主要貨幣觀察：美元例外主義的一個特殊終結

1、Global FX Strategy & Global EM Research14 August 2020Key Currency ViewsAn exceptional end to USD exceptionalismRecent developments in COVID-19 and growth have been benign. New infection rates have improved including in the US, while data is beating expectations in most countries.Relative growth rath

2、er than higher US rates is likely to be the dominant driver of USD. High infections in the US vs. rest of DM and the political landscape is still likely to be a net drag on the dollar.G10 FX recovery candidates are stronger than pre-COVID levels and EUR longs are crowded on some metrics. By contrast

3、, EM candidates have mean reverted by smaller magnitudes and investor positioning is neutral.Trade recommendations are still focused on selective regional preferences and largely unchanged. Long euro bloc in G10 high beta (long NOK, SEK vs. CAD) and short USD vs. other reserve FX like CHF and JPYand

4、 longs in Asia FX (via CNH and SGD) and Latam (via long MXN) for EM.FX forecast changes are more substantial. USD broadly downgraded by 3.5% on loss of US exceptionalism; now expected to be range-bound.G10: All reserve FX upped vs. USD led by EUR. Near-term EUR/USD peak1.20 (from 1.13). 2Q21 still c

5、autious at 1.17 on growth skepticism. USD/JPY 104 in 4Q20 from 107.CAD, NOK, SEK upgraded. USD/CAD HYPERLINK l _bookmark0 1 2Q21 at 1.40 (from 1.42);EUR/NOK: 3Q 10.40 (from 10.80). EUR/SEK: 3Q 10.40 (from 10.55).EM: upgraded by 3% led by Latam and EMEA (+4%); Asia upgraded by 2%. USD/CNY year-end at

6、 6.90 (from 7.00); 6.85 (from 7.05). USD/MXN 21.95 (from 23.25). USD/BRL 5.30 (from 5.60).Activity data is beating consensus expectations in nearly 70% of the countries% of countries with positive EASI (Economic activity surprise index)G10 EM Global100%80%60%40%20%0%Jan-19Apr-19Jul-19Oct-19Jan-20Apr

7、-20Jul-20Source: J.P. Morgan1 Targets are for 2Q21 unless otherwise stated. The next Key Currency Views will be published on September 11th.See page 41 for analyst certification and important disclosures.Global FX Strategy & EM Markets Meera Chandan AC(44-20) 7134-2924 HYPERLINK mailto:meera.chandan

8、 meera.chandanJ.P. Morgan Securities plcPaul Meggyesi(44-20) 7134-2714 HYPERLINK mailto:paul.meggyesi paul.meggyesiJ.P. Morgan Securities plcDaniel P Hui(1-212) 834-5997 HYPERLINK mailto:daniel.hui daniel.huiJ.P. Morgan Securities LLCBen K Jarman(61-2) 9003-7982 HYPERLINK mailto:ben.k.jarman ben.k.j

9、armanJ.P. Morgan Securities Australia LimitedTohru 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.shatil benjami HYPERLINK mailto:n.shatil n.shatil JPMorgan Securities Japan Co., Ltd.Saad

10、Siddiqui(44-20) 7742-5067 HYPERLINK mailto:saad.siddiqui saad.siddiquiJ.P. Morgan Securities plcCarlos Carranza(1-212) 834-7139 HYPERLINK mailto:carlos.j.carranza carlos.j.carranzaJ.P. Morgan Securities LLCArindam Sandilya(65) 6882-7759 HYPERLINK mailto:arindam.x.sandilya arindam.x.sandilyaJPMorgan

11、Chase Bank, N.A., Singapore BranchContentsKey Currency Drivers HYPERLINK l _bookmark1 2USD Index HYPERLINK l _bookmark2 8JPY HYPERLINK l _bookmark3 10EUR HYPERLINK l _bookmark4 12GBP HYPERLINK l _bookmark5 14CHF HYPERLINK l _bookmark6 16NOK HYPERLINK l _bookmark7 18SEK HYPERLINK l _bookmark8 20CAD H

12、YPERLINK l _bookmark9 22AUD & NZD HYPERLINK l _bookmark10 24MXN HYPERLINK l _bookmark11 28BRL HYPERLINK l _bookmark12 29ZAR & RUB HYPERLINK l _bookmark13 30TRY & CE4 HYPERLINK l _bookmark14 31KRW & INR HYPERLINK l _bookmark15 32CNY HYPERLINK l _bookmark16 33J.P. Morgan Forecasts HYPERLINK l _bookmar

13、k17 34Key Currency DriversRecent developments in COVID-19 and growth have been benign. New infection rates have improved including in the US, while data is beating expectations in most countries.the US in favour of Europe and China, which warranted selective pro-risk exposure in the latter regions.E

