美元走勢及對全球金融場之影響 - tri · 2016. 6. 6. · Dr. Kuo-Yuan Liang 1...

Dr. Kuo-Yuan Liang

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美元走勢及對全球金融市場之影響

梁國源董事長

「主要國家貨幣動向及對台灣經濟之影響」產官學研討會日期：2015年1月27日時間：14：05~14：35

Dr. Kuo-Yuan Liang

大綱

近期美元走勢與展望

強勢美元的影響

外匯市場

原物料市場

股票市場

債券市場

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Dr. Kuo-Yuan Liang

近期美元走勢與展望

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Dr. Kuo-Yuan Liang

受歐元與日圓劇貶影響2014年7月起美元指數明顯走強…

4

資料來源：Bloomberg

79.815

(7.1,2014)

92.265

(1.16,2015)

Dr. Kuo-Yuan Liang

近期美國經濟數據優於歐元區及日本帶動美元走強…

5資料來源：Bloomberg

Dr. Kuo-Yuan Liang

…預料2015年美國與歐元區、日本央行貨幣政策鬆緊不同調歐元與日圓將繼續走弱…

6資料來源：Bloomberg、元大寶華綜合經濟研究院

Dr. Kuo-Yuan Liang

10月29日FOMC會後聲明表示美國就業市場前景大幅改善決議終止QE3…

The Committee judges that there has been a substantial improvement in the outlook for the labor market since the inception of its current asset purchase program. Moreover, the Committee continues to see sufficient underlying strength in the broader economy to support ongoing progress toward maximum employment in a context of price stability. Accordingly, the Committee decided to conclude its asset purchase program this month. The Committee is maintaining its existing policy of reinvesting principal payments from its holdings of agency debt and agency mortgage-backed securities in agency mortgage-backed securities and of rolling over maturing Treasury securities at auction. This policy, by keeping the Committee's holdings of longer-term securities at sizable levels, should help maintain accommodative financial conditions.

FOMC (10.29, 2014)

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Dr. Kuo-Yuan Liang

…FOMC成員與金融市場皆預期聯準會將在2015年升息...

資料來源：FOMC、Bloomberg (1.25, 2015)

聯邦資金目標利率 (%)

2014 2015 2016 2017 長期

FOMC (12/14) 0.125 1.125 2.5 3.625 3.75

OIS 0.468 1.222 1.685 -

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Dr. Kuo-Yuan Liang

歐元區通縮風險提高1月22日ECB擴大非傳統性貨幣政策...

9

600億歐元/月

政府公債450億歐元

Covered Bond

+ABS

150億歐元

11400億歐元

2015.03~2016.09

政策將貫徹到通膨軌跡將朝2%的目標值為止

ECB購買的歐元區債券其償債順位與一般投資人相當

ECB不會讓各國央行承擔全部購債風險

未刻意設立希臘條款

調降TLTRO利率自0.15%降至0.05%

估計每月寬鬆規模可達1000億歐元

特色

資料來源：元大寶華綜合經濟研究院整理

?

Dr. Kuo-Yuan Liang

…規模超乎市場預期...

It was a long time coming. But in the end, Mario Draghi’s bond-buying plan outstripped expectations. Deep splits on the European Central Bank’s 25-member governing council sparked concerns that Mr Draghi’s version of quantitative easing would underwhelm, even as prices in the eurozone dropped for the first time in five years. Market analysts polled by Bloomberg this week had expected €550bn worth of government bond purchases. The central bank now intends to buy double that amount, launching a €1.1tn bond-buying spree, most of it sovereign debt.

Claire Jones (2015), “Mario Draghi’s bond-buying plan outstrips expectations,” Financial Times, 1.22.

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Dr. Kuo-Yuan Liang

…金融海嘯後歐元對美元走勢與兩國流通貨幣高度相關…

註：歐美流通貨幣比=（歐洲貨幣基數-準備金餘額）/ （美國貨幣基數-準備金餘額）資料來源：Bloomberg 11

Dr. Kuo-Yuan Liang

為扭轉根深蒂固的通縮意識形態2014年10月31日日銀擴大QQE...

[I]f the current downward

pressure on prices remains,

albeit in the short term, there

is a risk that conversion of

deflationary mindset, which

has so far been progressing

steadily, might be delayed. To

pre-empt manifestation of

such risk and to maintain the

improving momentum of

expectation formation, the

Bank judged it appropriate to

expand the quantitative and

qualitative monetary easing

(QQE).

