市场误读了周期后期的流动性紧缩 | 迈克尔·霍华德

流动性周期主导市场走势，现在基本上要见顶回落了。

Liquidity cycle dominates market movements is basically inflecting lower.

我们现在正处于一个被称为投机的阶段，这已经是后期了，可以把它看作是秋天，接下来就是我们说的动荡期。

And we're in the season that we currently call speculation, which is a late one, take that as the autumn, precedes what we call turbulence.

而动荡，顾名思义，对风险资产来说肯定是一段非常艰难的时期。

And turbulence is probably, as the name suggests, a very difficult time for risk assets.

我们这里有四个关键因素：经济、债券市场、股票板块和流动性，它们都在传递同一个信号。

We've got four ducks here, economy, bond markets, equity market sectors, and liquidity, and they all seem to be saying the same thing.

所以虽然我们还没进入动荡期，但方向已经很明显了。

So although we're not in turbulence yet, we're basically moving in that direction.

但我听媒体和很多评论员的说法，他们都在说……

But I'm listening to, you know, what the media is saying and what a lot of commentators are saying.

他们说世界末日到了，要深度衰退，诸如此类的话。

They're saying this is the end of the world, deep recession, whatever it may be.

你再看看实际的数据。

You look at the data.

你看看市场现在在干什么。

You look what the market's doing.

情况根本不是那样，对吧？

It doesn't seem to be the case, does it?

周期后期，真正会摧毁流动性的是

Late in the cycle, what destroys liquidity is

任何关于前瞻指引的表述都不构成买卖任何投资或产品的建议。

Nothing said on Forward Guidance is a recommendation to buy or sell any investments or products.

本播客仅作信息参考，节目中所有人的观点均为个人意见，并非财务建议，也不一定代表Blockworks的立场。

This podcast is for informational purposes only, and the views expressed by anyone on the show are solely their opinions, not financial advice, or necessarily the views of Blockworks.

我们的主持人、嘉宾以及Blockworks团队可能持有节目中讨论的公司基金或项目头寸。

Our hosts, guests, and the Blockworks team may hold positions in the company's funds or projects discussed.

一如既往，投资区块链技术存在风险，具体条款条件适用。

As always, investments in blockchain technology involve risk, terms, conditions apply.

请自行做足研究。

Do your own research.

大家最近都怎么样？

What's going on everybody?

欢迎回来，继续收听《前瞻指引》的又一期节目。

Welcome back to another episode of Forward Guidance.

这周我请到了一位我特别喜欢的老朋友——来自CrossBorder Capital的迈克尔·霍威尔。

And joining me this week is one of my favorite repeat guests, Michael Howell, CrossBorder Capital.

他根本不用介绍。

Man needs no introduction.

你之前已经来过好多次了。

You've been on the show many times before.

每次请你来都特别开心。

Always a pleasure to have you on.

我记得上一次我们录这期节目，还是在伦敦的数字资产峰会现场呢。

I think the last time we did this was actually in person at the Digital Asset Summit in London.

那会儿是去年十月的事了。

So it's, you know, that was, that was last October.

该好好更新一下流动性方面的最新情况了。

Well overdue for an update on all things liquidity.

迈克尔，很高兴你又回来了。

Michael, great to have you back.

能来这儿总是我的荣幸，费利克斯。

Well, always a pleasure to be here, Felix.

太好了。

So great.

我可期待了。

I'm looking forward to it.

是的。

Yeah.

对。

Yeah.

我也是。

Likewise as well.

好的。

All right.

我知道你准备了一堆流动性图表，咱们待会儿慢慢拆解，但眼下最关键的问题是，咱们现在到底处在全球流动性周期的哪个阶段？

I know you have a stack chart pack, which we will get through and unpack, but obviously the most important question to get underway here is understanding where we are in the global liquidity cycle.

你已经反复强调，流动性紧缩持续好几个月了。

You've been banging the drum that it's been taught for quite a few months now.

但我感觉这跟我的观察不太一样。

And I feel like that goes against what I've seen.

大家分析流动性的方式五花八门，对货币政策的理解也各有各的说法。

There's a lot of other different variations of how people analyze liquidity or where they're thinking about even just like monetary policy.

如果大家都在讨论即将降息，那在我看来，这显然是对流动性有利的信号。

You if folks are, are talking about potential rate cuts coming, that to me feels like something that could be positive for liquidity.

所以我特别想听听你对当前局势的基本判断，再结合你的图表，帮我们理清楚现状。

So I just want to get your base baseline understanding of where we stand now and walk through some of the charts to help us better understand that.

我觉得咱们不妨先从今年我们的看法说起。

I think maybe to start with our views this year.

我们一直强调的一个观点，早在今年一月一号的时候还是个反主流的看法，那就是收益率曲线会在年中开始变平。

I mean, one of the things that we've been pointing to, which was very much a contrarian view back January 1, was that yield curves would basically begin to flatten by the middle of the year.

这跟市场主流看法完全相反，大家普遍觉得收益率曲线会变陡，而且会大幅变陡，因为长期端有通胀压力，美联储新主席不得不在短期大幅降息。

And that was a very different view than the consensus, which was basically wedded to the idea that yield curves would steepen and probably steepen significantly because of inflation problems at the long end, because the Fed will be forced by the new Fed chair to slash rates at the front end of the market.

这样一来，曲线自然就变得更陡了。

So you get a much steeper curve.

但我们认为，市场力量更强，真正可能出现的是曲线变平，因为主导市场走势的流动性周期，其实正在转向下行。

And our view was that actually the markets are more powerful, and what you're likely to see is a flattening curve because liquidity, the liquidity cycle which dominates market movements, is basically inflecting lower.

我们看问题都是从周期角度出发的。

And we see things in cyclical terms.

当然，市场里也有趋势，这没错。

I mean, clearly, are trends as well in markets.

但归根结底，往往是周期悄无声息地杀回来，让人措手不及。

But at the end of the day, it's the cycle which often comes and bites us unexpectedly.

现在我们最需要关注的，就是这一点。

And that's what we've got to consider right now.

