主要貨幣觀點(diǎn)：長(zhǎng)期高位的美元

1、Global FX Strategy & Global EM Research15 May 2020Key Currency ViewsLong tall dollarFX markets have become less USD-centric on tentative signs of stability. Growth forecasts have been unchanged for nearly a month and new cases are on a decline in DM but these developments are still in their nascent

2、stages and a selectively defensive FX view is still warranted. The dollar remains asymmetric to risk markets, visibility on timing/ shape of recovery is poor, US-China tensions have escalated again, liquidity is shallow with valuations not cheap enough.In G10, our focus is on greater differentiation

3、 on central bank QE aggressiveness and external/ fiscal fundamentals. Stay defensive via long USD, CHF vs. a basket of vulnerable FX (CAD, NZD. GBP, EUR, SEK).In EM FX, we are selectively underweight with focus on external refinancing and fiscal deficits. Keep underweight in EMEA where these vulnera

4、bilities are pronounced and bearish bias on Asia. Neutral Latam.Despite better performance from risk markets, our forecast trajectory for the broad dollar has actually been upgraded by 1-1.5% in the past month.Notable G10 changes: upgrade to JPY targets and view (changed to bullish bias on JPY from

5、bearish; USD/JPY at 106 from 110 HYPERLINK l _bookmark0 1 ); more bearish targets for NZD and GBP given aggressive policy responses (NZD/USD to 0.58 from 0.61; EUR/GBP to 0.88 from 0.86); and upgraded targets for Scandi FX on better fundamentals, but with near- term bearish bias intact. EUR/USD unch

6、anged at 1.06.In EM FX: EM currency index forecast is revised down by 2%. Largest changes from Latam (BRL, MXN) on weaker fundamentals; EMEA targets are mixed while Asia forecasts are largely unchanged. USD/CNY unchanged at 6.99. USD/BRL at 5.60 (from 5.10). USD/MXN at 23.0 (from 22.0).Still early-s

7、tage, but growth forecasts have been stable for nearly a monthCumulative change in J.P. Morgan economists growth forecast revision indices0-1-2-3-4-5-6-7 EM DMGlobal1Jan 20Mar 20May 20Source: J.P. Morgan1 FX targets are all 1Q21.See page 41 for analyst certification and important disclosures.Global

8、FX Strategy & EM Markets Meera Chandan AC(44-20) 7134-2924 HYPERLINK mailto:meera.chandan meera.chandanJ.P. Morgan Securities plcPaul Meggyesi(44-20) 7134-2714 HYPERLINK mailto:paul.meggyesi paul.meggyesiJ.P. Morgan Securities plcSally M Auld(61-2) 9003-7904 HYPERLINK mailto:sally.m.auld sally.m.aul

9、dJ.P. Morgan Securities Australia LimitedDaniel P Hui(1-212) 834-5997 HYPERLINK mailto:daniel.hui daniel.huiJ.P. Morgan Securities LLCTohru Sasaki(81-3) 6736-7717 HYPERLINK mailto:tohru.sasaki tohru.sasaki JPMorgan Securities Japan Co., Ltd.Benjamin Shatil(81-3) 6736-1730 HYPERLINK mailto:benjamin.s

10、hatil benjamin.shatil JPMorgan Securities Japan Co., Ltd.Thomas Anthonj(44-20) 7742-7850 HYPERLINK mailto:thomas.e.anthonj thomas.e.anthonjJ.P. Morgan Securities plcAnezka Christovova(44-20) 7742-2630 HYPERLINK mailto:anezka.christovova anezka.christovovaJ.P. Morgan Securities plcCarlos Carranza(1-2

11、12) 834-7139 HYPERLINK mailto:carlos.j.carranza carlos.j.carranzaJ.P. Morgan Securities LLCJonathan Cavenagh(65) 6882-8424 HYPERLINK mailto:jonathan.cavenagh jonathan.cavenaghJPMorgan Chase Bank, N.A., Singapore BranchContentsKey Currency Drivers HYPERLINK l _bookmark1 2Technicals HYPERLINK l _bookm

12、ark3 6USD Index HYPERLINK l _bookmark4 8JPY HYPERLINK l _bookmark5 10EUR HYPERLINK l _bookmark6 12GBP HYPERLINK l _bookmark7 14CHF HYPERLINK l _bookmark8 16NOK HYPERLINK l _bookmark9 18SEK HYPERLINK l _bookmark10 20CAD HYPERLINK l _bookmark11 22AUD & NZD HYPERLINK l _bookmark12 24MXN HYPERLINK l _bo

13、okmark13 28BRL HYPERLINK l _bookmark14 29ZAR & RUB HYPERLINK l _bookmark15 30TRY & CE4 HYPERLINK l _bookmark16 31KRW & INR HYPERLINK l _bookmark17 32CNY HYPERLINK l _bookmark18 33J.P. Morgan Forecasts HYPERLINK l _bookmark19 34Key Currency DriversFX markets have become less USD-centric as tentative

