加息后市场应该注意三大风险

Janet Yellen has started weaning the American economy off its addiction to cheap money. But, given recent mixed economic data, economists are divided on the merits of the US Federal Reserve chair’s decision to raise interest rates by 25 basis points.

珍妮特耶伦(Janet Yellen)已经开始让美国经济摆脱对廉价资金的依赖。但是，考虑到最近好坏掺半的经济数据，关于这位美联储(Fed)主席加息25个基点的决定是否明智，经济学家的看法出现了分歧。

For a different perspective on the challenge facing the Fed, it is worth looking at another corner of Washington: the Office of Financial Research. Just before the Fed announcement, the OFR published its first Financial Stability Report on the health of US finance. This went largely unnoticed.

要想从另一个视角看待美联储面临的挑战，有必要看一下华盛顿的另一个地方：金融研究办公室（Office of Financial Research，简称OFR）。就在美联储宣布加息前，OFR公布了其针对美国金融健康状况的首份金融稳定性报告(Financial Stability Report)。但这份报告基本上被忽视了。

That is a pity. The OFR, an offshoot of the Treasury, was set up after the 2008 crisis to assess financial risk — and its report reveals that several years of ultra-low rates have distinctly the distorted financial system. Ms Yellen will need extraordinary skill — and luck — to handle these distortions without sparking another crisis. The market reaction to the rate rise might seem impressively calm, but the real test for the wider financial system has barely begun.

这令人遗憾。美国财政部下属的OFR是2008年金融危机后、为评估金融风险而设立的机构。该机构的报告揭示出，数年超低的利率已经严重扭曲了金融体系。耶伦需要有非凡的本领、以及运气，才能纠正这些扭曲、而不引发另一场危机。市场对加息的反应可能看上去令人意外地平静，但是整个金融系统面临的真正考验才刚刚开始。

In finance, there are at least three areas investors need to watch. The first is the fact that the ultra-loose policy has created credit bubbles that could now deflate. Because they have not emerged in the sectors that were at the centre of last decade’s bubble, mortgages and banks, they have attracted less attention. But, as the Bank for International Settlements wrote earlier this month, debt has increased significantly since 2008 in emerging markets.

在金融领域，有3个方面需要投资者留意。第一个是超宽松政策制造的信贷泡沫如今可能破裂。因为这些泡沫没有出现在上一个十年泡沫集中的领域，即抵押贷款和银行业，因此它们吸引的注意力较少。但是，正如国际清算银行(Bank for International Settlements)本月早些时候所写道的那样，自2008年以来新兴市场的债务已经显著增加。

Also, the OFR observed this week: “In our assessment, credit risk in the US non-financial business sector is elevated and rising” — to a point where “higher base rates may create refinancing risks... potentially precipitate a broader default cycle”. Fortunately, banks seem fairly well placed to absorb losses. But an outbreak of defaults could spark contagion and market volatility, particularly since post-crisis regulations mean banks are less willing to be market makers in the non-business sector — prepared to buy or sell when investors want to trade — making it harder to trade the instruments in question.

此外，上周OFR还指出：“根据我们的评估，美国非金融业务部门的信贷风险有所增加并在持续上升”，以至于“更高的基准利率可能会带来再融资方面的风险……并有可能促发更大范围的违约循环”。幸运的是，银行业似乎准备得不错，可以承受损失。但是，违约的爆发可能引发传染性并造成市场波动，特别是鉴于后危机时代的监管规定，意味着银行业做非业务部门做市商（即当投资者想交易时，随时愿意买进或卖出）的意愿下降，使得对相关工具进行交易更加困难。

A second area to watch is the state of investors’ portfolios. In recent years, asset managers have tried to chase yield by buying longer-term assets with greater credit risk. This has raised the “duration” of bond portfolios — or their vulnerability to higher rates — to historic highs. Indeed, the OFR calculates that a mere 100bp rise in long-term US rates could generate unhedged losses of $214bn for US-based bond mutual funds and exchange traded funds. Once again, the system as a whole could probably absorb this; but it could also spark contagion, particularly since banks, too, have increased their duration profiles.

