警惕比更兇險的市場環境

If Guy Debelle was a hedge fund trader, he might have made a killing this week. Three days ago Mr Debelle – a top official at Australia’s central bank – predicted that markets were heading for wild volatility, since investors were naive about structural risks. A “sizeable” number of them, he observed, probably presumed that they could exit their positions before any sell-off. “History tells us that this is generally not a successful strategy,” he warned. “The exits tend to get jammed unexpectedly and rapidly.”

假如蓋伊•德貝爾(Guy Debelle)是一名對衝基金經理，那麼本週他已經大賺了一筆。三天前，這名澳大利亞央行的高官預言，由於投資者對結構性風險缺乏認識，市場將出現劇烈的波動。他表示，數量“可觀的”投資者很可能認爲，他們能在發生任何拋售前退出自己的頭寸。“歷史告訴我們，這一策略總體上是不成功的，”他警告稱，“出口往往很快就會變得出人意料的擁擠。”

A day later his prediction came true. On Wednesday volatility exploded in the markets, prompting the price of Treasury bonds to swing wildly and European stocks and bonds to Move violently. While these swings may fade in coming days, the importance of Mr Debelle’s message will not. This week’s gyrations have shown that the question of “liquidity” – the degree to which assets can be traded – matters hugely.

剛過了一天，德貝爾的預言就應驗了。本週三，市場波動性急劇上升，導致美國國債價格大幅起落、歐洲股市和債市劇烈震盪。這波震盪可能會在未來幾天裏減弱，但德貝爾傳遞出的消息的重要性不會減弱。本週的震盪已經證明，“流動性”（即資產交易的容易程度）問題極其重要。

What is worrying is liquidity appears to have decreased because unorthodox monetary policy experiments have collided with financial reforms and technological upheaval in an unexpectedly pernicious way. Or to cite Mr Debelle: “Market liquidity is structurally lower now than it was in the past. [This] is not evident in a rising market when assets are being bought, but will quickly become apparent in a down market.”

令人擔憂的是，目前流動性似乎已經降低，原因是非常規貨幣政策實驗與金融改革和技術變革發生了“撞車”，而這場“撞車”的危害超出人們意料。或者用德貝爾的話說：“從結構上看，當前的市場流動性低於過去。（這）在大家爭相購買資產的上揚行情中並不顯眼，但在市場下滑時很快就會顯現出來。”

To a non-banker, that might seem odd. Since the 2008 crisis, western central banks have flooded the system with cash and expanded their balance sheets by – depending on how you calculate it – an eye-popping $7tn-$10tn. But the problem with “liquidity” is that the word can mean several things; having lots of money in the system does not guarantee that funding will flow freely, or that traders can cut deals. Systems flooded with cash can sometimes freeze.

對銀行界以外的人而言，這看上去或許有些奇怪。自2008年的危機以來，西方央行向銀行體系注入了鉅額資金，將它們的資產負債表擴大了7萬億至10萬億美元（具體數字取決於你的計算方式），規模令人瞠目結舌。但“流動性”的問題在於，這個詞可以有多層含義；銀行體系中資金充裕並不能確保資金就會流動自如、或者交易員就能達成交易。資金充裕的體系有時也會凍結。

Sometimes this occurs because investors lose faith in each other and stop doing trades, as they did in 2008. But markets can also become illiquid because it is difficult to match buyers and sellers. This last problem, above all else, created this week’s wild price gyrations in Treasuries and much else.

發生這種情況，有時是因爲投資者彼此失去了信任、停止了交易，就像他們在2008年時那樣。但是，難以撮合買方和賣方成交也會導致市場流動性不足——這是造成本週美國國債和其他許多市場價格劇烈震盪的首要原因。

There are at least four reasons behind the current liquidity problem. The simplest is lopsided investor views. A Bloomberg poll last week revealed that 100 per cent of market economists – yes, 100 per cent – predicted that US interest rates would soon rise. This consensus is unusual, and it meant that when investors became gloomier about the economic outlook at last weekend’s International Monetary Fund meetings, many tried to shift their trading positions at the same time.