14、signs of stability have emergedgrowth forecasts have now been stable for nearly a month and new cases are on a decline in DM but these developments are still in their nascent stages and a selectively defensive FX view is still warranted. The dollar remains asymmetric to risk markets, visibility arou

15、nd the timing/ shape of recovery remains poor, US-China tensions have escalated again, liquidity is shallow with valuations not cheap enough.In G10, our focus is on greater differentiation on the basis of central bank QE aggressiveness and external/ fiscal fundamentals. We maintain a defensive bias

16、via long USD and CHF vs. a basket of vulnerable FX (CAD, NZD. GBP, EUR, SEK).In EM FX, we are selectively underweight with focus on external refinancing and the ability to finance large fiscal deficits. Underweight in EMEA FX where these vulnerabilities are quite pronounced, neutral on Latam FX and

17、maintain bearish bias on Asia.Despite better performance from risk markets in the past month, our forecast trajectory for the broad dollar has actually been upgraded by 1-1.5%.Notable G10 changes: upgrade to JPY targets and view (changed to bullish bias on JPY from bearish; USD/JPY at 106 from 110 H

18、YPERLINK l _bookmark2 2); more bearish targets on NZD and GBP given aggressive policy responses (NZD/USD to 0.58 from 0.61; EUR/GBP to 0.88 from 0.86); and upgraded targets for Scandi FX on better fundamentals, but with near-term bearish bias intact. EUR/USD unchanged at 1.06.In EM FX: forecast for

19、EM currency index is revised down by 2%. Largest changes from Latam (BRL, MXN) on weaker fundamentals; EMEA targets are mixed while Asia forecasts are largely unchanged. USD/CNY unchanged at 6.99. USD/BRL at 5.60 (from 5.10). USD/MXN at 23.0 (from 22.0).Calmer for nowThe past month has been characte

20、rized by calmer market conditionslower volatility, a still-strong tone in equities, stable oil prices, narrower credit spreads and a further easing in US funding pressures as indicated by the slide in short-tenor swap rates. Against these moves, interest rates in most developed markets and FX stands

21、 out. DM ratesExhibit 1: FX markets continues to lag other sectorsChange in max moves in March retraced thus far; %6%66%26%S&P 500US swap/OIS spdEM credit EUR/USD basis (Libor)* EUR/USD basis (OIS)* US IG credit spdTsy dislocations86%89%41%120%111%63%115%EMCI USD vs. G10 USD TWI0%50%100%150%Source:

22、J.P. MorganExhibit 2: and have become less USD centric% of currencies that USD strengthened against in the past month (rolling monthly %)1009080706050403020100Aug 19Nov 19Feb 20May 20Source: J.P. MorganExhibit 3: Growth forecasts have been stable for nearly a month Cumulative change in J.P. Morgan e

23、conomists growth forecast revision indices EMDMGlobal10-1-2-3-4-5-6-7Jan 20Mar 20May 20Source: J.P. Morgan2 FX targets are all 1Q21.Exhibit 4: COVID-19 new cases growth rates are now larger in EM but falling in DMDaily COVID-19 new cases per million population; log scale DMEM ex-CNY86420-2-4-6Jan 20

24、Feb 20Mar 20Apr 20May 20Source: Our World in numbersbecause they have largely stayed near the lower end of their range and FX given that the broad dollar and most high beta FX have hardly retraced their March moves (exhibit 1).Exhibit 5: US-China tensions have re-escalated once again with the number

25、 of news stories on the topic at its 6-month highCount of stories with mentions of China and Trump; daily average by month10080604020Feb 19May 19Aug 19Nov 19Feb 20May 20Source: Bloomberg, J.P. MorganExhibit 6: FX market depth is still 35% lower than pre-outbreak levels Market depth in FX* for USD/JP

26、Y and EUR/USD vs. Bunds and Treasuries+; Starting value indexed to 100While US equities have bounced 28% from their Marchlows, the broad dollar is within 2% of its March highs and our index of EM currencies has actually weakened further and currently stands at 0.5% below its March lows.FX markets ha

27、ve transitioned from the first phase of intense deleveraging in March to a consolidative phase which has become less USD centric (exhibit 2). On the one hand, the global macro backdrop still remains dire with the deepest recession since WWII. On the other, there are some tentative signs of stability

28、 emerging, which, in conjunction with still-increasing monetary and fiscal support, are helping markets to stabilize expectations at least our economists growth forecasts have now been140120100806040200FX Market depth Tsy market depth Bunds market depthAug 19Nov 19Feb 20May 20unchanged for nearly a

