巴黎银行-全球-宏观策略-人口老龄化对产出的影响评估：中性利率的生命周期模型-20190801-16页_4mb

Summary of "ASSESSING THE IMPACT OF AGEING POPULATIONS ON YIELDS"

Core Content

This report analyses the impact of ageing populations on bond yields in developed economies, focusing on the US, Germany and Japan. It introduces a model based on life-cycle consumption theory to assess how demographic changes influence the neutral rate of interest (R*), which in turn affects bond yields.

Key Findings

• Demographics significantly affect R*: Ageing populations have had a substantial impact on bond yields by influencing both the potential growth rate and savings rates.
• Two main channels:
  • Potential growth channel: Slower working-age population growth reduces potential GDP growth, which lowers R*.
  • Savings channel: As populations age, individuals save more for retirement, reducing the demand for loans and lowering interest rates.
• R estimates*:
  • US: Nominal R* is projected to fall from 2.3% in 2019 to 1.1% in 2030.
  • Germany: Nominal R* is expected to decline from 1.9% in 2019 to 1.3% in 2030.
  • Japan: Nominal R* is estimated to fall from -1.1% in 2019 to -2.2% in 2030.

Main Points

• Historical Trends:

  • The decline in bond yields since the 1980s is attributed to structural factors such as demographics, not just central bank balance sheets or QE.
  • In the US, the savings channel has been a major driver of the decline in R* over the past 30 years, with a cumulative impact of 1.8pp.
  • In Japan, the savings channel has contributed 2.5pp to the decline in R*, while the potential growth channel has contributed 1.6pp.
  • In Germany, the savings channel has contributed 1.1pp to the decline in R*, and the potential growth channel has contributed 1pp.

• Demographic Shifts:

  • US: Median age increased from 30 in 1980 to 37 today, with a significant rise in the proportion of the population over 45. This has led to higher savings and a substantial decline in R*.
  • Germany: Similar demographic trends to the US, but with a lower 'baby boomer' bulge and better social security benefits, resulting in less impact on savings rates.
  • Japan: Has a more extreme demographic situation, with a higher proportion of the population over 45 and a higher dependency ratio. This has led to a more pronounced impact on R* and bond yields.

• Asset Allocation Implications:

  • As populations age, there is a shift in asset allocation towards bonds and away from equities.
  • However, long-term inflows into equities from new savings are expected to outweigh the effects of rebalancing.
  • In the US, the shift from equities to bonds is expected to continue, but equity inflows will remain substantial.

• Market Outlook:

  • Bond yields are likely to remain under downward pressure in the US over the next decade.
  • In Germany, the relationship between R* and bond yields has weakened due to ECB policies and fiscal factors.
  • In Japan, the link between R* and bond yields broke down when R* fell below zero, coinciding with increased foreign asset purchases.

Key Information

• The neutral rate of interest (R)* is defined as the real rate that corresponds with neutral central-bank policy and reflects long-term structural factors.
• The simple nominal R formula* is:
  $$
  R_{\text{nominal, simple}}^* = g_{\text{potential}} + \pi_{\text{trend}}
  $$
• The BNPP model incorporates the demographic savings channel into the formula:
  $$
  R_{\text{nominal, BNPP}}^* = g_{\text{potential}} + \pi_{\text{trend}} + D
  $$
• The unexplained component in yield declines (the 'z' component in the HLW framework) is partly attributed to demographics and QE.
• The savings rate in the US has risen to 6.7% of disposable income, suggesting a structural shift rather than a temporary effect.
• In Germany, the savings rate is close to the optimal level, indicating that demographic shifts have a smaller impact on R* compared to the US.
• In Japan, the savings rate has declined as the population ages, leading to a drawdown of savings and a weaker link between R* and bond yields.

Conclusion

• The report concludes that demographics are a significant structural driver of bond yields, particularly in the US.
• The savings channel is the most impactful, especially in the US and Japan.
• The potential growth channel also plays a role, but is less significant than the savings channel.
• The model suggests that bond yields will continue to decline in the US over the next decade, with a projected drop of 70bp in real yields.
• QE and central bank balance sheets have had a diminishing impact on yields compared to structural demographic factors.