在當前的流動性問題背後，起碼存在四個原因。最簡單的一個就是投資者的看法“一邊倒”。上週彭博(Bloomberg)的一項調查顯示，100%的市場經濟學家——沒錯，是100%——預測，美國的利率很快就會上升。這種共識非常罕見，它意味着，上週末國際貨幣基金組織(IMF)會議給出的經濟前景讓投資者感到更加悲觀時，許多人試圖在同一時間改變自己的交易頭寸。

A second reason is that asset managers are becoming more prone to acting as a herd – reinforcing the challenge of matching buyers and sellers. This is partly because investors are increasingly using similar benchmarks to judge performance. The biggest fund managers are also surging in size, creating more industry concentration. In emerging markets, for example, the Bank for International Settlements estimates that the top 20 global asset managers hold 30 per cent of all bonds and equities – double the level a decade ago. Similar trends can be seen in other markets

第二個原因是，資產管理公司越來越傾向於像羊羣一樣行動——這加劇了交易撮合上的挑戰。這一現象的部分原因在於，投資者越來越多地使用相似的基準來評判市場的表現。大型基金管理公司的規模也在快速膨脹，行業集中度變得更高。比如，國際清算銀行(BIS)估計，最大的20家全球性資產管理公司持有新興市場的全部債券與股票的30%，這一比例兩倍於10年前。在其他市場，也可看到類似的趨勢。

A third issue is the growing use of computer programs to execute trades. In theory this should make markets more liquid since computers can match trades around the world at lightning speed. But the programs that techies at hedge funds and banks create tend to look alike. Computers – like humans – are thus moving as herds, intensifying the imbalance.

第三個原因在於，證券交易正越來越多地通過計算機程序來執行。這理應增強市場流動性，因爲計算機可以在世界範圍內以閃電般的速度撮合交易。但是，對衝基金和銀行的技術人員開發出的程序往往很相似。結果，計算機像人一樣呈現羊羣行爲，強化了失衡狀態。

But the thorniest issue is regulation. In the past big investment banks often matched buyers and sellers by holding large inventories of securities. But since 2008 banks have slashed their inventories by between 30 and 80 per cent (depending on the asset class) to meet tighter rules. This reduced their ability to act as market makers, and removed shock absorbers from the system,

不過，最棘手的原因在於監管。過去，大型投行常持有大量證券以撮合交易。但自2008年以來，銀行已將所持的證券砍掉了30%至80%（具體數字取決於資產類別），以滿足更嚴格的監管規則。這降低了它們的做市能力，從銀行體系中抽走了“減震器”。

Is there any solution? Central bankers have debated whether government bodies should make markets in a crisis. Regulators are also moving to impose curbs on automated trading programs, and the US Office of Financial Research is trying to monitor investor herds with more precision. Unsurprisingly, private sector banks are now lobbying for another potential “solution”: a reversal of recent regulatory rules.

有什麼解決方案嗎？就政府部門在危機中是否應出面做市，央行官員們展開了辯論。監管人士也在採取行動限制自動交易程序，美國金融研究辦公室(US Office of Financial Research)正試圖更加精確地監控投資者的羊羣行爲。令人不感意外的是，私人部門銀行業現在正遊說官方採納另一種可能的“解決方案”：重新放鬆監管。

But given the political heat around banking, do not bet on that last move happening soon. And that has an unnerving implication: though the banking system may be safer than it was before 2008, parts of the markets may have become more dangerous for unwary investors, given all that herd behaviour. Or to put it another way, the most important point about this week’s price swings is that they may be merely a foretaste of what could happen when central banks finally put rates up again (rather than endlessly talk about it). Investors stand warned.

但考慮到銀行業在政治上引發的爭議，別指望最後一種方案能很快變爲現實。此外，本週的事態還間接表明了一個令人不安的事實：儘管銀行體系現在可能比2008年之前更安全，但考慮到各種羊羣行爲，某些市場領域對不夠警覺的投資者來說可能已變得更加兇險。換言之，關於本週價格震盪的最重要一點是，它可能僅僅是當央行最終再次加息（而非無休止地談論加息）時將發生局面的一次小型預演。投資者要保持警覺。