14、xhibit 1: Infection rates have peaked in the US and stabilized in some parts of EMNew COVID-19 cases/mn by region250Relative growth rather than higher US rates is likely to be the dominant driver of USD. High infections in the US vs. rest of DM and the political landscape is still likely to be a net

15、 drag on the dollar.G10 FX recovery candidates are stronger than pre- COVID-19 levels and EUR longs are crowded on some metrics. By contrast, EM candidates have mean reverted by smaller magnitudes and investor positioning is neutral.200150100500USDEURLatam EMEA Asia USLatam EMEAEuro areaAsiaTrade re

16、commendations are still focused on regional preferences and largely unchanged. Long euro bloc in G10 high beta (long NOK, SEK vs. CAD) and short USD vs. other reserve FX like CHF and JPYand longs Asia FX (longs in CNH and SGD) and Latam (via long MXN) in EM.FX forecast changes are more substantial.

17、USD broadly downgraded by 3.5% on loss of US exceptionalism; Broad dollar now expected to be range-bound.G10: All reserve FX upped vs. USD led by EUR.Near-term EUR/USD peak 1.20 (from 1.13). 2Q21 still cautious at 1.17 on growth skepticism. USD/JPY 104 in 4Q20 from 107.CAD, NOK, SEK upgraded. USD/CA

18、D 2Q21 at 1.40 (from 1.42); EUR/NOK: 3Q 10.40 (from 10.80). EUR/SEK: 3Q 10.40 (from 10.55).EM: upgraded by 3% led by Latam and EMEA (+4%); Asia upgraded by 2%. USD/CNY year-end at 6.90 (from 7.00); 6.85 (from 7.05). USD/MXN 21.95 (from 23.25). USD/BRL 5.30 (from 5.60).USD: from exceptionalism to med

19、iocrityIn our previous Key Currency Views a month ago, we highlighted that growth metrics and mortality rates were evolving in the right direction for a global recovery.However, a source of concern was rising infection rates in the US and in some EM countries (Latam, some Asia), which in our view pu

20、t the global recovery theme on a fragile footing. Hence, our focus was on the end of US exceptionalism which was the dominant theme of 2018 and 2019, i.e. on the regional rotation in growth away fromFeb 20Apr 20Jun 20Aug 20Source: My World in Data, J.P. MorganExhibit 2: Mobility peaked in late June

21、but PMIs nonetheless increasedGoogle activity indices and Global manufacturing PMI DM GAIEM GAIGlobal PMI552050-5-1048-1546-2044-2542-30-3540-4038Feb 20Apr 20Jun 20Aug 20Source: Google, J.P. Morgan economicsFX markets have largely behaved in conjunction with this narrative over the past month with E

22、uropean and Asian currencies outperforming in both G10 and EM.A clearer case for global recovery: New COVID-19 cases have declinedAn updated look at these two dimensionsCOVID-19 and growth metricsshows developments have moved in a more benign direction for the global recovery. The narrative on infec

23、tion rates has improved. In DM, the incidences of new cases in the US has come off the peak and stabilized/ declined in parts of EM (exhibit 1).European new cases have started to inch up, however froma much lower starting point thus providing some cushion to the recovery theme near-term. Deaths have

24、 inched up in the US but is still below half its peak and are unchanged for Latam and EMEA relative to a month ago.while growth metrics continue to improveGrowth metrics meanwhile are still indicating that the global recovery momentum is underway. Mobility has not improved since June, but this was e

25、xpected to stabilize at some stage in any case as conditions normalized. Other metrics such as PMIs suggest that a recovery is nonetheless still ongoing (exhibit 2). Our economic activity surprise indices or EASIs are positive for both DM and EM indicating that data in recent weeks on average has be

26、en beating expectations. This is a broad- based phenomenon with nearly 70% of the countries globally with a positive EASI (exhibit 3). Economists forecasts have been stickier and are mostly unchanged but in aggregate, are now inching up slowly for several countries but declining substantially for ve

27、ry few (exhibit 4). Given these changes, our growth momentum frameworks is suggesting further weakening in USD (USD: Mediocrity is EASIer than exceptionalism). The flash PMIs at the end of next week will be relevant in this regard and is likely to set the tone for FX in the coming weeks.The US case:

28、 growth is far from exceptional, politics a riskWhile the decline in US new cases is a positive development for the global growth narrative, we would not interpret this necessarily as being a dollar positive phenomenon since (a) high infections relative to rest of DM is still likely to be a net drag

29、 on domestic activity even as the global recovery theme intensifies, and (b) the political landscape in the US remain tenuous. The immediate attention is on the US fiscal cliff relating to suspended COVID-19 programs. Trumps executive orders entail several operational hurdles, but do not provide an