我们的观点是，现在正在发生的是流动性周期见顶回落。

And our view is that what you're getting is a cycle in liquidity that is basically inflecting lower.

我们把市场分成四种状态，或者说是四个季节。

We think of four regimes or, if you like, four seasons.

我们现在所处的阶段，我们叫它‘投机期’，相当于一年中的秋天。

And we're in the season that we currently call speculation, which is a late one take that as the autumn, the autumnal season.

这个阶段之后，就是我们所说的‘动荡期’。

And precedes what we call turbulence.

动荡期，顾名思义，对风险资产来说会是非常艰难的时期。

And turbulence is probably, as the name suggests, a very difficult time for risk assets.

虽然我们还没进入动荡期，但已经在往那个方向走了。

So although we're not in turbulence yet, we're basically moving in that direction.

所以这段时间，我们的策略一直是逐步降低风险敞口。

So our view has been basically to pare back risk during this period.

我的意思是，不是完全退出市场，但确实在主动减仓风险资产。

I mean, not get out of markets entirely, but we're basically moving more risk off, that's for sure.

接下来的阶段——动荡期，那就得彻底撤出，把现金仓位提到非常高。

Our next phase, turbulence, would be an absolute get out and hold much, much bigger cash weightings.

如果你顺着这个逻辑往下想，就会问：那我们现在到底在哪儿？

Now, I think if you kind of follow that narrative and you say, well, Okay, where are we right now?

我的看法是，收益率曲线马上就要变平了。

I mean, my view is that we're looking at yield curves that are poised to flatten.

还没完全到位，但根据我们看到的数据，趋势已经开始显现了。

They're not quite there yet, but they're beginning to roll what looks like, anyway, from the data that we look at.

这并不是因为央行在收紧政策、抽走流动性。

And the reason for that is not because central banks are tightening and withdrawing liquidity.

而是因为实体经济本身在加速，说得更准确点，是企业对营运资金的需求在上升，这才把流动性从市场里吸走了。

It's because the real economy is actually accelerating or increasing its appetite, to be more correct, its working capital demands, and that is sucking liquidity out of markets.

至于这是油价能源涨价导致的，还是库存增加、资本支出上升、经济活动更活跃引起的，其实都不重要。

Now, whether that is because of higher oil and energy costs or whether it's because there's more inventory build, more CapEx spend, more economic activity going on, is kind of a moot point.

关键是，钱正在从金融体系里往外流。

But the fact is that money is leaving the financial sector.

我觉得对这一切一个有趣的视角是，伊朗冲突可能没大家说的那么大的经济影响——数据其实挺强劲的。我们待会儿可以看看一些图表，但总的来说，我们的看法是：钱驱动市场，经济是市场的滞后指标，而地缘政治又是经济的滞后指标。

And I think the interesting perspective on all this is that maybe the Iran conflict is not a big an economic deal as maybe everyone seems to be pointing out I mean the data seems to be quite robust I mean we can dig into some of the charts we've got in a moment but you know broadly the way that we see things is that money moves markets, economies are downstream of markets, and geopolitics are downstream of economics.

所以，如果只盯着地缘政治，那其实是搞反了方向。

So to focus entirely on geopolitics, we think is kind of the wrong way to think of it.

我最近一直在想，你看待世界和金融市场的方式，可能正是造成很多人困惑的原因——一方面有经济或商业周期，另一方面是你特别关注的流动性周期。

I think something that I've been thinking a lot about in terms of how you view the world and financial markets that I think is causing a lot of confusion is that there is the economic or business cycle, and then there's the liquidity cycle, which you focus on.

所以每当我听到‘投机阶段’这个词，我第一反应就是：赶紧全仓做多，买一堆看涨期权，就是那种纯粹的投机嘛。

And so when I hear something like spec a speculation phase, to me, that means I'm going go, you know, just full long, you know, buy a bunch of long data call options, like, you know, speculation.

对。

All right.

投机类资产会上涨。

Speculative assets are going to go up.

但在我理解里，你的看法不太一样，听起来是源于商业周期和流动性周期的根本区别。

But to my understanding, you view that differently, and it sounds like it's rooted in just the difference between the business cycle and the liquidity cycle.

能不能给听众再清楚解释一下？

So could you just better explain that for the audience?

是的

Yeah,

咱们来试试把这个讲清楚，因为我觉得现在这一点特别关键。

let's try and do that and stick it up, because I think this is the really important point right now.

当然，我们也可能搞错了，这点得说明一下。

And we may be wrong, I mean, for what that's worth.

我们主要想说的是，这个框架是用来理解流动性是怎么被创造出来——更准确地说，是怎么被释放到金融体系里的。

But basically what we're arguing is that this is a framework that tries to understand how liquidity is being created, or probably more accurately, how it's being made available for the financial sector.

你现在看到的这张图大致表明，存在两个流动性池。

Now, what this diagram that you can see in front of you broadly says is you've got two spheres or two pools of liquidity.

一个是流向金融市场的钱，另一个是流向实体经济的钱。

You've got money which is moving in financial markets, and you've got money that's moving in the real economy.

我们在这张图顶部强调的是：所有资金，不管在哪，都一定在某个地方。

And what we say at the top of that is that all money that is anywhere must be somewhere.

所以钱不可能同时出现在两个地方。

So we can't really be in two places at once.

如果钱在金融部门，就不在实体经济里。

If it's in the financial sector, it's not in the real economy.

要是不在实体经济里，那也不可能在金融市场中。

And if it's not in the real economy, it can't be in financial markets.

要是金融市场里钱太多了，就会溢出来流入实体经济，带动经济繁荣。

And if there is a surplus of money in financial markets, it will spill over into the real economy and drive an economic boom.

一旦经济放缓，流动性就会回流，重新回到金融市场。

And if you get a slowing economy, there'll be a reflux of liquidity that goes back into the financial markets.

现在要细抠定义其实挺难的，因为这两者之间重叠太多了。

Now, to try and drill into definitions is kind of tricky because there's lot of overlap.

