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疫情期間全球利率崩潰,日元可能喪失其避險貨幣地位 – 有海水的地方就有中國人

疫情期間全球利率崩潰,日元可能喪失其避險貨幣地位

疫情期間全球利率崩潰,日元可能喪失其避險貨幣地位
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新冠疫情爆所引发的全球基准利率暴跌,颠覆了日元在危机期间走强的传统观念,为投资者敲响警钟。

长期以来,日元一直是危机期间需求量最大的资产之一。危机期间,海外持有的资金通常会大量回流日本,推高日元汇率,这种趋势持续了20多年。一项研究显示,自1997年以来,标普500指数下跌5%的时候,有76%的时间日元都在升值。

然而当疫情在3月中旬达到顶峰时,这种情况并没有发生。美国股市连续几周下跌9%和15%,同时日元也下跌。在随后的抛售中,包括本月4%的股市暴跌,日元汇率几乎没有变化。

Nordea Markets首席全球外汇策略师Andreas Steno Larsen表示,“在新冠疫情期间,日元与股市的相关性并未保持,改变了大家对日元的看法。”

他指出,日元与标普500指数的90天负相关系数此后已跌至近10年低点。据道富银行计算,1月20日至9月9日期间,日元兑美元指数上涨了2%,这与2008年7月至3月金融危机期间上涨27%形成了鲜明对比。

这对日本依赖出口的外向型经济来说是一个好消息。日本经济经常要与日元汇率的突然飙升抗衡。倘若日元失去避险地位,投资者将面临寻找其他避险资产的风险。

这令道富环球市场(State Street Global Markets)高级外汇投资组合经理Aaron Hurd等投资者感到不安。Hurd在一些投资模式中将日元用作风险资产的平衡。尽管他认为日元并没有失去其避险属性,但他表示,日元在近期风险避规期间的涨势“有点令人失望”,需要加以监控。

日元的底气来自于其3.5万亿美元的海外资产储备,也是世界上最大的国际投资净头寸。日元也与成熟的套利交易市场趋势相关。套利交易借入低收益货币并购买高收益货币。

当全球市场反弹,套利交易也会出现反弹,从而导致大量资金涌入融资货币止损,这使得日元很容易出现周期性的升值。但据摩根大通日本市场研究主管Tohru Sasaki估计,7月日元融资套利交易降至约8万亿日元(755亿美元),低于近年来稳定的10万亿日元左右,以及2007年约23万亿日元的峰值。

不同的是,今年全球短期利率暴跌已经消除了日元自1995年以来一直保持的低贴现率,当时日本基准利率降至0.5%。

TS Lombard宏观策略师Oliver Brennan指出:“瑞士和欧元区利率低于日本,因此如果日元台里交易规模缩小,到时日元将不再是一种避险货币。”

日本基准利率为-0.1%,同期美国基准利率从一年前的2%降至-0.2%,欧元基准利率从-0.4%降至-0.52%。

现在还为时尚早。在美元于3月份严重短缺的情况下,所有其他货币都被抛在一旁。但Nordea的Steno Larsen表示,猜测下一个避险货币已经是“外汇市场上最热门的话题”。

变化不断的外汇走势或会成为欧洲央行的挑战。鉴于-0.5%的基准利率、国际收支顺差、庞大的资本市场,以及最近欧洲凝聚力的改善,欧元很可能取代日元。

一位央行官员指出,欧元在3月突然飙升至14个月高点,可能是由套利交易者推动的,这些交易者在疫情爆发前利用欧元进行融资。

他说:“这种现象可能是因为套利交易的首选融资货币在疫情爆发前发生了变化,欧元成为了人们想要做空的货币。”

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