30、offset. We estimate that each month that the most important expired program, the Federal Pandemic Unemployment Compensation, is not extended or otherwise offset, translates to 0.4% of GDP and 0.9% on the USD Index (see USD). Furthermore, the longer this assumed transitory situation persists, the mor

31、e the delay of the $1- 3trn CARES 2.0 stimulus that is still assumed to eventually come will need to be translated into near-term growth downgrades.Beyond the fiscal issues, betting odds continue to indicate a Democratic sweep which would still entail an unwind of the corporate tax cuts and thus som

32、e USD weakness, although the risk of progressiveness has receded so the impact is likely to be milder than previously anticipated by some (see USD).Exhibit 3: and activity data is beating consensus expectations in nearly 70% of the countries% of countries with positive EASI (Economic activity surpri

33、se index)G10 EM Global100%80%60%40%20%0%Jan-19Apr-19Jul-19Oct-19Jan-20Apr-20Jul-20Source: J.P. MorganExhibit 4: Economists have upgraded growth forecasts of only a few countries but hardly any are getting downgraded substantiallyJ.P. Morgan economists growth forecast revision index: 1y zscore of 3m

34、change1Y zscore1Y zscore32.521.510.50-0.5-1INR ZAR THB CLP ILS COP AUD TRY BRL HUF NZD CZK PHP USD EUR IDR SEK SGD TWD JPY MYR PLN GBP RUB CAD MXN NOK KRW CNY-1.5Source: J.P. MorganThe rise in US yields is expected to be limitedThe recent rise in DM yields led by the US could be considered by some a

35、s a potential catalyst for a stronger USD, but we think this is unlikely. Our rates strategists think that the recent rise in yields is unlikely to morph into a vol event akin to the taper tantrum given that both Treasury and Bund valuations are not that rich, investor longs not that crowded and the

36、 central banks including the Fed will remain dovish. Moreover, US yield spreads have not widened much and in fact are still near 7-year lows with the dollar largely having lagged that move (exhibit 5). We think the more dominant driver of the dollar will continue to be global growth momentum which i

37、s still improving as discussed above.Exhibit 5: Despite the rise in US yields in the last two weeks, US yield spreads are still near a 7-year lowUS yield spreads vs. rest of DM vs. USD TWI USD TWIUS 10y yields vs. ROW13513012512011511010510095902005201020152020200150100500-50Exhibit 6: Leaders and l

38、aggards: G10 recovery candidates have already (more than) retraced, while some EM candidates have notably laggedRange and net change vs USD since 14 Feb; %Source: J.P. MorganBenchmarking FX to growthStylistic benchmarking of recent FX moves to growth metrics reveals that EM rather G10 has more poten

39、tial to be catch up candidates. This is evident from simply looking at the reversion that has already occurred post- COVIDmost G10 FX recovery candidates are now stronger than pre-COVID levels while EM has notably lagged (exhibit 6). Benchmarking FX moves to growth metrics such as our economists gro

40、wth forecasts or PMIs reveals similar resultsEUR/USD and G10 commodity FX are overshooting while EM is lagging (exhibit 7).Moreover, investor longs are also less crowded in EM than in EUR for instance (exhibit 8).This stylistic observation does not imply that broad- based longs in EM are warranted.

41、Our EM strategists are instead recommending selective exposure in Asia and Latam given that there are still several idiosyncratic risk factors that should dominate for some “cheap” currencies (Emerging Markets Outlook and Strategy, Goulden, Oganes et al).Trade recommendations: Long euro bloc in G10,

42、 long Asia and Latam in EMOur tactical trade recommendations which have been focused on selective high beta exposure havent changed substantially in response recent benign developments.In G10, we maintain exposure European FX in high beta space (long NOK and SEK vs. a dollar bloc proxy i.e.CAD) but

43、we have increased short USD exposure vs. other reserve currencies (we were already short USD vs. CHF to which we added short USD/JPY intra-month as well) on idiosyncratic US risks.Source: J.P. MorganExhibit 7: Benchmarking FX moves to growthEUR and G10 commodity FX are overshooting while EM is laggi

44、ngAverage mispricing of various currency baskets to economists growth forecast revision indices and PMIs10%5%0%-5%-10%Broad USDEUR/USDG10 comm FXEMCISource: J.P. MorganIn EM, the regional preference continues to be for Asia FX (longs in CNH and SGD) as well as Latam (via long MXN) given better funda

45、mentals and COVID-19 metrics. EMEA is geared to European growth but we are neutral given dovish central bank stance for most low-yielders and unappealing fundamentals of most high-yielders. CZK is the preferred overweight for European growth among low- yielders (we are long on RV basis) while RUB is

46、 the preferred candidate among the high yielders.The forecast bottom line: Dollar broadly downgraded on loss of US exceptionalismUnlike tactical views, the changes to currency forecasts have been more substantial.Most currency targets have been upgraded vs. the dollar over the past month as the them

