20181017-法国巴黎银行-EM__THE_IMPACT_OF_EXTERNAL_CHANNELS_ON_YIELDS_11页_987kb

报告摘要

Summary of "EM: THE IMPACT OF EXTERNAL CHANNELS ON YIELDS" (17 October 2018)

Core Content

This document by Gabriel Gersztein, Global Head of Emerging Markets at BNP Paribas, provides an analysis of how external financial and commercial channels influence emerging market (EM) sovereign yields. It emphasizes the role of US interest rates and the Chinese yuan (CNY) as key drivers of EM yields, using a structural approach to assess the impact of simultaneous shocks in these variables.

Main Points

Market Outlook: The author suggests that the worst for EM markets is over, and now is a good time to analyze the structural impact of external channels on EM yields.
Financial Channel (US Interest Rates):
- The financial channel, represented by US interest rates, remains more significant than the commercial channel (CNY) in affecting EM sovereign yields.
- The long end of the US yield curve, particularly real interest rates, plays a crucial role in determining EM asset class performance.
- A 100bp increase in US 10-year yields is associated with an 80bp increase in other bond markets, indicating that long-term rates are more influential than short-term ones.
Commercial Channel (CNY):
- The CNY has been the most important driver for EM currencies in recent years.
- In FX terms, the CNY has a stronger influence on EM currencies than the US dollar.
- The impact of CNY depreciation on EM yields is more pronounced in Asia than in Europe or Latin America.
Model Analysis:
- A multivariate ADL (1,1,1) model was used to test the relationship between EM sovereign yields and changes in US real interest rates and the CNY.
- The model assumes a shock equivalent to two standard deviations: a 50bp increase in US real rates and a 12-cent depreciation of the CNY.
- The response is quantified using both temporary and permanent shock scenarios.

Key Findings by Region

EMerging Markets Asia

A 50bp rise in US real rates and a 12-cent drop in USDCNY leads to an expected 25bp increase in EMBIG Asia yields after three months and 35bp after one year.
The long-run multiplier is 35bp.
The reaction is relatively immediate with a low lingering effect after two quarters.

EMerging Markets Latam

A similar shock leads to an expected 13bp increase after three months and 29bp after one year.
The long-run multiplier is 32bp.
The reaction is less immediate than in Asia, with a stronger lingering effect.

EMerging Markets Europe

The CNY has a non-statistically significant impact on EM Europe yields.
A 50bp rise in US real rates is expected to increase EMBIG Europe yields by 14bp after three months and 37bp after one year.
The long-run multiplier is 40bp.
The reaction is not immediate, but the lingering effect is stronger.

Overall Emerging Markets

Using a trade-weighted index (TWI) for the CNY, a 50bp rise in US real rates and a 2.75% drop in the CNY TWI leads to a 9bp increase in EMBIG yields after three months.
A catch-up is projected, with a cumulative response of 32bp after one year.
The long-run multiplier is 38bp.
The reaction is not immediate, but the lingering effect is stronger than in Asia.

Scenario Analysis

US Real Interest Rates:
- Current US 5y5y real rates are at 89bp, which is 36bp higher than August 2018 but still below the 2013 level of 187bp.
- The Federal Reserve’s long-term projections suggest a core PCE of 2% and a long-term real rate of 87bp.
- The market level for 1y9y US yield forward is at 3.35%, indicating a potential gradual normalization of monetary policy.
Savings Glut and Real Rates:
- The decline in real interest rates is attributed to a global savings glut, driven by aging populations, extended working lives, and increased savings in China and Asia.
- Lower yields imply higher pension costs, which in turn increase future liabilities and reduce consumption, thereby lowering demand-side pressures.

Strategy Implications

As long as the US yield curve does not steepen disruptively and US long-term real rates remain around 80-100bp, financial flows are unlikely to reverse.
The scenario analysis supports a structurally bullish view on EM assets.
The document suggests that EM markets are currently in a favorable position, with potential for further upside.

Legal and Regulatory Notice

This document is non-independent research and is a marketing communication.
It is intended for professional clients and eligible counterparties.
It does not constitute investment advice, nor is it a prospectus or public offering.
The information is based on public sources and may not be independently verified.
BNPP may have conflicts of interest due to its involvement in investment banking and other services related to the securities discussed.