耶倫面對格林斯潘難題 Treasury markets complacent over Fed rate strategy

The Federal Reserve is preparing to lift interest rates later this year, but many bond investors predict that chairwoman Janet Yellen will confront a puzzle that stumped one of her Most famous predecessors.

美聯儲(fed)準備今年晚些時候加息，但許多債券投資者預測，美聯儲主席珍妮特•耶倫(Janet Yellen)將面臨一個曾難倒她的一位最著名前任的難題。

In 2005 Fed chairman Alan Greenspan — then known for his gnomic but omniscient air — highlighted how the 10-year Treasury yield had shrugged off hefty increases in the US central bank’s benchmark interest rate, and called it a “conundrum”.

前美聯儲主席艾倫•格林斯潘(Alan Greenspan)以惜字如金但又散發着無所不知的氣場聞名。2005年，時任美聯儲主席的他強調指出，面對大幅提高的美聯儲基準利率，10年期美國國債收益率無動於衷，並稱之爲“謎題”。

It looks like Ms Yellen could face a conundrum of her own. Although longer-term interest rates have jumped in recent months, the difference between shorter and longer-dated maturities remains low in light of the looming hikes, and the Fed’s desire to also see longer- term rates rise.

耶倫看來可能將面臨自己的謎題。考慮到即將到來的加息，以及美聯儲同樣希望看到較長期利率上升的願望，儘管長期利率近幾個月已經大幅上升，但較短期限與較長期限債券之間的收益率仍然相差不大。

The “spread” of the 30-year Treasury yield over the five-year yield has climbed from a low of just 102 basis points at the start of the year to 149bps, but that is still well below the 250 bps points touched at the end of 2013. Treasury forwards also indicate that investors are betting on the difference between short and longer-dated yields narrowing again in the coming years.

30年期國債與5年期國債的收益率差已經從年初僅102個基點的低位升至149個基點，但這仍遠低於2013年底達到的250個基點。國債遠期合約也表明，投資者正在押注未來幾年短期與較長期國債間的收益率差再次縮小。

Ms Yellen herself does not appear to expect a replay of the conundrum that befuddled her predecessor. In a recent speech she warned that the “term premium” — the extra interest investors demand for lending over longer maturities — has come down dramatically, but expressed more concern that it could rocket higher once the Fed starts raising rates. Indeed, her comments contributed to the spread widening.

耶倫自己似乎並未預料到曾讓其前任迷惑的難題的再次出現。她在最近一次演講中警告稱，“期限溢價”（term premium，指投資者購買較長期限債券時索取的額外利息）已大幅下降，但對一旦美聯儲啓動加息、期限溢價可能大幅上升表達了更多的擔憂。事實上，她的言論已經導致了收益率差的擴大。

Yet some indicate she might be too sanguine. In a 2012 paper, Daniel Thornton at the St Louis Fed’s research division, noted that link between the Fed fund rate and the 10-year Treasury yield had actually begun to disconnect as early as the late 1980s.

然而，一些人暗示，她可能過於樂觀了。在2012年的一篇論文中，聖路易斯聯邦儲備銀行(St Louis Fed)研究部的丹尼爾•桑頓(Daniel Thornton)指出，聯邦基金利率與10年期美國國債收益率之間的關聯，實際上早在上世紀80年代末就已開始脫鉤。

“The major implication of this research is that the Fed’s interest rate policy may be much less effective than previously thought,” he concluded.

“這一研究結果的主要揭示在於，美聯儲利率政策的作用可能遠遠不及先前的想象，”他總結道。

For investors this is entirely unsurprising. They point out that while the US central bank can lift its Fed funds target, longer-term interest rates are mostly determined by longer-term factors, such as the economic outlook, inflation forecasts, demographics or global savings.

對投資者來說，這毫不足以爲奇。他們指出，雖然美聯儲能夠上調聯邦基金目標利率，但較長期利率主要取決於較長期因素，如經濟前景、通脹預期、人口結構或全球儲蓄。

David Kelly, chief global strategist at JPMorgan Asset Management, estimates that for every 1 percentage point change in the Fed funds rate — the main central bank interest rate target — longer-term interest rates on US Treasuries have over the past two decades risen by just 22 basis points on average.

