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2017年05月25日 星期四

机构研报

FX Morning

报告日期:2016-04-07

USDJPY in focus: The falling USD runs into increasing resistance as centralbanks take measures to limit USD's falls against their own currencies. Brazil’sBCB will auction up to 20K reserves in FX swaps from today, while the BoJ'sKuroda has indicated that it is checking risks before deciding whether to addmore stimulus if needed to support Japan reaching its medium-term inflationtarget. Chief Cabinet Secretary Suga called FX moves one-sided, suggesting toact appropriately if needed. Japan will host the next G7 meeting in May,reducing the risk of Japan intervening against JPY, which would be seen asacting against the spirit of the G7/20, leaving the currency moves down to themarkets. Accordingly, FX investors seem to have found an easy target to playfurther USD weakness, namely selling USDJPY. Yesterday’s ETFs providinginvestors with JPY exposure saw the largest inflows since December 17. ShortEURJPY is our favoured way to play the recent dynamics.

JPY-strengthening dynamics: Starting this year, we have found Japan’sretail investor community holding record amounts of foreign FX-denominatedmoney market holdings. JPY strength has put these positions into the red,causing these accounts to buy back JPY. Yesterday, we made the point thatequity investors are using JPY's high inverse correlation with equities toreduce risk exposure by buying JPY. Pushing JPY higher increases the risk ofundermining ‘Abenomics’, but the BoJ’s QE has reduced the amount of freefloatingJGBs and increased bid-offer spreads, which is in conjunction withmost of the curve now only offering negative yield, reducing the effectivenessof the transition mechanism of sovereign bond buying QE. Alternativemeasures are required and the higher JPY rallies the bigger is the pressure forthe BoJ to look for policy alternatives. ETF buying should soon come on theagenda. Here size matters. Should the BoJ opt for a small program (JPY3-5trn),USDJPY will remain a sell on rallies, in our view. A bigger ETF purchaseprogram of around JPY10trn could see a prolonged equity market rally liftingUSDJPY via lifting FX hedging strategies back to around 116. However, beforewe get to this stage USDJPY may have to fall further to ‘force’ the BoJ torethink its current monetary policy approach.

Dovish Fed minutes: The minutes were a bit of a non-event ahead of Yellen’spodium discussion today held together with the former Fed Chairs Volcker,Greenspan and Bernanke. The minutes showed no doubt that the majoritywithin the FOMC supports Yellen’s view. It said that "a cautious approach toraising rates would be prudent or noted their concern that raising the targetrange as soon as April would signal a sense of urgency they did not thinkappropriate". Current market pricing suggests the Fed not hiking rates aheadof spring 2017, which seem consistent with the recent fall of the Atlanta Fed(1Q GDP at 0.4%) and our own propriety ‘Nowcast’ (0.5%) indicators whichhave both fallen below 1%. However, the decline of 1Q GDP expectations isprimarily driven via negative net trade and weak manufacturing whiledomestic demand indications have strengthened again, as indicated by the acceleration of our retail sales tracker from here.

Asia’s data remain supportive: Indeed, it should be the US side of theequation terminating the current USD corrective decline. Last October USDwas pushed higher as Asian growth indicators weakened. For the next coupleof months Asian growth should remain supportive, with this view findingsupport in the rise of Indian consumer confidence to 111.2 in March from108.9 in February, reaching its highest levels since November. Chineseproperty sales strengthened into March, according to data from big propertydevelopers, with the biggest firm reporting a 62%Y rise in sales.

The outcome of the Dutch referendum with a majority of 64% rejecting theassociation contract of the EU with Ukraine has not got much headlineattention. However, it provides another signal of EU divergence, populism andreform difficulties. Ahead of the referendum it was Jean-Claude Junckersuggesting a "continental crisis" should the Netherlands vote against thecontract. Sure, the referendum is not legally binding, but the Dutchgovernment will find it difficult to ignore the outcome, as this would risk anincrease in domestic populism. A group which wants to lead Holland out of theEU stood behind the referendum. The recent rise of DKK, widening sovereignbond spreads and PPP calculations suggesting an increasing spread of whatwould be the adequate EUR exchange rate for the single EMU countries. EUR'srecent upturn should soon run out of steam. EUR and USD shorts versus JPYlongs look like the best fit for the day.

研究员:摩根士丹利亚洲研究所 所属机构:摩根士丹利亚洲