29、month (exhibit 3). Importantly, growth rates of new COVID-19 cases have been contained, at least in DM (exhibit 4).but still on weak footingThese developments are encouraging but nascent and in our view conditions are still not in place to abandon our selectively defensive FX view. The defensive sta

30、nce is still motivated by the factors outlined in prior publications, the primary one being that the visibility around the timing and shape of recovery remains poor. Our economists have been noting that despite the record 2H20 bounce, global recovery is still likely to be incomplete given rising cor

31、porate leverage, fiscal exhaustion and lingering household caution (Bouncing to malaise, Kasman and Lupton and US: V is for very unlikely, Feroli). Data from China which is furthest along the curve corroborates this expectationthe PMIs have not yet bounced to our economists expectations and April re

32、tail sales disappointed* Size of the top 5 bid and offer levels of the order book; averaged for 5 minute snapshots for ahour liquid window by pair.+ Market depth is the sum of the three bids and offers by queue position, averaged between 8:30 and 10:30am dailySource: J.P. Morgan, External venuesthis

33、 week, indicating weaknesses in consumption. There also continues to be substantial uncertainty on the intensity of a possible second wave of infections as lockdowns start to come off in several countries. So while economists growth downgrades may have stalled for now, upgrades are not likely any ti

34、me soon.An added source of concern is the re-escalation of US- China tensions. The Trump administration has blamed China for the pandemic and as tensions have stepped up, so have news reports on the issue (exhibit 5). Our economists highlight several stress pointsit unlikely that China will be able

35、to meet the purchase agreement in the Phase 1 deal, export controls in technology, the financial sector andExhibit 7: Dispersions in FX have inched up but are still below GFC wides, keeping us cautious on this signal; only some pockets of value have emerged in the cheaper end of the spectrumAverage

36、mispricing difference between rich and cheap currencies on a REER-PPI basis; %Exhibit 8: CAD, NZD and GBP have more vulnerable fundamentals given C/A deficits and larger government indebtedness; Scandis and CHF rank betterC/A balances vs. net general government debt outstanding (% of GDP)50Dispersio

37、n in global FX valuations4540353025202008201120142017202010C/A balance, % GDP0-10CA surplus, low indebtednessCHFSEKEURJPYAUDCADNZDUSD GBPCA deficit, high indebtednessNOK-150-100-50050100150200Net general govt debt, IMF 2020 projection, % GDPSource: J.P. Morgangeopolitics related to Taiwan and Hong K

38、ong (Re- escalation of US-China tension, Haibin Zhu). Implications are clearly bullish for USD vs. CNH and Asia FX, as well as vs. commodity currencies.Against this soft backdrop, various attributes in FX markets provide little comfort to investors. FX markets remain asymmetric to risk sentiment (tw

39、ice as responsive to an equity market sell-off than to a rally), liquidity is still poor with market depth still 35% below pre-COVID 19 (exhibit 6) and valuations still indicate that there is insufficient differentiation between rich and cheap currencies (i.e. dispersion in FX valuations is still no

40、t that high; exhibit 7).Staying selectively underweight in G10In G10, we maintain a defensive bias via long USD and CHF vs. a basket of vulnerable FX (CAD, NZD. GBP, EUR, SEK). With policy rates near zero across the board, our focus is increasingly on greater differentiation between currencies on th

41、e basis of fundamentals along the following dimensionscentral bank activism in relation to QE/ monetizing debt, government indebtedness which is expected to worsen and external vulnerabilities (reliance on foreign capital/ current account balances). In a previously published note assessing these fac

42、tors for G10 FX, we concluded that CAD, NZD and GBP are the most vulnerable and CHF plus Scandi FX the best rated on this framework (Assessing relative QE vulnerabilities in G10 FX, Meggyesi). The only high beta FX long we recommend is AUD but that too on a RV basis vs. NZD since it ranks better on

43、the framework.Source: J.P. Morgan, IMFExhibit 9: EM is still experiencing net outflows which we expect will continueRolling 1m foreign portfolio inflows into EM; USD bnTotal: 21day rolling sumEM Asia: 21day rolling sumEM ex-Asia: 21day rolling sum40200-20-40-60-802018 2018 2018 2018 2018 2018 2019 2

44、019 2019 2019 2019 2019 2020 2020 2020Source: J.P. Morganand EMIn EM FX, focus remains on external refinancing and the ability to finance large fiscal deficits. Our EM team note that even though the unprecedented pace of EM outflows in March has passed, we are still seeing outflows and expect furthe

45、r EM portfolio deleveraging going forward, although Asia may be an exception (Emerging Markets Outlook and Strategy, Oganes, Goulden et al; exhibit 9). EM credit spreads continue to lag the retracement in other funding stress metrics. Our EM team remains neutral on EM FX overall but with an underwei

