美元走强对新兴市场意味着什么？

After a summer of trendless markets and exceptionally low volatility, the autumn has started with one very clear and strong theme: a stronger U.S. dollar (USD). Historically, such trends in the dollar have tended to create significant headwinds across emerging-market economies and assets.

However, in this post-global-financial-crisis world, we believe that care must be taken in drawing lessons from historical periods of dollar strength. The rate-hiking cycle in the U.S. may look quite different this time. Other large developed economies such as Europe and Japan may be easing as the U.S. tightens, providing some offsetting effects. And, most important, many emerging markets have transformed themselves in a number of important ways over the 15 years since the U.S. dollar last rallied, making themselves significantly less vulnerable this time around.

为什么美元再次强大？

年初市场预期美国收益率曲线长端将进一步走高，预计10年期国债收益率将远高于3%。相反，美国第一季度GDP增长出现了一个缺口，再加上强劲的技术需求和经济危机引发的避险情绪俄罗斯 - 乌克兰危机，推动美国产曲线更低。美元相当薄弱，特别是与emerging-market currencies而波动性减少，许多资产的交易量下降。市场变得自满。

A strong rebound in U.S. growth in the second quarter and continued improvement in the labor market meant that by late August, attention turned to the fact that market participants were anticipating slower hikes in U.S. interest rates than the Federal Reserve was projecting. As participants adjusted their expectations, short-term U.S. interest rates started to move up. This trend accelerated when the Fed revised its own estimates up quite sharply at its mid-September meeting (see chart 1). The changing differential between short-term U.S. interest rates and those elsewhere is a key driver of developed- and emerging-market currency movements, as well as dollar-denominated commodities.

Chart 1: Market pricing vs. Fed expected pace of rate hikes on day of September 2014 FOMC

我们认为，在2013年中期的美元实力和事件之间区分，差异很重要。At that time, long-term U.S. interest rates had moved to very low levels, and the “term premium” (the excess yield on long-term versus short-term bonds) that investors usually demand for the risk of holding longer-term bonds had turned negative (see chart 2). The subsequent rebound in the term premium caused the so-calledtaper tantrum, which hurt emerging markets because they are more sensitive to longer-term U.S. rates. Today the term premium is at more reasonable levels, suggesting less risk for emerging markets.

Chart 2: U.S. term premium (percent)- measure of long-term interest rate uncertainty

This is broad dollar strength, not just against EM currencies

Developed-market currencies and commodities tend to be more sensitive to short-term U.S. interest rate moves. The dollar index against G-10 currencies (DXY) rose 8.6 percent in the third quarter, whereas Brent crude has fallen 22 percent in dollar terms over the same period. Chart 3 shows the performance of the J.P. Morgan emerging-market FX index in euro and yen terms, in which emerging markets have posted gains over the past few months. Consequently, the risk of material outflows appears lower as many investors have not suffered losses. Further aggressive monetary policy easing from both the European Central Bank and the Bank of Japan appear quite possible in the first half of 2015. Such easing will not only ensure that outflow pressures remain limited from investors based in these currencies, but, more fundamentally, it also means that liquidity from these central banks may partially replace the gradual withdrawal of U.S. dollar funding, which has been ample for emerging markets over the past decade.

图3：J.P. Morgan EMFX指数与主要发达的市场外汇

值得注意的是，许多商品价格下降已超出秋季货币的下跌。图4显示了Brent原油价格在选定的新兴市场货币 - 国内消费者面临的价格。与2013年不同，价格落在所有新兴市场，帮助降低通货膨胀，并以当地货币债券提供相对稳定。在像土耳其这样的国家，其中需要进一步的货币折旧来调整仍然存在较大的当前账户赤字，中央银行可以允许这种情况而不会冒险国内价格。当然，商品价格下降对所有新兴市场都不好消息，可能对一些市场，例如尼日利亚和智利的影响，这是主要的商品生产商。

图4：布伦特原油以选定的新兴市场货币计价

Big picture: This is different from the USD cycles in the 1980s and 1990s

一些评论员在最近几周的事件和20世纪80年代初和20世纪90年代初期开始的多年美元牛市开始时绘制了相似之处，而1990年代初期，美国主要是世界上唯一的增长引擎。有理由认为即将到来的宿舍可能看不到这么强大的美元周期，当然没有对新兴市场的相同广泛的负面影响：

1.许多经济学家现在估计了每年不到2％的长期潜在的美国的增长率，这是我们分享的评估。在20世纪80年代初和20世纪90年代末，结构改革和技术革命推动潜在的美国。增长超过3％。这意味着美联储必须提高政策率远远高于此时的政策率。

2.The basic U.S. balance of payments (current account plus long-term foreign direct investment) was in a small surplus at the start of the historical dollar rallies. Although the balance has improved in recent years, thanks to domestic energy production, it remains in a modest deficit, creating some further headwinds.

3.Since the1997年亚洲金融危机年，大多数新兴市场国家都降低了以美元计价的债务发行比例，导致除少数国家外的所有国家的美元净债务状况大幅改善。上世纪80年代和90年代引发一系列新兴市场危机的美元走强风险敞口，已降至除少数新兴市场外，所有新兴市场的外汇储备都能很好地覆盖的水平。虽然主权债务由这些储备所覆盖，但我们承认，过去三年，以美元计价的公司债务大幅增加。

4。许多新兴市场在将通货膨胀降至非常可管理的水平并制定锚定通胀预期的政策时，使得巨大进步。这意味着货币可以更自由地移动以调整国内经济，而无需需要急剧的货币政策干预措施。

More differentiation within emerging markets

我们觉得当前的环境适度的美元力量，结合slower Chinese growthand resulting lower commodity prices, creates opportunities for investing in strong relative themes across emerging markets.

贸易条件可能会继续出现分歧，那些向美国最终需求出售、进口现在更便宜的能源的国家将看到相对有利的趋势，能够支撑本国货币。

虽然经济有更大的external funding requirements should still feel depreciation pressures from further adjustments in short-term U.S. interest rates, we will have to be alert to any increased probability of monetary stimulus from Europe or Japan, which could drive renewed performance in current-account-deficit countries.

可信的通货膨胀锚提供进一步的分化来源。尽管美国利率上升，但许多新兴市场已经看到稳定的债券市场，并继续放宽央行的偏见。虽然全球环境，但有更可靠的通胀锚的国家可以继续提供积极的地方债券退货。

最重要的是，适度美元实力的环境占提供了提供生产力增长和结构改革的国家的额外保费。能够提供更高生产率的国家将通过改善的供应侧动态增强它们的通胀锚，以及更好的财政基本面，进一步区分当地债券和信贷额。他们真正有效的汇率也将继续长期升值。最有趣的是，几个新兴市场 - 包括印度，越南和菲律宾 - 在这方面进一步移动。在巴西即将举行的选举结果可以为改革清单添加另一个重要名称。

Mike Hugman is a strategist on the emerging-markets fixed-income team atInvestec Asset Managementin London.

See Investec’s disclaimer.