高盛-2023全球外匯市場(chǎng)展望

nFormostofthelastthreeyears,marketshaveprimarilyhadtodealwithacommonshock—theglobalpandemic—withFXperformancedictatedbyglobalrisksentimentandsomevariationinpolicyresponsestothatshock.Nowaswegetsettoembarkon2023,thatenvironmentisshiftingintoanewphase.TheCovidrecoveryhasbeenunevenpolicytighteninghasbeenremarkablyswift,andthewarinUkrainehasbroughtEuropetothebrinkofrecession,withsicalconstraintsonactivitySofarthisshiftinglandscapehasproventobeameaningfulboostfortheUSDollar,whichhasbene?tedbothfromtherelativeresilienceoftheeconomyanditssafe-havenappealtodefyalready-loftyvaluations.But,withmonetarypolicysettodownshift,ChinaexpectedtoloosenitsgriponCovidcontrols,andEuropenavigatingthroughmorelastingphysicalconstraints,weexpectamoredifferentiated,tacticallevelspeaksinthemidsandsituation.Withoutvaluationsupport,andaftera“perfectstorm”ofDollarpressuresinmarketsareanxiousforsignsofafundamentalshift,andinvestorsareincreasinglyfearfulofmissingoutsincecorrectionsafterapeaktendtobeswiftandsteep.+44(20)7051-4005|kamakshya.trivedi@GoldmanSachsInternationalDannySuwanapruti+65-6889-1987|danny.suwanapruti@GoldmanSachs(Singapore)Pte+44(20)7552-8314|michael.e.cahill@GoldmanSachsInternationalishman+1(212)855-6006|karen.?shman@GoldmanSachs&Co.LLC+44(20)7552-2901|ian.tomb@GoldmanSachsInternational+44(20)7552-3779|sid.bhushan@GoldmanSachsInternational+44(20)7774-5725|davide.crosilla@GoldmanSachsInternationalbellaRosenberg+1(212)357-7628|isabella.rosenberg@GoldmanSachs&Co.LLCs+44(20)7051-7566|teresa.alves@GoldmanSachsInternationalderthisreportasonlyasinglefactorinmakingtheirinvestmentdecisionForRegACcerti?cationandotherimportantdisclosures,seetheDisclosureAppendix,orgoto/research/hedge.html.November2GapGap2520ValuationGapAtPeaksofRealUSDTrade-WeightedIndex2520502002200920162020LatestDollarstillhasalotgoingforitUSactivityandinationhavebeenremarkablyresilientdespiteabarrageofratehikes,helpedinpartbyconsumersdippingintotillsubstantialpentupsavingsinrecentmonthsAsaresulttheFedhasacknowledgedthattheconceptofa“restrictive”policyrateisamovingtarget,andofthecyclicalneutralratehavebeenmovinghigherBothFedofcialsandoureconomistsalsonowexpectalongerhikingcycleandevenhigherterminalrate.Asdiscussedinmoredetailinsubsequentsectionsbelow,weexpectothercentralbankseFedspaceInbrieftheEuroareastillfacesstiffheadwindsfromenergyshortages,andmanysmallerG10economiesaremoresensitivetochangesinthepolicyratedueinparttoaproliferationofvariableratemortgagesIncomparison,theUSeconomyhasabrighteroutlook,andmaybelesssensitivetohigherrates.Forthisreason,wethink2023ratepricingcouldconvergesomewhat,addingrenewedsupporttotheDollar(Exhibit2).November300basispointsHikesPricedin2023basispoints808806060604044020220000-20-20-20-40-40-40SEGBAUEUNZCHNOJPUSCAThisisimportantbecause,uptonow,theDollar’srisehascomedespitearelativelysynchronizedglobalhikingcycleExhibitWethinkthislargelyreectstwofactorsFirstratedifferentialsgenerallyserveasaproxyforunderlyingeconomicconditions,otallhikesarealikewhileFedofcialsaremostlymotivatedbysignsofanionsespeciallytheUKhavecommunicatedamorebalancedapproachwithatrade-offbetweensupply-drivenin?ationandanegativegrowthoutlook.Second,evenwhenmarketfocusshiftedoccasionallyfromin?ationtogrowth(earlierinthesummer)prominentglobalrecessionriskssawtheDollar’s“safehaven”bidcometothefore,andcontributedtotheDollar’sstrongperformance(Exhibit4).26242220181614121008262422201816141210080604USDUSDvsthemajors(left)WeightedaverageofUSvsthemajorsratedifferential(right)Jan-22Mar-22May-22Jul-22Sep-22Nov-22pp1.11.0%USDTWIreturns%876876543210-2TTWDINRCHFGBPKRWJPYMXNCADEURCNY01-Apr-'2215-01-Apr-'2215-Jul-'2215-Jul-'2219-Oct-'2231-Mar-'22%876543210-2November42.5 