47、e of loss of US exceptionalism has intensified at a time of global recovery. Within G10, all reserve currency targets were upped vs. USD with the largest adjustments coming from the euro where we now see 1.20 (previous peak was 1.13) as a possibility in the coming months. The 1y forecast is still ca

48、utious at 1.17 on skepticism in the sustainability of EU outperformance. JPY was also upgraded substantially (USD/JPY 104 in 4Q20 from 107) while targets for CHF and GBP were tweaked. Among G10 high beta FX, CAD, NOK and SEK targets were upgraded either on regional growth momentum or higher oil.EM w

49、as not immune to this improving sentiment/ constructive cyclical backdrop and targets were broadly upgraded by 3% in aggregate. Regionally, the largest upgrades from Latam and EMEA (upgraded by 4% each), while Asia was upgraded by 2%. USD/CNY year-end is put at 6.90 (from 7.00) and at 6.85 for 2Q21

50、(from 7.05) with targets in the rest of Asia moving in sympathy. USD/MXN at 21.95 (from 23.25). USD/BRL 2Q21 at 5.30 (from 5.60).In aggregate, our broad USD forecast trajectory has been marked down by 3.5% over the 1y horizon with the trajectory now looking for the broad dollar index to stay in a ra

51、nge (previously a 2.5% strengthening had been penciled in).Other reserve currencies (EUR, JPY, CHF, GBP) upgraded vs. USDEUR: COVID-19 has essentially delivered a one-time re-pricing of US rate expectations but we still think that the headroom for EUR/USD to rally beyond its medium-term averages is

52、limited on the basis that rate and growth differentials are liable to be stuck. Bearish forecasts were neutralized to long-run averages to account for the loss of US exceptionalism. Our forecasts now show a peak in EUR/USD at 1.20 incoming months (up from 1.13 previously). 1Y forecast is upgraded by

53、 7% from 1.09 previously, but at 1.17 the new forecast still embeds a vestigial skepticism about the European economy. Risk bias to forecasts is bullish.JPY: Upgraded vs. USD on smaller capital outflows and relative rates, inflation, and current account positions. We have brought forward our expecta

54、tion for yen appreciation into 2H20 (previously 1Q21).Exhibit 8: Longs are more crowded for EUR than for EM5y zscore of net IMM EUR longs and net investor longs in J.P. Morgan EM FX survey Net EUR longsEM FX3210-1-2-3-4201620182020Source: J.P. MorganUSD/JPY forecast is 104 in 4Q20 (from 107); 102 in

55、 2Q21 (from 105).CHF: Downgraded modestly vs. EUR but upgraded vs. USD; view is still bullish given asymmetric sensitivity to risk sentiment, impending Treasury currency report and strong external position. EUR/CHF 2Q21 at 1.04 (from 1.03).GBP: Cable forecasts upgraded in sympathy with EUR upgrade;

56、but still strategically short vs. EUR on external vulnerabilities are exacerbated by a sizable fiscal financing requirement, an expanding BoE balance sheet and Brexit. EUR/GBP 2Q21 at 0.93 (from 0.90). GBP/USD at 1.26 (from 1.21).Most G10 high beta FX upgraded vs. USD as wellNOK & SEK: Near-term tar

57、gets upgraded to reflect better regional growth momentum and higher oil. Near- term view is constructive on NOK and SEK on RV given domestic policies and global recovery, but SEK is starting to overshoot on some metrics. EUR/NOK: 3Q at 10.40 (from 10.80); 2Q21 at 10.30 (from 10.50). EUR/SEK: 3Q at 1

58、0.40 (from 10.55); 1y forecasts is left unchanged at 10.35. NOK/SEK is expected to trade in a higher range closer to parity assuming growth conditions remain intact.CAD: Upgraded modestly by 2-3c on mark-to- market but still bearish on weak BoP and QE. USD/CAD 2Q21 at 1.40 (from 1.42); year-end at 1

59、.35 (from 1.38).aside from AntipodeansAUD & NZD: Forecasts unchanged; Maintain downward forecast trajectories vs USD on COVID headwinds for Australia and a dovish RBNZs prospects for negative rates. AUD/USD kept at 0.66 from 4Q onwards. NZD/USD declining to 0.60 by 2Q21.EM FX: Targets upgraded acros

60、s the board; slightly overweight FX via Asia (CNY) and Latam (MXN)Asia: Stay long in Asia via CNY and SGD. CNY targets upgraded by 2-3% on a constructive cyclical backdrop, EUR upgrade as well as strong bond inflows and exports. USD/CNY year-end at 6.90 (from 7.00) and at 6.85 for 2Q21 (from 7.05).