我们对全球流动性的理解是：金融市场里的钱，反映的是信贷提供方的财务能力或资产负债表容量，明白吗？

But the way that we think of global liquidity is that our definition is money in financial markets is a measure of the financial capacity or the balance sheet capacity of credit providers, Okay?

换句话说，我们关注的主要是金融市场在做什么。

In other words, our focus is very much on what the financial markets do.

我们早就说过，如今的金融市场本质上是债务再融资的工具，而要滚动债务，就得有资产负债表的余地。

And we've made the case for some time that financial markets today are debt refinancing mechanisms, and you need balance sheet capacity to roll over debt.

而这种资产负债表的容量，可以通过全球流动性来衡量。

And that balance sheet capacity you can measure with global liquidity.

实体经济的流动性是另一回事，它更侧重于衡量实体经济中的交易活动。

Real economy liquidity is something different, and that is much more measuring the transactions in the real economy.

像M1或M2这样的指标，经济学家常看的，其实就是街头银行的零售存款，用来衡量这个其实也不算差，对吧？

And something like M1 or M2, which are sort of standard metrics that economists look at, which are really the retail deposits of high street banks, are probably not a bad metric for that, Okay?

真正关键的，其实是这两者之间的差异。

That is broadly saying is it's the difference between the two that really matters.

为了让你有个直观概念，这张图展示的是我们估算的总流动性，也就是红色区域——它在橙色区域（即全球M2）之上。

And just to put that in perspective, this graph looks at the total amount of liquidity that we estimate, which is looking at that red area, which is above the orange area, which is M2, global M2, Okay?

黑色线代表的是各国央行资产负债表的总和。

The black is what central bank balance sheets add up to.

在整体格局里，它们的体量其实很小。

So they're very small in the equation.

可能挺重要，但规模确实不大。

They may be important, but they're small.

然后就是私营部门通过零售银行提供的资金。

Then you've got private sector through retail banks.

还有全球流动性，这是个更宽泛的概念，来自信贷提供方资产负债表的资产端，包括回购市场、影子银行等等。

And then you've got global liquidity, which is a much broader concept, which is derived from the asset side of the balance sheet of credit providers and includes the repo markets, shadow banking, etcetera.

当你开始关注金融资产时，这一点就变得很重要了。

And that tends to be important once you start to look at financial assets.

这就是定义。

So that's the definition.

现在，看看这里的先后顺序，这张图顶部的红线代表流动性周期。

Now, if you look at the sequencing here, what you've got on this chart is a liquidity cycle on the top, frame, which is the red line.

然后是实体经济，也就是这条黄线。

You've got, a real economy, if you like, which is the yellow line.

你可以看到，这两条线几乎完全相反，虽然不完全，但非常接近。

And you can see that those are almost exactly, not quite, but almost exactly out of phase.

通常你会发现，实体经济比流动性周期滞后大约十五到二十个月，差不多就是这个时间差。

And what you tend to find is that the real economy tends to lag the liquidity cycle by about fifteen to twenty months, or that sort of time frame.

每个周期大约持续五到六年。

And the length of each cycle is around about five to six years.

实际上，差不多就是六十个月。

In fact, we've got there sixty months.

大概就是这个时间范围吧。

But it's about that sort of approximate time.

你看图表上这一堆点。

Now what you see is a series of dots on the chart.

红点标的是收益率曲线的转折点，这些点都出现在流动性周期转折之后。

The red dots are looking at turning points or inflections in the yield curve, which happened just after the liquidity cycle inflects.

还有投资者风险偏好的高峰和低谷，通常会比实体经济稍微提前一点。

And then you've got peaks or troughs in investor risk appetite that tend to proceed slightly the real economy.

所以金融资产能挺准地预测经济周期，因为投资者情绪总是在经济见顶前变差，在见底前回暖，等等。

So that's why financial assets tend to be pretty decent predictors of the business cycle because investors' mood sours just before a peak and picks up just before a trough, etc.

现在我先跳到后面那张图。

Now, let me just move on to a chart that I was going to come on to later.

这张图是用实际数据来展示那个示意图。

This is looking at that particular schematic diagram in real data terms.

首先是黑线，它综合了美国ISM、日本Tankan、德国EFO、英国CBI、法国INSEAD这些主要商业调查数据，按各国GDP加权后合成的一个指数。

So what you have here is the black line first of all is all the major business surveys USISM, Tancan in Japan, EFO in Germany, CBI in The UK, INSEAD in France, weighted by economic size by their GDP, and put together into an index shown as the black line.

这反映的就是全球经济周期，你可以这么理解。

Now what that's showing is the business cycle, the world business cycle, if you like.

最近它开始回升，但上个月稍微有点放缓。

You can see it's begun to pick up, and it's inflected a little bit lower in the last month.

橙线是我们定义的流动性周期。

The orange line is our liquidity cycle.

我稍微做了点小手脚，把经济周期往前挪了一点，只是为了方便你看清楚。

I've cheated a little bit, but that's just to help the eye, by moving the business cycle a tad forward.

其实只提前了六个月，考虑到图表跨度有二十五年，影响微乎其微。

It's only about six months, so it doesn't really make a huge difference because the chart is twenty five years.

但意思你应该能明白。

But you get the idea.

所以本质上，这些东西是反周期运动的。

So effectively, what these things are they're moving countercyclically.

经济强劲的时候，流动性会被吸收，金融市场就吃亏了，因为资金面会变得紧张。

So when you get a strong economy, that's absorbing liquidity, and financial markets tend to lose out because financial liquidity is depressed.

不过说到这儿，我本来想接着展示这张图的，抱歉打断一下。

Now that's the interesting point because if we go back to, sorry, this chart I was going to start showing.

我之前稍微提过一点，这个嘛，我也说不准到底对不对，但我一直在听媒体和各种评论员怎么说。

Now the point that I think I made a little bit earlier was, and this is, you know, I don't know what the definitive answer to this is, but I'm listening to, you know, what the media is saying and what a lot of commentators are saying.

他们都说世界末日要来了。

They're saying this is the end of the world.