BOJ (10.31, 2014)12

Dr. Kuo-Yuan Liang

…日圓對美元走勢與兩國流通貨幣比高度相關…

註：日美流通貨幣比=（日本貨幣基數-準備金餘額）/ （美國貨幣基數-準備金餘額）資料來源：Bloomberg

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Dr. Kuo-Yuan Liang

…CFTC資料顯示 2014年4月後市場看空歐元後市歐元累積淨空頭部位持續增加 …

註：CFTC指美國商品期貨交易委員會資料來源：Bloomberg

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Dr. Kuo-Yuan Liang

…CFTC資料顯示 2014年7月後市場看空日圓後市日圓累積淨空頭部位明顯增加 …

15註：CFTC指美國商品期貨交易委員會資料來源：Bloomberg

Dr. Kuo-Yuan Liang

…Fed將以緩慢速度升息美元走勢不致過強…

We’d probably not like to repeat a sequence in which there was a measured pace and 25 basis point moves at every meeting. So I certainly don’t want to encourage you to think that there will be a repeat of that…So there’s no view in the Committee that there is secular stagnation in the sense that we won’t eventually get back to pretty historically normal levels of interest rates. But they have said, it’ll, you know, the economy has required to get where it is a good deal of monetary policy accommodation; we expect to be able to normalize policy. But, until those conditions have lifted that have held back economic activity, monetary policy will need to stayaccommodative. So, in that sense, perhaps that’s equivalent to saying that the path of normalization is anticipated to be relatively gradual.

J. Yellen (12.17, 2014)

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Dr. Kuo-Yuan Liang

強勢美元的影響

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Dr. Kuo-Yuan Liang

外匯市場

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Dr. Kuo-Yuan Liang

2010年聯準會推動QE2 開啟21世紀第一次貨幣戰爭...

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資料來源：Bloomberg梁國源 (2014)，〈透視21世紀第三場貨幣戰爭〉，《工商

時報》，11月27日

Dr. Kuo-Yuan Liang

…2012年起日銀推動QQE引爆第二場貨幣戰爭…

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Dr. Kuo-Yuan Liang

…ECB於2014年6月實施負利率並推出TLTRO以及9月宣布ABS及擔保債券購買計畫 10月日銀又意外宣布加碼QQE 引爆21世紀第三場貨幣戰爭…

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Dr. Kuo-Yuan Liang

…除日圓、歐元外新興市場貨幣亦加入競貶潮…


Dr. Kuo-Yuan Liang

…BIS擔憂強勢美元恐衝擊新興國家金融穩定…

Non-financial corporations from

emerging market economies (EMEs)

have increased their external

borrowing significantly through the

offshore issuance of debt securities.

…To the extent that these flows are

driven by financial operations rather

than real activities, they could give

rise to financial stability concerns...

Should the US dollar - the dominant

international currency - continue its

ascent, this could expose currency

and funding mismatches, by raising

debt burdens.

BIS Quarterly Review (12.07.2014)


Dr. Kuo-Yuan Liang

…日圓急貶迫使韓元貶值帶動新台幣走弱…


Dr. Kuo-Yuan Liang

…2014年10月起新台幣對美元匯率明顯貶值但名目有效匯率指數與36個月移動平均值缺口持續偏高...

25資料來源：元大寶華綜合經濟研究院

Dr. Kuo-Yuan Liang

日圓向來被視為利差交易的主要幣別2014年12月中起市場風險趨避意識升高帶動日圓轉強…


Dr. Kuo-Yuan Liang

原物料市場

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Dr. Kuo-Yuan Liang

大宗商品以美元計價強勢美元降低美國以外國家購買力削弱其需求美元與原物料價格走勢成反向關係…

70

80

90

100

110

120

180

230

280

330

380

430

480

530

580

1/0

0

7/0

0

1/0

1

7/0

1

1/0

2

7/0

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1/0

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7/0

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1/0

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1/0

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7/0

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1/0

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1/0

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1/0

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1/1

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7/1

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1/1

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CRB商品指數美元指數(右軸)


Dr. Kuo-Yuan Liang

股票市場

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Dr. Kuo-Yuan Liang

強勢美元讓美股更具吸引力美股相對強勢…


Dr. Kuo-Yuan Liang

S&P500海外營收貢獻高強勢美元及國際景氣趨緩海外依存度高的美國產業獲利將受影響...

31

40

5156

60

70 7277

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94

100

67

60

4944

40

30 2823

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6

0

33

0

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20

30

40

50

60

70

80

90

100

美國海外營收來源 (%)

資料來源：Financial Times

Dr. Kuo-Yuan Liang

…2014年下半年以來美國海外營收比較高的企業股價表現相對較弱…

32資料來源：Financial Times、Bloomberg

Dr. Kuo-Yuan Liang

…美股石油類部門表現明顯落後大盤…


Dr. Kuo-Yuan Liang

債券市場

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Dr. Kuo-Yuan Liang

美國2年期公債殖利率與市場升息預期變化高度相關...


Dr. Kuo-Yuan Liang

…但2014年下半年後 10年期公債殖利率走勢與市場對聯準會升息預期脫鉤…


Dr. Kuo-Yuan Liang

…強勢美元助漲利差交易資金湧入長天期公債縮小美國長短天期利差…


Dr. Kuo-Yuan Liang

…美元高收益債與新興市場債風險利差相應走高...

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註：2014年1~9月約19%的美元高收益債發行量屬於能源公司，2004年該比例僅4%。


Dr. Kuo-Yuan Liang

謝謝指教

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美元走勢及對全球金融場之影響 - tri · 2016. 6. 6. · Dr. Kuo-Yuan Liang 1...

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