estate sectors, adds toworries about their sustainability. About 75% of the current stock of roughlyUSD1.4trn of cross-border borrowing by the Chinese private borrowers has amaturity of less than one year.

如果没有这些资金流入,过去几年中,中国的外汇储备还会下降。近期的融资大多来自私人部门跨境贷款。我们估计,过去5年间,这些流入资金已接近达到外流资金的30%,而2008年的这一水平为0%。此外,这些资金本质上都是以美元计价为主的短期贷款,大多流向服务和房地产部门,并增加了对其可持续性的担忧。目前,通过中国私人部门债权人实现的跨境贷款规模达到1.4万亿美元,其中约75%的贷款期限不足一年


图注:外部贷款上升趋势与美联储宽松政策和美国低利率相吻合

Finally, here’s the “downside scenario”:

巴克莱银行还谈到了下行情景

According to our measures, non-FDIcapital outflows are 8-10% of GDP and the financing that may be availablethrough the current account is 5-6% (inclusive of the trade mis-invoicing). Thegap between the two is about 3-4% of GDP. This is assuming that outflows don'tfurther accelerate from current levels. Greater flexibility in the exchangerate will help reduce the China carry trade and increase the repayment ofinternational borrowings. Short-term debt as a percentage of GDP is runninghigher than historical averages at 4% of GDP and may decline from the current10% of GDP. This means an additional outflow of about 5% of GDP.

根据我们的测量,非对外直接投资资本外流占GDP8%10%,能通过经常账户得到的融资占GDP5%6%(包括贸易进出口伪报),二者相差约3%4%。这是在假定资本外流不会进一步加速的情况下。而汇率有更大灵活性可以帮助中国减少套利交易,增加国际贷款的赔付。短期贷款占GDP比重的历史水平为4%,而目前为10%且可能出现进一步下滑。这意味着还会有资本外流发生,约占GDP5%

Net FDI and portfolio flows currentlyadd up to 2.5% of GDP, but these may dry up or reverse in the event of aserious enough growth shock. Flat net FDI and a reversal of portfolio flowssimilar to what happened in 2007 implies an outflow of 2% of GDP.

目前,净外国直接投资和证券投资加起来占GDP2.5%。一旦经济增长遭遇大震荡,它们也可能出现干涸甚至逆转。这种情况可能类似2007年的状况,资本外流会占到GDP2%

The above numbers suggest that insuch a downside scenario there could be pressure on the central bank to provideabout 10-12% of GDP in reserves to the market to offset outflows as well ashedging demand (which could be met by intervening in forward markets). This isroughly USD1.0-1.2trn – that would be about 30% of its current reserveportfolio.

上述数字表明,在这种下行情景中,央行要为市场提供GDP的约10-12%,来冲抵资本外流以及对冲需求(可能通过在远期市场的干预实现),将面临很大压力。这大约是11.2万亿美元,相当于现有储备资产组合的约30%


And the puncline is this: "There wouldbe a liquidity tightening onshore as these reserves are sold ... which impliesthe central bank needs to provide a 500bp cut in the RRR to keep liquidityconditions."

巴克莱银行报告中最经典的一句话是:随着中国央行清算储备,在岸市场流动性会收紧。这意味着,央行要下调存款准备金率500个基点(5%)以保持流动性

This is nothing new and indeed we'vediscussed it exhaustively, but it's worth reiterating why it's so important.Clearly, a 500 bps cut to a policy rate amounts to massive easing. Of coursemassive easing is usually associated with a weaker currency. In short, China'sefforts to offset the devaluation pressure on the yuan necessitate outsizedpolicy rate cuts that only serve to... exert more pressure on the currency.

这并不是什么新东西,事实上,我们之前就对此做过讨论,但它的重要性却值得重申。显然,将政策利率下调500个基点,意味着大规模宽松。而大规模宽松又必然与货币贬值相关联。简言之,中国为了抵消人民币贬值压力大幅下调政策利率,而这又反过来对人民币贬值造成了更大压力

As we've noted previously, if China endsup liquidating $1.2 trillion in reserves, that would (in a vacuum) offset morethan 60% of QE3 and, based on the extant literature, put somewhere on the orderof 200 bps of upward pressure on 10Y yields.

正如我们前面提到的,如果中国最终损耗掉1.2万亿美元的外汇储备,这将抵消掉美联储第三轮量化宽松政策的60%以上的效果,并对10年期美国债券收益率造成200个基点的上行压力。

There are obviously any number ofmitigating factors here, not the least of which is that it now appears the Fedis destined to trigger flights to safety no matter what it does, which couldmean that USTs catch a bid from investors fleeing the sheer lunacy of centralbankers but then again, when dovish leans by central bankers no longer boostrisk assets we have a very serious problem, which means that in the end, if themarket is banking on jittery investors' collective safe haven bid to fill thevoid left by China's UST liquidation, then it is effectively saying that theonly thing that can save the world from China's massive reverse QE is thecomplete loss of central banker credibility.

这里显然有许多个缓冲因素,其中并非最不重要的是现在看起来美联储无论做什么,都注定要开启资产寻求避风港的航程。这可能意味着美国国债收到逃避精神错乱的央行的投资者的报价,然而之后,再一次的,当央行的鸽派倾向不再推高风险资产,我们有一个非常严重的问题,这意味着最终,如果市场寄希望于惶惶不安的投资者累积的避险报价来填补中国清算美国国债造成的真空,那么事实上唯一可以从中国的巨量反向QE中拯救世界的是央行信用的完全丧失

(本文译自ZeroHedge

格隆汇声明:格隆汇作为免费、开放、共享的海外投资研究交流平台,并未持有任何关联公司股票。转载本文,请务必注明来源“港股那点事”及作者。

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