摩根大通資產管理(JPMorgan Asset Management)首席全球策略師大衛•凱利(David Kelly)估計，聯邦基金利率（美聯儲主要利率目標）每上調1個百分點，較長期美國國債收益率在過去20年間平均僅上升了22個基點。

Analysts at Bank of America Merrill Lynch notes that the prevailing view among their clients is that the looming rate cycle “once again would show little increase in long term interest rates”. Indeed, some investors believe that longer-term Treasury yields could actually fall as the Fed tightens monetary policy, as that would signal that the central bank’s officials are serious about controlling inflation, which hurts bond returns.

美銀美林(Bank of America Merrill Lynch)的分析師指出，其客戶中流行的看法是，即將到來的加息週期“將再次出現長期利率幾近於零的增長”。實際上，一些投資者認爲，隨着美聯儲收緊貨幣政策，較長期國債收益率實際可能會下降，因爲收緊貨幣將表明美聯儲官員們控制通脹的決心，而這會損害債券收益。

That would mean that the “yield curve” of US interest rates will flatten as longer-term yields stay steady or fall to near short term rates — or even invert. “I think it will be very difficult to engineer a steepening of the curve,” says Pascal Blanqué, chief investment officer at Amundi, the French asset manager.

這意味着，隨着較長期收益率保持穩定或下降至接近（甚至反而低於）短期收益率，美國利率的“收益率曲線”將趨於平坦。法國資產管理公司Amundi首席投資官帕斯卡爾•布朗克(Pascal Blanqué)說：“我認爲，要使這一曲線變陡將非常困難。”

Nonetheless, investors should be wary of being too confident that the Fed is powerless in preventing another conundrum. If longer-term Treasury bonds blow raspberries at any interest rate increases, it could encourage the central bank to tighten monetary policy less gently than currently planned.

儘管如此，投資者應該避免過於相信美聯儲無力破解新一輪難題。如果面對任何加息，長期國債都無動於衷，這會鼓勵美聯儲在收緊貨幣政策時力度比當前計劃中的更強些。

“If the Fed tightens and the long end actually comes down significantly, then it would embolden the Fed,” says Eric Stein of Eaton Vance.

億廷繁世(Eaton Vance)的埃裏克•斯泰因(Eric Stein)說：“如果美聯儲收緊政策，而長期國債收益率實際上大幅下降，那麼這將會使美聯儲更加大膽。”

Moreover, the US central bank still sits on a $4tn portfolio of Treasuries, agency debt and mortgage-backed bonds acquired in its quantitative easing programme, a potentially potent tool to control monetary policy.

此外，美聯儲仍坐擁4萬億美元的資產組合，包括在量化寬鬆計劃中購買的美國國債、機構債以及抵押貸款支持債券，這是控制貨幣政策的潛在有力工具。

While the current assumption is that the Fed will carefully deflate its holdings through a gradual end to reinvesting coupons and repayments, if the Treasury market proves as stubbornly unwilling to climb as it was in the noughties — reprising the “Greenspan conundrum” — then officials could sanction the sales of some of these assets.

雖然目前的假設是，如果事實證明美國國債收益率像21世紀頭10年間那樣頑固地不願上升，從而重現“格林斯潘謎題”，那麼，美聯儲官員可能批准出售這些資產中的一部分，美聯儲將逐步結束對收到的利息和還款進行再投資，而小心地減持這些資產。

“Before, Greenspan could say he didn’t have the tools to send the long end up, but now they have $4tn of bonds they could sell to engineer a steeper curve,” Mr Kelly points out.

“以前，格林斯潘可以說，他沒有手段讓較長期國債收益率上升，但現在他們有4萬億美元的債券可以出售，以將曲線拉陡，”凱利指出。

Some investors therefore fear that markets are still far too sanguine about the impact of Fed interest rate increases, and do not see a redux of the flattening yield curve that baffled Mr Greenspan.

因此，一些投資者擔心，市場對美聯儲加息的影響仍過於樂觀，而沒有看到困擾格林斯潘的平坦收益率曲線的迴歸。

“There is far too much complacency in markets,” Gibson Smith, chief investment officer for fixed income at Janus, warned a mutual fund conference last week. “We’ve seen a lot of people lulled into believing that interest rates will be low for longer, or even for ever . . . I think we will see steepening across the curve.”

在日前的一個共同基金會議上，駿利資產管理基金(Janus)固定收益業務首席投資官吉布森•史密斯(Gibson Smith)警告稱：“現在市場中有太多的自滿情緒。我們已經看到很多人被誤導，認爲利率將會在更長期限或者甚至永久期限上保持在低位……我認爲我們將看到整條曲線變陡峭。”