Industrialproduction(year-over-year)HeadlinePCEinflation(year-over-year)HeadlineCPIinflation2.02.0(year-over-year)882.5 Industrialproduction(year-over-year)HeadlinePCEinflation(year-over-year)HeadlineCPIinflation2.02.0(year-over-year)8866440.50.5220.00.000-2-0.5-0.5-2WhiletheDollarshighvaluationandabetterglobalgrowthoutlookhavemarketssearchingfor“peakDollarwethinktheconditionsforthe“true”peakstilllooklikelytortersawaySurveyinghistoricalDollarcycleswendthatpeaksinroadDollararemostreliablyassociatedwithatroughinmeasuresofUSandglobalExhibitJudgedfromthishistoricallensaDollarpeakwouldstillappeartobeseveralquartersawaysincewedonotexpecttheFedtoembarkoneasinguntil2024,andatroughingrowthalsoseemsmonthsaway.Butgiventhecurrentbackdropofextremelyelevatedin?ation,itmaymakesensetooverweighttheexperienceofthemid-1970sandthenwassimilarlyhighInthoseperiodstheDollarappearstohavepeakedwithsomeFedeasingbutUSinterestratesstillneartheirpeak,andwithglobalandUSgrowthstilldecliningratherthanatthetrough.Moreover,thehistoryofequitycorrectionsshowsthatthepeakinyieldsisabetterindicatoroftheactivitytroughinthiskindofmonetary-policy-drivencyclethaninothers.Forthisreason,elytobeakeydeterminantoftheDollar’sperformance.WhileoureconomistsexpecttheFedtoberesoluteandstillgenerallyresistanttoanyprolongedeasinginnancialconditions,themarketwilllikelycontinuetobesensitivetoanyindicationofmorein?ationtolerance.MedianMedianMacroVariablesatDollarPeaksPercentagepointsrelativetoPercentagepointsrelativetoPercentagepointsrelativePercentagepointsrelativetoPercentagepointsrelativetoPercentagepointsrelativetomonth0USActivityUSInflationmonth0month0Coreretailsales(year-over-year)2.5-18-16-14-12-10-8-6-4-2024681012141618-18-16-14-12-10-8-6-4-2024681012141618MonthsRelativetoDollarPeakMonthsRelativetoDollarPeakistoricalDollarpeakshaveoftenfeaturedsomecombinationofnancialstabilityaviorandbetterprospectsforglobalgrowthThecurrentcyclehaselementsofeachofthese,andwewouldnotunderestimatethefundamentalimportanceoftheglobaloutlook.WhileratedifferentialshavenotreallysupportedtheDollaruptothispointinthecycle,itisclearthatinvestorshaveneverthelessincreasedtheirallocationtoUSassetslikelyduetoweakcapitalreturnprospectsabroad.AsintheeventualDollarpeakthistimearoundwillcoincidewithbetterglobalgrowthNovember5prospectsandrenewedcapital?owsabroad(Exhibit6).Soweseeafewpotential“rightilrisksthatcouldleadtoanearlierDollarpeakthanwearecurrentlyforecastingseapathtowardsmorestableyinEuropeorafasterreopeninginChina%AUMGlobalPositioninginUSandEuroareaEquityandBondFunds%AUM11.06911.06810.5US(left)6810.5Euroarea(right)6710.0669.5659.0648.563628.062617.561201420152016201720182019202020212022driskalsovaryinrelativeimportanceovertimeTermsoftradeToTortheratioofexportpricestoimportprices—tendstobeanothersigni?cantdifferentiatingfactor.Forthisreason,wehaveconstructedcommodityToTindicesfor36economiestotrackthepotentialeffectofshiftingcommodityhroughthecurrentaccountforanindividualeconomyTheexplanatorypoweroftermsoftradeinshortertermpriceactionisoverallfairlylow,butitcanbemorerelevantincertainperiodsthanothers.Forinstance,whenweestimatetheR-SquaredofourAustraliatermsoftradeindexovera52-weekwindowinaunivariatemodelofAUD/USDreturns,we?ndthat,evenforamajorcommodityexportermovesintermsoftradehavegenerallyexplainedonlyasmallportionofperformance,althoughthisisnotunusualfortherelationshipbetweenanysinglevariableandFXreturnsovertime(Exhibit7).ButmmoditypriceshocksinnotablyincreasedtherelevanceofToTforthecurrencythroughmostof2021.November6%changeinspotFXvsUSD%changeinspotFXvsUSD2542200-2-4-6-85050-5%changeinspotFXvsUSD%changeinspotFXvsUSD2542200-2-4-6-85050-5-4-3-2-1012345%changeinGSToTindex=1.8492x-2.5923R2=0.5618y=2.9908x+3.8733R2=0.4832January1,2022April20,2022Latam&AsiaG10&EMEALast3Months(SinceAugust16,2022)=1.6816x-0.9356R2=0.3011=1.8031x-3.0513R2=0.1288Latam&AsiaG10&EMEA -4-3-2-10123%changeinGSToTindexyyyR-SquaredR-R-Squaredofofin52-WeekRollingR-SquaredGSAustraliaTermsTradeIndexAUDofofin00.080.00.080.020.00.0220102011201220132014201520162017201820192020202120222023We?ndasimilarpatternofvaryingimportancewhenwezoominonthisyearaloneandassessarangeofcurrencies.Fromthestartof2022untilmid-April,theresultingcommoditypriceshocksfromRussia’sthanusualAsimpleplotofdicessuggeststhatroughly50%ofFXmovesinearly2022weredrivenbyshiftsintermsoftrade,withaslightlytighterrelationshiphanforthoseinLatAmandAsiaExhibitThiscontraststothepastfewgfuldriverofreturnsperhapsasbroadDollarxhibitouldagainbecomeameaningfuldriverofshortertermFXreturnsassupplyacrossthecommoditycomplexremainstight.ThepossibilityofalargeoilpriceshockafteraperiodNovember7ofmoresubduedpricescouldbethatcatalyst,andourcommoditystrategistsprojectariseinBrentto$115/bbloverthecomingmonths(i.e.,nearly30%upsidefromcurrentspotofroughly$90/bbl).However,fornow,weexpectthatshiftsinratedifferentials—mostlikelyintheDollar’sfavor—willbethebiggerasJPYandCNYTheEuroisdeeplyundervaluedbymostconventionalstandards,butweseegoodevaluationestimatesatthistimeTheEuroareascurrentaccounthasdeterioratedsigni?cantlyinrecentmonths,anditcouldswinglowerhibitHigherpricesforscarceenergyhavedrivenmostofthisdecline,andwethinkthatcouldhaveamaterialimpactonprospectivereturnsfortheEuroFundamentallyvaluationestimatesrunontheassumptionthatpastrelationshipsstillhold,andthatisfarfromclearinthepresentsituation.OurcommodityanalystsexpectthatEuropewillcontinuetofacegasitrequiresacheaperEurotoachievethesamesofEURfairvaluehavealreadymovedlowerthisyear,andwouldfallsubstantiallyfurther(closetocurrentspotlevels)ifthecurrentaccountremainsaroundcurrentlevels.Thisdynamicalsomattersforthecyclicalcurrencyoutlook.Aswehavedocumented,capitalout?owsfromtheEuroareahelpeddrivethecurrency’sdeclineduringthenegativerateera,anditwilllikelyrequirebettertotalreturnprospectsforportfolio?owstocomeback.Butthatwillbedif?culttoachievewhileenergysuppliesareconstrained.Forexample,ifChinareopensmorequicklythanweexpect,itwouldtypicallybeanunambiguouspositivefortheEuro.But,inthecurrentsituation,thiswouldalsomeaneangassupplyandrequirehigherpricesandmoredemanddestructionEffectivelythelackofRussiangas?ows,andlimitedprospectforaquickreturn,puta“ceiling”onEuropeangrowthandtheEuro.Evenasthemilderwinter(sofarandatimelygrabforgassuppliesoverthesummerhasreducedtheprospectforabigger“cliffedge”thiswinter,wethinkrecentEURappreciationwillproveunsustainable.Whilegassuppliesremainuncertain,portfolioin?owsthatwouldberequiredtosupportthecurrencyarealsolikelytobe?ckle.Inaddition,buildingunderlyingweaknessinthemanufacturingsectorandwaningsupportfromreopeningcouldeventuallycausetheECBto“falloffthepace”ofFedtightening,especiallyconsideringthataggressivelyhikingintoaslowdownwouldriskexacerbatingcreditconcernsontheperiphery(Exhibit11).Inshort,aslongasthetradede?citiswideningandtheECBhastobalancehighin?ationagainstweakeninggrowth,wethinktheprospectforsubstantialEuroappreciationwillbelimited.November8500400300200000500400300200000-200-300500400300200000-200-300GermanyGreeceTotalEURbillionsEuroEURbillionsEuroArea:CurrentAccountBalanceItItalyFranceBelgiumOtherSpainPortugalFinland2010201120122013201420152016201720182019202020212022Index(50+increasing)Percentbalance60706560555045403530Index(50+increasing)Percentbalance6070656055504540353040200-20-40-60GermanyGermanyPMI(newmftg.orders)Chemicals(right)Rubber&Plastics(right)19911994199720002003200620092012201520182021haveboostedlocalassetmarketsinrecentweeks,withasharpreversalinRenminbiweaknessasimposedaseverecostongrowth,andmovingawayfromthisshouldallowarecoveryineconomicactivity,andsupportundervaluedlocalequitiesandcredits.However,despitesomeoftheencouragingnewsrecently—thegovernment’s20measuresaboutCovidandpropertymarket’s16measures—oureconomistsstillexpectgrowthtobebelowconsensusforthe?rsthalfoftheyear.Givenlowvaccinationratesfortheelderly,theinitialstageofChina’sreopeningmaywellprovetobenegativeforgrowth,withCovidcasessurgingandpopulationmobilitytemporarilydeclining,similartothereopeningexperienceofaneconomiesAsaconsequencewethinkthePBoCwillavoidtoomuchcurrencystrengtheningbeyondlevelswehavealreadyseen.Moreoveritisfarfromclearthatreopeningisasunambiguouslyapositiveforcurrencyfundamentalsasitisforotherassets.Infact,thepastcoupleofpandemicyearslanceOntheonehandChinasgoodssurplusexpandedsigni?cantlyonthecoattailsofthesurgeinglobalgoodsdemand.Ontheotherhand,thenear-completehalttointernationaltravelsigni?cantlymitigateditsde?citinservices.AfullreopeningshouldseeboththesetrendsreverseeadditionalenergyimportsshouldultimatelyleadtoaweakerlanceAtthesametime,thecapital?owpictureisalsolikelytobemorechallenging.Whileequityin?owscanbeexpectedtopickup,otherChineseassets—especially?xedincome,whichsawsigni?cantin?owsoverthepastfewyears—facemuchstiffercompetitionfromtherestoftheworldgivenhigheryieldsandbettervaluationsglobally.andcapitalowdynamicsarelikelytoposeaheadwindtothecurrency,inthesamewaythatitwasatailwindthroughthepandemic.Bottomline,wethinkthecurrencyisunlikelytobethebestwayforinvestorstopositiongNovember9040200989694929088Furtheroutinto2023,thedivergencebetweentherelativeweaknessoftheCNYversustorsmaybebetteroffpositioningforCNYweaknessoncrossesExhibitWehavestartedmovingourviewsinthatdirectionthroughourrecentshortCNHrecommendationversustheKoreanWon(KRW),andexpectthosetypesofshiftstoextendfurther040200989694929088MlnUSD,SA2MlnUSD,SA2250002020Q12020Q1BOP:TradeinGoodsBOP:TradeinServices1500001500001500007500075000000-75000-7500000000020122013201420152016201