什么霍尔木兹海峡一关闭，全球经济就要崩盘，陷入深度衰退之类的。

You know, the closure of the Straits Of Hormuz is going to lead to the world economy sort of tanking into deep recession, whatever it may be.

但你看看数据，看看市场实际在干嘛，真有那么糟吗？

But you look at the data, you look at what the markets are doing, that doesn't seem to be the case, does it?

你看这儿的数据，这是美国ISM的新订单减去库存，这可是预测ISM指数的一个挺准的指标。

Because if you look at this data here, this is US ISM new orders, less inventories, which is a pretty decent predictor of the ISM index.

然后我们还有最新的费城联储制造业活动指数在这里。

And then we've got the latest Philly Fed, Philadelphia Fed manufacturing activity index on there.

这两个指标走势挺一致的，都显示出不错的强劲势头。

They kind of line up pretty well, and they're both showing decent strength.

所以实际情况看起来确实印证了最初的那个想法——流动性充裕会带动实体经济走强。

So it actually looks as if the original idea that you get strong liquidity spilling over into a strong real economy is actually transpiring.

今年发生的，恰恰就是这种情况。

That's what is turning out to be the case this year.

所以2026年很可能会是经济强劲增长的一年。

So 2026 is likely to be a year of strong economic growth.

再看这个指标，是我们自己搞的一个完全不同的东西，基于AI模型，输入变量包括汇率、对贸易敏感的经济体、企业信用利差、大宗商品价格等等。

And then you look at this index, which is a completely different one that we create, which is an AI based theory, has as inputs things like the forex rates, trade sensitive economies, corporate credit spreads, number of commodity prices.

我们把这些数据跟全球GDP挂钩，就能根据这些商品、汇率、信贷等输入，推算出每天的走势图。

And we map that data onto world GDP, and we can actually, from that projection, then work out what a daily plot would be given the inputs of those commodity forex and credits, etc.

而它呈现出来的，就是这张图。

And what it shows is that picture.

现在这条虚线是十日移动平均线，让走势看着更顺眼。

Now the dotted line is this a ten day moving average to ease the eye.

但你可以看到，世界增长的趋势确实被拉低了一点。

But you can see that what's happened is, Okay, it's dented what seems to be the trend in world growth.

可能拖累了零点五个百分点的增长，不过现在看起来正在反弹。

It may have taken 0.5%, possibly 0.5% out of growth, but it seems to be bouncing back.

如果你拿它跟一年前的关税风波比的话。

And if you gauge it relative to what happened a year ago with the tariff tantrum.

那根本没法比，小多了。

I mean, it's nothing like as big.

再往前推到新冠疫情时期，咱们也可以看看。

And then actually, if you went back to COVID, we can look at that.

那时候疫情带来的冲击大概有四个百分点。

And the COVID hit was about four percentage points.

那会儿直接就冲出图表范围了。

So it would have gone right off that scale.

所以这事儿对不上啊。

So this doesn't seem to be adding up.

对于那些还持怀疑态度的人，这里有组数据。

Then, you know, for those that are still skeptical, there's this data.

这条橙线反映的是全球商业周期。

And this is looking the orange line is looking at the world business cycle.

这些数据来自各类调查，比如坦坎、ISM，还有我们之前见过的英国CPI调查的汇总结果。

This is the the data that comes from the surveys, the Tancan, the ISM, The UK CPI survey aggregated, as we saw before.

而我在这上面叠加了MSCI全球指数里周期性更强、防御性更弱的股票。

But then what I put on that is cyclicals, less defensive stocks from the MSCI World Index.

这正是美国著名投资人斯坦利·德鲁肯米勒说的‘股市内部动向’。

And this is something that Stanley Druckenmiller, the famous US investor, calls the internals of the stock market.

他总说，这比经济学家还准。

And he always claims this as a much better economist than economists.

看来，他可能真有道理。

And it seems that maybe he's right.

你看看周期股现在在怎么走。

And look at what cyclicals are doing.

这纯粹是周期股和防御股之间的价格表现对比。

This is just price action of cyclical stocks against defenses.

这记录可不差啊，经常能在商业调查数据出来之前，就提前预判了经济走势。

I mean, that's not a bad track record of getting the economy right, actually often predicting the economy before you actually get the business surveys confirming it.

而现在它传递的信息是，经济其实相当强劲。

And what it's saying now is that there's actually quite a lot of economic strength.

我们在这张全球流动性与全球商业周期的指数图上，看到的就是这么个画面。

And that's the picture that we kind of see here in this index of global liquidity against the world business cycle.

结论还没定，但眼下看来，事情就是这么在发展。

So jury out, but it looks as if this is what's unfolding.

这太棒了，因为我脑子里一直想理清这些想法：还记得一月份伊朗战争爆发前吗？你说得对，制造业PMI已经连续两年低于50了，最近才终于冲上50以上。

This is really great because this is a lot of different ideas I've been trying to hold together in my head and try to unpack, which is that, okay, if we rewind it back to January before the Iran war and all of that, to your point, we had, you know, the manufacturing PMI has been sub 50 for a couple of years now, and it finally broke above 50.

二月又来了个高于50的数据，就业市场也开始出现一些好转的迹象，至少我是这么看的。

And then we got another, you know, above 50 print in February and you started to see what looked like some improvements as well in the job market, sort of, it looked to me.

然后你再看看像铜这种典型的周期性商品，当时涨得简直疯了。

And then, you know, you pair that with what, what, you know, classic cyclical commodities like copper were doing, which was just rallying like crazy.

我当时就觉得，我们可能正要进入经济周期的下一阶段，或者说是某种重新加速的开端。

It felt to me like we were starting to begin either the next leg of the business cycle or this re acceleration of sorts.

但紧接着，二月份就来了个石油冲击。

But then you have this thing like an oil shock that happened in the February.

回顾过去几十年的几次衰退，你会发现，这种大规模的石油冲击经常就发生在全球衰退之前。

And if you look at different previous recessions over, over the decades, many times a major oil shock like that is actually happens right before a global recession,

对。

as

更难的是，这种商品普涨、看起来像经济重新加速的现象，其实既会出现在经济周期的开头，也会出现在周期的末尾。

well as, and this is the really hard part is that this, this rallying of commodities and what looks like this version of a reacceleration, It happens at the beginning of business cycles and at the end of business cycles.