46、ght on select vulnerable candidates with differentiation on the basis of fundamentals. They are underweight in EMEA FX where these vulnerabilities are quite pronounced, neutral on Latam FX but maintain a bearish bias on Asia via TWD FX given rich valuations and a re-escalation of US-China tensions.T

47、he forecast bottom line: USD targets upgradedIt is interesting that despite an ongoing slide in vol and more orderly market conditions in the past month, our forecast trajectory for the broad dollar has actually been upgraded by 1-1.5% over the 1y horizon with the near-term bias still for further mo

48、dest USD appreciation.With the acute phase of the crisis now past, forecast changes over the past month reflect idiosyncratic factors. Notable G10 forecasts are motivated by policy differentiation (bearish for NZD and GBP) and growing domestic growth concerns (less bearish JPY on slower capital outf

49、lows and prospects of deflation). The change in our bias on JPY from bearish to bullish is particularly noteworthy. Scandi forecasts are upgraded to reflect better fundamentals and lower vol, but still look for weakness in the near-term.In EM FX, our forecast for the EM currency index is revised dow

50、n by 2% over the horizon, with the largest changes come from Latam (BRL, MXN) on weaker fundamentals; EMEA EM targets are mixed while Asia forecasts are largely unchanged.The dollar is ultimately projected to appreciate against half of the currencies we forecast from current spot levels.G10: now bul

51、lish bias on JPY JPY: Upgraded intra-month to reflect a gradual but bullish risk bias. We now expect the recent period of JPY depreciation to end. This reflects differences in policy responses to COVID and the risk of dramatic growth differentials vs the US. Deflation also a bullish JPY risk. 4Q20 a

52、t 107 from 109, and 1Q21 at 106 from 110. but more bearish on NZD and GBPNZD: Bearish and downgraded. RBNZ rhetoric and large-scale (and rising) asset purchases are bearish for NZD even in the context of globally synchronized QE. Lower NZD/USD targets from 0.60 to 0.59 for 3Q20, and from 0.61 to 0.5

53、8 for 1Q21.GBP: Downgraded and strategically short vs USD. Large external vulnerabilities are exacerbated by a sizable fiscal financing requirement and likely BoE upscaling of asset purchases in June, with odds of no- deal Brexit once again rising. EUR/GBP raised to 0.88 from 0.86 by year-end, while

54、 GBP/USD is projected flat at 1.20 from 1.23 prior.NOK & SEK: Scandi forecasts are upgraded to reflect better fundamentals (fiscal and external) and lower vol, but still look for weakness in the near-term.EUR/SEK mid-year target is put at 10.90 (from 11.20).EUR/NOK at 11.30 (from 11.80).Other G10 ta

55、rgets and views unchangedEUR: Bearish bias and short vs CHF. The rise in public sector debt and subsequent debt sustainability present challenges for EUR. The GCC could have negative fundamental implications for the Eurozone. EUR/USD unchanged with 3Q20 at 1.07, with 1Q21 dipping to 1.06.CAD: Strate

56、gically short. USD/CAD unchanged at1.48 by year-end, reflecting significant vulnerabilities from the oil sector and external deficits.AUD: Bearish bias near-term vs. USD but outperforms NZD. Reflects QE Lite and resilient bulk commodities, though Australia-China tensions present bearish risk. AUD/US

57、D forecasts unchanged at0.65 by year-end.CHF: Bullish and strategically long. Large increases in sight deposits from SNB reflect strong appreciation pressure from BoP surplus and lack of private sector outflows. Bearish EUR/CHF forecasts unchanged atfor 3Q20 and 1.02 by first-quarter 2021.EM FX: Tar

58、gets weakened by 2%; selectively underweightAsia: MW EM Asia FX with modestly bearish outright exposure through long USD/THB and USD/TWD. Year-end USD/CNY forecasts are unchanged at 6.99. The only change intra-month is USD/PHP at 50.75 by 3Q20 from 52.0. Unchanged forecasts include USD/IDR (15600 fo

59、r 4Q20), USD/KRW (1210), USD/SGD (1.41), USD/THB (33.25) and USD/TWD (29.75).EMEA: Net UW EMEA FX with a focus on relative value. EUR/HUF upgraded to 365 by year-end from 386 following central bank hike. EUR/PLN (4.70 from4.75 in 4Q) and EUR/CZK (26.75 from 26.80 1Q21) marked to market. USD/ZAR unch

60、anged at 20.5 by early 2021. USD/RUB at 72.5 from 73 for the same period.Latam: MW and long PEN/CLP. USD/MXN downgraded to 23.0 from 22.0 by 1Q21 on growth concerns and ratings downgrades. USD/BRL raised to at 6.00 in the near-term (5.90 in 3Q from 5.10) and 5.60 by 1Q21, reflecting political uncert