720182019202020212022CNYCNYTWI(Index:Jun.1,2015=100)USD/CNY(inverted,RHS)CNYWeaker20152016201720182019202020212022-5.25-5.5-5.75-6-6.25-6.5-6.75-7-7.25-7.5hformostthisyear,andweexpectthattoremaintrueoverthenext12months,withtwopotentialpathsforthecurrency.The?rstpath,consistentwithourbaselineeconomicoutlook,asitheUSeconomymostlikelyavoidsrecessionninitiallyexpectedandiintilthefadditionalFXmarketinterventionsbyJapan’sMinistryofFinancealsolooksunlikelytobesuf?cienttopreventfurtherdepreciationifratedifferentialscontinuetowidenintheDollar’sfavor,thoughoperationssofarhavebeensuccessfulatdampeningtheimpactofchangesinldfuelarenewedrallyinUSDJPYtooverthecomingmonths;theUSbondrallylookslikelytoreverseandthelatestdeclineinUSDJPYhasclearlyexceededfundamentalsExhibit.Meanwhile,theriskoffurthernsionintheUSleavesyieldsskewedtowardsevenhigherlevelsandcouldeadyexpectButunderourbaselineoutlook,H22023shouldlookmoreconstructiveforthecurrencyastheDollarmostlikelyseesthenecessaryconditionstoturnloweragainstmostcrosses—mainlyunderoureconomists’forecastthattheendoftheFedhikingcyclewill?nallybeinsight—andmingyearWeseethreekeydownsideriskscenariostoourbaselineoutlookforUSD/JPY(outsidenerthanexpectedorbothWhileoureconomiststhinkthattherisksleanintheoppositedirection,themarkethasbecomeincreasinglyfocusedonthepotentialforrypolicystanceascoremeasuresofinationhavebeenrisingtotarget,FXinterventionstosupportthecurrencyhavecommenced,andUSyieldslooklikelytocontinuetorise.IfweweretoseeachangetoYCC,wethinkthatendingthepolicycompletely(ratherthanraisingthetargetorshorteningthematurity)wouldbemostmeaningfulforJPYandeventhenitmaynothaveaslargeofanimpactassomemightexpect.ThebiggerdriverwouldbeaUSrecession,inwhichourestimatessuggestthatwecouldseedownsideinUSDJPYwithrelativelylimitedFedoththeBoJdecidestoendYCCandtheUSdatabegintoshowclearsignsofanimminentrecession,wewouldturnmorenegativeonUSD/JPYandinmonthsversusourcurrentforecastsof,140andassumingthesefactorsonlybegintotakeshapeinmid-Q1).CoefficientCoefficient77BetaofDailyUSD/JPYCoefficientCoefficient77Changesin10-YearRealSwapRateDifferential(overprior30tradingdaysonwhichthedifferentialwidened)66"Ratechecks"6655LikelyMoFinterventions55444333222111000Jan-22Jul-22Sep-22Jan-22Jul-22Sep-22Mar-22Nov-22USD/JPY54USD/JPY(left)54USD-JPY10yrealswapratedifferential(right)48423630241812Jan-22Mar-22May-22Jul-22Sep-22Nov-22pp.00.60.2-0.2-0.6hursdaysbudgetservedasthenalstepofahugescalpolicyUturnwhichhassigni?cantlyreducedtheriskpremiumonUKassets.ButwestillexpectSterlingtounderperformintheneartermasitabsorbsthelatestnegativesupplyshockfromgradualtighteningpathinthefaceoftighterconstraintsonenergyandlabourmarkets,whichputsmorepressureonSterlingasthereliefmechanism.AsBoEDeputyGovernorBroadbentsaid,“thepandemicwasacommonshocktoallofus,thewarisnot”(andneitherisBrexit).TheUKfacesasevereenergytermsoftradeshockbutBrexit-relatedfrictionsarealsoweighingonthetradebalance(Exhibit16)andcontributingtoaverytightlabormarket.Indeed,theUKistheonlyG10economywhereactivityremainsbelowitspre-pandemiclevel,andoureconomistsexpectnegativegrowthin2023,whileunderlyingin?ationisexceptionallystrongandshowslimitedsignsofcomingdown. 