所以我一直在琢磨，这些信号最终会指向什么方向——我的理解是，我们之前确实看到了复苏的苗头，可现在又撞上了石油冲击。

And so I've been trying to wrap my head around all of this of where it nets out because my framing is okay, we had this burgeoning reacceleration before, but then you throw this oil shock onto it.

那最后到底会怎么样？

And where do we net out?

所以我很想知道，最终我们会落在哪儿？

So I'm curious, like, where, where do we net out?

你觉得这是经济周期的最后一个阶段，还是说我们才刚进入新一轮强劲复苏的起点？

Do you view this as like the, the, the last inning of the business cycle or are we just starting this next leg into this major reacceleration?

我的看法是，如果你回头看看这张图，会发现经济周期其实还有不少后劲。

Well, I mean, I think if you, if you go back to, this chart, it would suggest that, the business cycle has actually got fairly decent legs.

当然，我不是说，如果油价持续飙升，经济活动不会受重创——那肯定会影响。

Now, I'm not going to say that and clearly, I can't say that if you get a sustained problem in the oil markets and oil prices go up significantly, that that won't wreck economic activity.

这道理很明显，谁都知道。

I mean, clearly, by definition, will.

但要是其他条件不变，我们现在确实处在增长加速的阶段。

But I would say that, other things being equal, we're seeing a period of accelerating growth.

另外，我接下来要讲的，是演示最后部分的一个图表，讲的是财政部和美联储联手向市场注入的刺激措施。

And what I would also point out I'm going to go move on towards the end of the presentation because there's another chart I wanted to show, which is looking at what the Treasury and the Fed have been doing together in terms of stimulus to the markets.

我得慢慢往前挪一下，你们稍微等我一下。

You may have to bear with me while I inch my way forward right here.

你看看这张图，其实挺有意思的，它展示的是注入美国经济的各种刺激和流动性来源。

Now, if you look at this chart, I mean, is kind of interesting because what this is showing is the sources of stimulus, liquidity stimulus, into The US economy.

我在这儿试着把不同形式的刺激措施拆分开来。

And what I've tried to do here is to split out the various forms of stimulus.

红色部分是美联储传统的量化宽松政策。

Now, the red area is conventional Fed QE.

它还包括了新的量化宽松计划——也就是储备管理类购买。

It includes this new QE program, which is reserve management purchases.

所以红色这部分就是传统QE。

So that's the red area.

橙色部分我之前管它叫‘QE的平方’，其实是一些隐蔽的流动性刺激，比如逆回购工具、财政部一般账户的资金变动，还有美联储债券项目产生的亏损，这些都没明着算进去。

The orange area is something that I'd labeled before not QEQE, which was the bits that were sort of so things like the reverse repo tranche, things like the Treasury general account movements in that, the losses that the Fed was making on its bond program, all those were sort of hidden forms of liquidity stimulus.

所以美联储的刺激其实包括橙色和红色这两块。

So the Fed is the orange and the red.

很明显，政府的政策目标就是让美联储从市场上逐步退出，这正是他们的意图。

And clearly, what the policy of the administration has been to do is to kind of reduce the Fed's footprint in markets, and that's what their aim is.

所以他们一直在试图从我所说的美联储量化宽松，转向财政部量化宽松。

So they've been trying to shift from what I've called Fed QE in general terms to Treasury QE.

而财政部量化宽松就是这个黑色区域。

And the Treasury QE is the black area.

这个黑色区域本质上反映的是市场发债期限结构的变化。

Now the black area is basically changes in the tenor of issuance in the markets.

也就是说，不再像以前那样向养老基金、保险公司这些机构发行长期债券，现在变成美联储发短期国债，而主要买家是银行——银行特别喜欢国债，只要银行买政府债务，本质上就是货币化。

So in other words, rather than issuing long dated bonds to institutions like pension funds and insurance firms, what you're getting instead is the Fed is issuing bills, and who are buying the bills predominantly banks, because banks love bills, and if banks buy any form of government debt is monetization.

说白了，现在的情况就是美联储的量化宽松，变成了银行对财政支出的货币化。

So basically what's happening is that the Fed QE is bank monetization of fiscal spending.

就这么直接。

It's as direct as that.

长话短说，如果你看上面这张图里的财政部量化宽松部分，也就是橙色区域，我把它和美国ISM指数的变化做了个对比。

Now long story to a short conclusion, which is if you look at that Treasury QE on the top chart, the orange area, what I've done is to say, well, Okay, let's look at that against changes in The US ISM.

这条黑线代表的是ISM指数同比的变化。

And this is the black line is the changes in the ISM on a year ago.

橙色线就是这个财政部量化宽松。

And the orange line is that Treasury QE.

所以，你本来就会预期，因为政府支出被货币化，数据应该会上升。

So what you would have expected anyway is some sort of increase because of this monetization of government spending.

这个关系嘛，拿不了诺贝尔统计奖，但挺有意思的，因为它跟其他所有现象都对得上。

Now that relationship ain't gonna win the Nobel prize for statistics, but it's actually quite an interesting point on them because it fits everything else.

这观点不错。

That's good.

我特别喜欢这一点，因为有些人一听到要比较两个变量，就觉得必须得有特别严谨的统计，好像不这样就是大逆不道似的，但其实这个框架特别有用。

I love that point because sometimes people just get, you know, if you were this whole thing of like having to have robust statistics of like, okay, if you're comparing two things on the Y axis, it's like a sin against God or what have you, but it's just that helpful framework.

所以，我觉得这正好引出我想深入聊的——明年流动性的核心驱动因素。

And so, yeah, I think this is a good segue into what I want to dive into, which is the core drivers next year of that liquidity.

第一个我想说的是，你对财政部量化宽松这块的看法，因为你刚才提到，未来几年这会是主导力量。

And the first one I want to get into there is just your perspective on the Treasury QE side of things, because you mentioned there that you expect that to be the dominant driver over the next couple of years.