第二个需要注意的领域是投资者投资组合的状态。近年来，资产管理公司一直试图通过购买信用风险更高的长期资产来追求收益率。这使债券投资组合的“期限”——或者说他们对较高利率的脆弱性——上升至历史高点。的确，OFR计算，美国长期利率上调仅100个基点，就会对美国债券共同基金和交易所交易基金(ETF)带来2140亿美元的未对冲损失。再一次，作为一个整体，金融系统很可能可以承受这些损失；但是这也可能引发传染性，特别是因为银行的投资组合期限也变长了。

A third area of concern is that in recent years there have been stealthy shifts in the opaque world of money markets. Before the crisis many asset managers, companies and banks placed spare cash in money-market instruments. Recently, however, this money has flooded on to the balance sheet of banks and the Fed itself. This has made it harder for the Fed to control the price of money with its usual policy tools.

第三个令人担忧的领域是，近年来，货币市场这个不透明的世界悄然在改变。危机前，很多资产管理公司、企业和银行业都把闲置资金放在货币市场工具上。然而，近来这部分资金已经流入银行和美联储自己的资产负债表。这使得美联储更难以利用常规政策工具来控制资金价格。

Another effect of these flows in the money markets might cause the Fed rise to spark upheaval. Zoltan Pozsar, an analyst at Credit Suisse, thinks hundreds of billions of dollars could soon move back from banks to money market funds — with potentially destabilising consequences that the Fed (and others) are scrambling to understand.

货币市场此类流动的另一个影响，或许会导致美联储加息引发市场动荡。瑞士信贷(Credit Suisse)的分析师佐尔坦波扎尔(Zoltan Pozsar)认为，数千亿美元可能会很快从银行流入货币市场基金，其后果可能会造成不稳定，美联储（以及其他机构）正努力尝试理解这些后果。

These three points are not the only challenges in markets. Nor do they mean the Fed is wrong to raise rates now. On the contrary, the distortions have arisen precisely because money has been artificially cheap for so long. A rate rise was long overdue — at least for the financial world.

市场面临的挑战并不止以上三点。这三点也不意味着美国决定现在加息是错误的。相反，这种扭曲之所以存在，正是因为资金成本被人为压低太长时间了。加息来得太迟了——至少对金融界来说是这样的。

Nevertheless, nobody can ignore the fact that Ms Yellen and her colleagues are now walking a slippery tightrope. In coming months, Fed officials will need to convince investors and borrowers that the cost of money is finally rising at a steady rate and that they should adjust portfolios accordingly. (Arguably this has still not entirely happened: the markets are pricing in just two interest rate rises next year but Fed officials appear to expect four.)

然而，没人可以忽视耶伦及其同僚如今正在走钢丝。未来数月，美联储官员将需要让投资者和借款人相信，资金成本终于将稳步上升了，他们应该相应地调整资产组合。（可以说这种调整尚未到位：目前市场价格只反映出明年将两次加息，而美联储似乎预计会加息4次）。

The Fed also needs to avoid a replay of 1994, when it raised rates by more than 200 basis points, causing the 10-year bond yield to surge more than 300 basis points in a year. If that happened again, it would spark the defaults and bond fund losses of which the OFR warns.

美联储也需要避免1994年的情况重演，当时它上调利率逾200个基点，造成10年期国债收益率在一年内飙升逾300个基点。如果这种情况再次发生，将引发违约潮和债券基金亏损——正如OFR所警告的那样。

What Ms Yellen needs for the financial system is a “Goldilocks” policy, where market and Fed rates rise gradually, or at a speed that is “just right”. Better hope she can deliver that. Until then, applause is premature.

耶伦需要对金融系统采取的是“不温不火”的政策，即市场和美联储利率逐渐上升，或者以“刚刚好”的速度上升。最好希望她能实现这一点。在那之前，不宜太早鼓掌。