2022GBPbillions1050-5-20-25-30GBP50-5-20-25-30billionsUK:TradeBalanceinGoodsFood,Beverages&TobaccoBasicMaterialsFuelsManufacturesMiscellaneousgoodsTradeBalanceinGoods 2018202020212012018202020212017hasforecastedaggressivedeclinesinination(despiteupwardrevisionstonear-termforecasts)andunderdeliveredonhikesasitstrikesanincreasingly?nebalancebetweensupportingeconomicactivitywhiletakingsomeactiontoresisthigherin?ation(Exhibit17).Inessence,thisconstitutesarelativelydovishreactionfunction,whichmeansthatrealratesareunlikelytoprovideSterlingmuchsupport.WhiletheNovembermeetingwouldhavebeenanopportunityfortheBanktochangetunetheBoEinsteaddeliveredadovish75bphike.Fromhere,itishardtoseeanupcomingcatalystfortheBanktoturnmorehawkishasenergysupportlimitsheadlinein?ationandtheforecastedrecessionbecomesreality.PercentagepointsPercentagepoints0.50.0-0.52024Q4CentralBankYear-over-YearInflationForecastsRelativetoTarget0.50.0-0.5*2024Fiscalyear.Ata12-monthhorizon,weexpectGBP/USDtostrengthenslightlyto1.22,stillabitbelowitslevelformostof2022.ThisisbecausetheUKwillstillbefacingnegativetermsoftradeandBrexit-adjustmentshocksdespitesomelikelyimprovementsonbothfronts.WeseetwosourcesoffurtherupsiderisktoSterling.First,GBPwouldlikelystainedDollarweakeningButwewouldexpectGBPtoperformlesswellthanothersgiventhatneitherofthefundamentalshockshavenextyearwouldlikelyrequireamaterialimprovementintheenergyshockfacingtheUK.Inthatcase,astrongerexternalpositionandaBoEthatmayhikefurthertorebalanceaverytightlabormarketcouldtogetherleadtomeaningfulSterlingupside.ThepassthroughofratehikestoGDPandin?ationdependsonstructure(oftenrelatedtothehousingmarket)ofaneconomy.Whenratesarerising,householdswillfeelafasterhittodisposableincomeifmortgageratesresetmorefrequentlyoriftheyholdalargeamountofmortgagedebt,andwilllimittheirconsumptionmorewhenhousepricesfalliftheirhouseisalargershareofwealth.Afterplayingcatch-upthrough2022,G10centralbanksarenowtryingtocalibratetotherightlevelofrestrictive,andthespeedatwhichratehikespassthroughwillbeanimportantpointofdifferentiation.lyfallenfasterthisyearinsmallGcountrieswithahighershareofmortgagesresettingfrequently(Exhibit18),andhigherhousingwealthandmortgagedebtr.WeconstructstylizedpartialimpactsonGDPfromrisingratesviahigherconsumerdebtinterestpaymentsandnegativehousingwealtheffectchannels.1Toestimatetheimpactonconsumptionfromhigherdebtpayments,we%1YearEffectonGDPFollowing100bpIncreaseinPolicyRatefromNegativeConsumptionChannels%0.0USGermanyUKSwedenNorwayCanadaZealandAustralia0.0-0.2-0.2-0.4-0.4-0.6-0.6-0.8-0.8DebtInterestCostEffectHousingWealthEffectcalculatethepass-throughfrompolicyratestoeffectiveratesusingvectorautoregressionsandcombinethiswiththelevelofconsumerdebtandstandardmarginalpropensitiestoconsume.2Weestimatenegativehousingwealtheffectsbyadjustingliteratureestimatesofthe%1YearEffectonGDPFollowing100bpIncreaseinPolicyRatefromNegativeConsumptionChannels%0.0USGermanyUKSwedenNorwayCanadaZealandAustralia0.0-0.2-0.2-0.4-0.4-0.6-0.6-0.8-0.8DebtInterestCostEffectHousingWealthEffect%Changeinhouseprice%ChangeinhousepriceChangeinHousePricesSincePandemicPeakvs.ShareofHouseholdswithMortgagesThatHaveInitialFixationLessThanaYear0-2-4-6-8NorwayAustraliaSwedenNorwayAustraliaSwedenUK USGermanyR2=0.73CanadaNewZealand0-2-4-6-80102030405060ShareofHouseholdswithMortgagesThatHaveInitialFixationLessThanaYearAfasterratepassthroughoutsidetheUSmeansthatsmallGcentralbanksarelik