我想好好拆解一下你这个观点。

And I just want to unpack that, that thesis.

所以你的意思是，接下来Scott Besson那边的季度再融资计划里，他们会进一步提高短期票据的发行比例，减少债券？还是说，他们甚至能降低债券在整个发行中的占比？

Does that mean that you think that, you know, in upcoming QRAs of what Scott Besson is going to be doing, they're going to be announcing further percentage proportions towards bill issuance and less, or do you think they can even decrease the amount of total like percentage bond issuance?

因为过去几年，他们基本没动债券发行总量，只是不断加大了短期票据的发行量。

Because over the past couple of years, they've mostly just held that long in terms of issuance numbers flat, and they've just increased the amount of bills.

你能详细说说你是怎么想通这一点的吗？

Like walk us through that part of how you're thinking about to get that.

好。

Okay.

我先回到我刚展示的这张图吧，本来想换个角度聊，但让我先把这个部分讲清楚。

Well, was gonna let me, let me come back to the chart I've just got, because I was gonna dip down a different rabbit hole, Let me try and explain that bit.

我觉得这一点其实挺关键的，值得好好想想。

I think that this may be an important point to kind of consider.

这稍微有点绕回去，但让我先理一理，因为你问的这个问题，其实抓住了核心。

Now, this is a slight, a slight step backwards, but let me just kind of run through this thing because I think, you know, what you're, what you're pushing at is actually a really important point.

这张图其实是在看我们说的‘债务流动性周期’。

And what it's saying is that this chart is looking at what we call the debt liquidity cycle.

这其实正是我们整个框架的核心：市场本质上就是围绕债务展期运转的。

And this is really at the heart of our framework, which says the markets are all about refinancing debt.

我们手头有巨量债务需要展期。

We've got a huge amount of debt to refinance.

所以市场总是这么吃力，因为要完成这种转换，必须得有充足的流动性。

And that's why markets are often laboring because they need liquidity to do that transformation.

金融体系的核心产品就是债务，而债务要能滚动下去，离不开流动性支持。

Now, the products in the heart of the financial system is that debt needs liquidity to be in all for it to be rolled over.

你要是发了五年期债券，五年后就得重新融资，这是铁律。

Because the fact is that if you issue a five year debt bond, it's got to be renewed five years hence.

所以这种滚动续作一直在持续，从没停过。

And so you've always got this role going on.

如果你想看看吓人的数字，就看看美国联邦政府今年——甚至每周——要滚多少债务吧。

And if you want to look at some scary figures, look at the amount of debt roll that the federal government's got to do, the US federal government's got to do this year or even every week.

我的天，这数字简直让人瞠目结舌。

Mean, it's just an eye watering amount.

所以债务需要流动性。

And so debt needs liquidity.

但流动性也离不开债务，你看左上角的数据，世界银行说，现在全球77%的贷款都是靠抵押进行的。

But then liquidity needs debt because, as you can see in the top left, 77% of global lending now is collateral based according to the World Bank.

所以你需要优质的证券，特别是债务类证券，来当抵押品。

So you need good quality securities, debt securities, as your collateral.

这就形成了一个闭环：流动性依赖债务，债务也依赖流动性。

So there's this sort of nexus where liquidity needs debt, debt needs liquidity.

如果这个环节出问题，融资就会出麻烦。

Now, if you don't get that, you get either problems in refinancing.

比如期限溢价上升——说白了就是市场对安全政府债券的需求下降了，或者信用利差急剧扩大。

So you get term premia, which is really the, if you like, a measure of the demand for safe government bonds falling, or you get credit spreads blowing out.

要是回购市场抵押品这边出问题，导致债务没法变成流动性，那MOVE指数或者SOFR利差就会飙升，这些指标得盯紧了。

And if you've a problem on the repo collateral wing of turning debt into liquidity, you get a spike in the move index or in SOFA spreads, and those are important to watch.

这就是我们看到的图景：从1980年到现在，债务和流动性这个比例长期保持稳定。

Now, this is the picture that we got, the stability in the debt liquidity ratio over the long term going back to 1980.

我们刚刚经历了一场全民资产泡沫，债务与流动性之比低到了极点。

And we've just come through the everything bubble where the debt liquidity ratio has been really, really low.

所以那些原本不需要用于债务的过剩流动性，全跑进资产价格里去疯涨了。

And so the vent, the excess liquidity that you didn't need for debt, has gone off blowing off in asset prices.

但你看，这条橙线正在往上走。

But as you can see, the orange line is going up.

历史上每一次金融危机，都发生在这一轮周期的顶峰。

And every financial crisis that you can look back on occurs at the peak of this cycle.

那为什么这条线会往上走呢？

Now, why is that line going up?

因为疫情期间被长期化的债务，现在都得重新回到市场上续命了。

Because there's a lot of debt to come back into the system that was termed out during the COVID years.

这张图其实没把情况说全，它只显示了每年需要展期的债务总量。

This chart doesn't do it justice because this is the amount of debt maturity, of maturing debt that needs to be rolled over each year.

你要是看变化趋势，才能真正看明白问题有多严重。

Look at it in terms of changes, you get a much better idea.

所以2021到2023年，甚至可能到2024年，借贷成本一直很低，借款人就都把债务往后拖，延长到这十年后期再还。

So in 2021, 2022, 2023, and maybe 2024, this was depressed because interest rates have been low, and it encouraged borrowers to term out their borrowings later into the decade.

所以红色这部分，就是那些要重新融资、重新滚动的债务，明白吗？

So the red bit, the red lines, are debt that's coming back into the system to be refinanced, Okay?

先别急着下结论，来看看这个波动率指数。

Now, hold this thought, and this is the move volatility index.

好的。

Okay.

那为什么这个MOVE指数这么关键？

Now why is the move so important?

原因有两个。

It's critical for two reasons.

第一，信贷提供方用来放大抵押品、撬动信贷的杠杆倍数，其实高度依赖于信用的波动性。

One is that the collateral multiplier that effectively credit providers will use to leverage up collateral to create credit, okay, is very dependent on the volatility of credit.

所以一旦MOVE指数——也就是债券波动率的指标——突然飙升，抵押品的折价率就会跟着上涨，杠杆倍数立马崩盘，明白吗？

So if the move index, which is a measure of bond volatility, spikes, the collateral haircut will go up and the collateral multiplier will dive, okay?

所以债券市场保持波动稳定真的特别重要。

So it's really important to have stable volatility in the bond markets.

而你这段时间正好就赶上了这种稳定。

And this is what you've been getting.

那现在美国国债市场上的购债操作是怎么回事？

Now, what's happening in the US Treasury market with buybacks?

我打算从今年年初开始看看这组数据，黑色线是MOVE指数的日度变化，红色线则是美国财政部购债的规模。

Well, I thought I'd look at this data since the beginning of the year, which is looking at the move index daily in black, and the red is looking at the size of buybacks, Treasury buybacks.

财政部进场了，把那些不再活跃的旧债券换成新发行的活跃债券。

So the Treasury is coming in, and it's replacing off the run bonds with the new on the run bonds.

这些新债券大部分都是短期国库券。

Those on the run bonds are largely bills.

被替换掉的旧债券则是期限更长、带票息的债券，这种替换其实是在提升整个市场的流动性。

The off the run are coupons, longer dated coupons that are coming off, and that is a way of improving liquidity within the system.

我们从这些数据做简单回归分析发现，MOVE指数每上升10个点，后续美国财政部的购债规模就会增加大约280亿美元。

And what we say there is that if you look at the simple regression of that data, it shows you that each 10 increase in the move index basically leads to subsequently a 28,000,000,000 increase in Treasury buybacks.

所以这两者之间有直接关联。

So there's a direct correlation.

看起来财政部是在主动瞄准移动指数。

It seems as if the Treasury is directly targeting the move index.

它希望债券波动率保持低位。

It wants bond volatility low.

这确实该这么做，你看看对冲基金现在在做多少基差交易。

And so it should do because look at the size of the basis trade that hedge funds are doing.

它们可是国债的超级大买家，而且市场上待买的国债多得是。

They're at the margin big, big buyers of treasuries and there's an awful lot of treasuries to buy.

所以你能清楚看到它们在干什么。

So you can see what they're doing here.

再看另一个例子，这里是用SOFA利差对IORB（隔夜逆回购利率）来观察流动性与抵押品的失衡情况。

And then you look at another example, which is here is looking at the liquidity collateral imbalance through the perspective of the SOFA spread against the IORB, the interest and overnight reserve balances.

你看去年年底这些突然飙升的点，给美联储惹了大麻烦，于是他们推出了新计划——储备管理购买，其实就是通过量化宽松直接向市场注入更多流动性。

And what you can see here is that all these spikes at the end of last year caused the Fed a problem, and the Fed brought in this new program, which was reserve management purchases, which was a direct attempt to inject more liquidity into the system via QE.

他们嘴上不承认这是量化宽松，但本质上就是用QE来压低这个利差。

They denied it was called QE, but via QE, basically, to dampen that spread.

他们其实是在回购市场里设了个‘保护垫’，这么说你就能懂了。

They were putting up there was a put, if you like, in the repo markets.

你来看看这张图，挺有意思的。

Now, just take a look at this chart, which is interesting.

黑色线还是这个回购利差，不过它是倒着画的，而且是按周显示，不是每天。

The black is this repo spread again, okay, but it's shown inverted, okay, and it's shown weekly, not daily.

橙色线是我估算的银行超额准备金，明白吧？

And the orange line is banks' excess reserves, my estimates, right?

我把零线定为他们准备金刚好够用的水平。

So zero is when I think they've got adequate reserves.

一旦低于这个线，我就估计他们缺了大约四千亿，就在去年十二月初的时候。

When you're below that number, I estimate that they were below by about 400,000,000,000 as of early December.

就这缺口，已经足够让SOFA对联邦基金利率的利差飙到20个基点以上了。

And that was sufficient to cause big spikes, 20 basis points plus, in the SOFA spread against Fed funds.

这对美联储来说显然是一段非常艰难的时期。

And that was clearly a difficult environment for the Fed.

他们通过储备管理购入资产，还做了其他一些事，本质上就是把银行的储备金推高了。

They reacted by reserve management purchases, and they did other things which basically forced bank reserves higher.

所以从银行储备的最低点到最高点，净增加大约是6000亿美元。那么问题来了：如果没有这些刺激和干预，市场现在会是什么样子？

So we moved into a situation whereby the net change from the trough to the peak in bank reserves was about $600,000,000,000 So the question to ask is without that stimulus and intervention in the move index, where will the market be now?

显然，现在有些表面功夫在做。

So there's clearly some window dressing going on.

是的。

Yeah.

我完全同意你这些观点，但我觉得在这类讨论里，大家常常忽略了一点——我明白你在分析里没漏掉——就是所有这些操作的期限问题。

I do agree with all of that, but I feel like oftentimes in these sort of discussions, what gets somewhat missed, and I know it doesn't get missed in your analysis, just around the duration of everything being moved around here.

你之前提到，回购操作是把他们自己那些长期债券买回来，然后换成短期国库券。

So you mentioned earlier about how the buybacks is buying off their own bonds that have a much longer duration and then swapping them with bills.

然后你就说到这个点上了：这到底算不算QE。

Then you get into this point here about this idea of QE or not QE.

你说他们没把这叫量化宽松。

And you said that they didn't call it QE.

他们觉得这不过是期限中性的置换，可能因此觉得没必要称之为量化宽松。

They felt like it was just a duration neutral swap maybe is why they didn't feel like they wanted to call it QE.

而量化宽松是直接去买长期债券，比如五年以上期限的，但RMP主要买的是零期限的短期国债。

Whereas QE is something where they just go out and buy the long end, buy something like five years plus duration versus the RMP is mostly zero duration and mostly bills.

所以从这个分析来看，我很想听听你对期限敏感性怎么看——不管是债务再融资还是流动性注入，期限长短其实很关键。在我看来，虽然都能算流动性宽松，但宽松的程度到底有多大，完全取决于市场上被注入或抽走的债券期限长短。

So across that analysis, would just love to get your perspective on how the sensitivity to duration matters for these ways of either debt refinancing or liquidity impulses, because in my mind, it's, yes, you can still say it's liquidity positive, but the sensitivity of how liquidity positive it is depends on the duration that's being either pushed into the market or taken out of the market.

你同意这个说法吗？

Do you, do you agree with that?

对。

Yes.

我觉得我明白你想表达的意思。

In so far as I think, I think I get what you're, what you're saying.

我觉得关键在于，Felix，如果你从一般意义上理解流动性，流动性到底是什么？

I think what the point Felix is, if you think about liquidity, what is liquidity in a generic sense?

就是用资产规模除以平均期限。

It's an asset pool divided by its average duration.

你可以把它看成一个比率。

So think of it as that ratio.

所以，如果期限不变，把资产规模做大，流动性就会增加，对吧？

So you can increase liquidity if you keep duration constant and increase the asset pool size, right?

或者，资产规模不变，调整期限长短就行。

Or you can keep the asset pool the same and increase or decrease duration.

如果你缩短期限，多发短期国债，流动性反而会扩大。

So if you decrease duration and issue proportionately more bills, then you're going to expand liquidity.

我一般就这么理解。

So that's how I tend to think of it.

说到底，你提得对，这些操作本质上都是资产置换。

At the end of the day, I mean, you're right to point this out that a lot of these transactions are asset swaps.

既然只是拿一个资产换另一个，那为啥流动性就一定增加了呢？

So if you're swapping one asset for another, why does that necessarily increase liquidity?

并不会。

It doesn't.

明白了。

Okay.

但变的是底层的期限结构。

But what changes is the underlying duration.

所以你用短期工具替换长期工具，这样反而增加了流动性。

So you're swapping a long duration for a short duration instrument that is going to increase liquidity.

这明显就是财政部在做的事。

And that's clearly what the treasury is doing.

是的。

Yeah.

我最近也慢慢想明白了这一点。

That's where I've started to land on this whole, yeah.

这个RMP的问题，说白了，如果你光看美联储的操作机制，确实是在做置换。

This whole RMP thing where it's like, okay, yes, if you just look at the pure mechanics of the Fed, they're swapping.

对。

Yeah.

这确实是期限中性的，但这让美联储和财政部能做什么呢？

It's it's duration neutral, but what does that allow the Fed, the Treasury to do?

他们能多发短期国债，相应地就少发长期债券，这正是你看到期限正向影响的地方。

It allows them to issue more bills, which therefore means less bonds, which there is, that's where you see the duration positive impulses.

这么理解对吗？

Is that the right way to think about it?

没错。

Yeah.

但说白了，银行能凭空创造流动性，只要它们扩大资产负债表——包括央行在内，这本身就是流动性增加。

But I mean, basically banks can create liquidity out of nothing because they can, if, if the banks expand their balance sheets, including the central bank, that's a liquidity increase.

但从财政部的角度看，就没那么容易了，毕竟你得考虑资产和负债怎么配平，对他们来说，这本质上是个期限调整的操作。

But from the perspective of, of the Treasury, it's more difficult to do that because, you know, you're thinking about how assets and liabilities sit, it's much more duration transaction for them.

明白了。

Okay.

有道理。

Makes sense.

我觉得这很自然地引出了一个问题：美联储接下来会是什么样子？

I think this transitions nicely into thinking about what does the Fed look like?

在凯文·沃什掌舵美联储的前提下——假设他能顺利获任——财政部在未来这个重要阶段又会如何演变？

What does the Treasury look like in the next big phase of its history, which is under Kevin Warsh, assuming he gets confirmed as being the head of the Fed.

在接下来这个新周期里，有几个关键点值得留意，比如他长期以来一直对资产负债表持鹰派立场。

During this next big wave, this next big regime, there's there's a few different things, a few different insights you can pull from, which is one that he has been somebody who has been a hawk on balance sheets over over most of his history.

他一直反对量化宽松。

He's been anti QE.

就连在联邦基金利率问题上，他也一向很鹰派。

He's somebody who's just been a hawk even on Fed funds too.

但你再看他最近的访谈，发现他在联邦基金利率上其实变得没那么强硬了。

But then you look at recent interviews, and he's actually been somebody who's somewhat more dovish on the Fed funds.

另一个趋势是，他和那些亲近特朗普的提名者、货币政策评论员们都相信去监管化，让新增的流动性从美联储转向财政部，或者直接交给商业银行。

The other vector as well is it seems like himself and and other, you know, Trump adjacent nominees or, or, you know, prognosticators on monetary policy all believe in this idea of deregulation and allowing the marginal liquidity increase to move away from the Fed to either the Treasury or just commercial banks.

所以我特别想听听，你对接下来几年这场重大转变的整体看法是怎样的？

So I would love to just get your overall framework of how you're thinking about this next big regime shift over the next couple of years.

我觉得现在这事儿真有点让人摸不着头脑。

I think it's sort of a head scratching time, basically.

斯蒂芬·默伦不是发过一篇论文，说要简化缩减美联储资产负债表的流程吗？这想法太合理了，完全说得通。

I mean, there was the paper that Stephen Murren put out about reducing the size of the checklist for reducing the size of the Fed balance sheet, which, I mean, makes a lot of sense, absolutely.

你一看他的计算过程，就能明白他为啥这么想。

And you can see the math on that, and you can see how he's come to the conclusion.

但问题是，他们真能办到吗？

The question is, are they really able to do that?

我想说的是，缩减美联储资产负债表的办法多的是。

And my point is that there's lots of ways you can reduce the size of the Fed balance sheet.

但归根结底，你是在明显缩小美联储在市场上的影响力。

But what you're doing is you're clearly reducing the footprint of the Fed in markets.

可问题是，你真想让美联储退出市场吗？毕竟它可是债券市场的守护者啊。

But do you want a bigger footprint because the Fed is the guardian of the bond market?