分離/解体
Highlights New structural recommendation: long GBP/USD. The substantial Brexit discount in the pound makes it a long-term buy for investors who can tolerate near-term volatility. The most powerful equity play on a fading Brexit discount would be the U.K. homebuilders. Specifically, Persimmon still has a further 25 percent of upside. Take profits in long Euro Stoxx 50 versus Shanghai Composite. Within Europe, close the overweight to Switzerland and the underweight to the Netherlands. Stay overweight banks versus industrials. Stay overweight the Euro Stoxx 50 versus the Nikkei 225. Fractal trade: long NZD/JPY. Feature Chart of the WeekThe Pound Has Substantial Upside If The Brexit Discount Fades Carnival Says The Pound Is Cheap Carnival, the world’s largest cruise liner company, lists its shares on both the London and New York stock exchanges. But there is an apparent riddle: in London the shares trade on a forward PE of 8.8, while in New York they trade on 9.4. How can Carnival trade at different valuations on the two sides of the Atlantic when the market should instantly arbitrage the difference away? The answer to the riddle is that the London listing is quoted in pounds, the New York listing is quoted in dollars, while Carnival’s sales and profits are denominated in a mix of international currencies. Neither Brexit developments nor a potential Jeremy Corbyn led government will prevent the pound from rallying in the longer term. Carnival is trading on a higher valuation in New York versus London because the market is expecting its mixed currency earnings to appreciate more in dollar terms than in pound terms. Put another way, the valuation differential is expecting the pound to appreciate versus the dollar to a ‘fair value’ of around $1.40 (Chart I-2). Likewise, BHP Billiton shares are trading on a higher valuation in their Sydney listing compared to their London listing. This valuation differential is expecting the pound to appreciate versus the Australian dollar to around A$2.00 (Chart I-3). Chart I-2Carnival Says The Pound Is Cheap Chart I-3BHP Billiton Says The Pound Is Cheap In other words, the market believes that neither Brexit developments nor a potential Jeremy Corbyn led government will prevent the pound from rallying in the longer term. We tend to agree. The Wrong Way To Pick Stock Markets… And The Right Way Before continuing with the pound’s prospects, let’s wander into the wider investment landscape. One important lesson from dual-listed companies like Carnival and BHP Billiton is that a multinational’s valuation will appear attractive in a market where the currency is structurally cheap.1 This lesson has deep ramifications. Today, multinationals dominate all the major stock markets, meaning that the entire stock market will appear cheap if its currency is cheap. The stock market will also appear cheap if it is skewed towards lower-valued sectors. But sectors trade on a low valuation for a reason – poor long-term growth prospects. Through the past decade, Japanese banks seemed a relative bargain, trading on a forward PE of less than half of that on personal products companies (Chart I-4). Yet Japanese banks were not a relative bargain. Quite the contrary. Through the past decade Japanese personal products have outperformed the banks by 500 percent! (Chart I-5) Chart I-4Japanese Banks Seemed A Relative Bargain... Chart I-5...But Japanese Banks Were Not A Relative Bargain Hence, beware of picking stock markets on the basis of observations such as ‘European stocks are cheaper than U.S. stocks’. Given that a stock market valuation is the result of its currency valuation and its sector composition, assessing relative value across major stock markets is extremely difficult, if not impossible. To repeat, Carnival appears to be trading at a valuation discount in London versus New York, but the cheapness is illusory. Here’s the right way to pick major stock markets. Identify your preferred sectors and currencies, and then pick the regional and country stock markets that are skewed to these preferred sectors and currencies. In this regard, large underweight sector skews also matter. For example, China and EM have a near-zero exposure to healthcare equities, so their performances tend to correlate negatively with that of the global healthcare sector – albeit the causality could run in either direction. Identify your preferred sectors and currencies, and then pick the regional and country stock markets that are skewed to these preferred sectors and currencies. In early May, we noticed that the extreme outperformance of technology versus healthcare was at a critical technical point at which there was a high probability of a trend reversal. This high conviction sector view implied overweight Europe versus China, as well as overweight Switzerland and underweight Netherlands within Europe (Chart I-6 and Chart I-7). Chart I-6When Tech Underperforms Healthcare, China Underperforms Switzerland Chart I-7When Tech Underperforms Healthcare, The Netherlands Underperforms Switzerland Given that this sector trend reversal has played out exactly as anticipated, it is time to bank the profits: Close long Euro Stoxx 50 versus Shanghai Composite. And within Europe, close the overweight to Switzerland and the underweight to the Netherlands. Right now, it is appropriate to overweight banks versus industrials. It is the pace of the bond yield’s decline that has weighed on bank performance this year. But if the sharpest decline in bond yields is behind us, as seems likely, then banks should fare better versus other cyclicals (Chart I-8). Chart I-8If The Sharpest Decline In Bond Yields Is Over, Banks Will Outperform Industrials Once again, this sector view carries an equity market implication: stay overweight the Euro Stoxx 50 versus the Nikkei 225 (Chart I-9). Chart I-9Euro Stoxx 50 Vs. Nikkei 225 = Global Banks In Euros Vs. Global Industrials In Yen The Pound Is A Long-Term Buy Back to the pound. The message from the dual listings of Carnival and BHP Billiton is that the pound is cheap, and this is neatly corroborated by the relationship between relative interest rates and the pound versus the euro and dollar. Based on the pre-Brexit relationship between relative real interest rates and the pound’s exchange rate, we can quantify the ‘Brexit discount’. Absent this discount, the pound would now be trading close to €1.30 and well north of $1.40 (Chart of the Week and Chart I-10). Chart I-10The Pound Has Substantial Upside If The Brexit Discount Fades In the Brexit psychodrama, we do not claim to know exactly how the next few days or weeks will play out. In the short term, Brexit is a classic non-linear system, and non-linear systems are inherently unpredictable. However, in the longer term we expect the Brexit discount to fade in any sort of transitioned resolution that allows the U.K. to adapt to a new trading relationship with the world, or alternatively to stay in a relationship broadly similar to the current one. Whatever the eventual endpoint is, the key requirement to remove the Brexit discount is to avoid a cliff-edge. We expect the Brexit discount to fade in any sort of transitioned resolution. The stumbling block to a resolution is that the three key actors – the EU, the U.K. government, and the U.K. parliament – have conflicting red lines, so the Brexit ‘Venn diagram’ has had no overlap. The EU will not countenance a customs border that divides Ireland; the current U.K. government wants a Free Trade Agreement, which implies casting away Northern Ireland into the EU customs union; and the current U.K. parliament – unless its intentions suddenly change – wants the whole of the U.K., including Northern Ireland, to remain in the EU customs union. Given that the EU will not budge its red line, the only way to a lasting resolution is for the government and parliament red lines to realign, This could happen via parliament being willing to sacrifice Northern Ireland, via a second referendum, or via a general election in which the government’s intentions and/or the composition of parliament changed. Given a long enough investment horizon – 2 years or more – it is likely that the government and parliament will realign their red lines to a Free Trade Agreement or to a customs union, one way or another. On this basis, the substantial Brexit discount in the pound makes it a long-term buy for investors who can tolerate near-term volatility. Accordingly, today we are initiating a new structural recommendation: long GBP/USD. For equity investors, the most powerful play on a fading Brexit discount would be the U.K. homebuilders (Chart I-11). Specifically, if the pound reached $1.40, Persimmon still has a further 25 percent of upside. Chart I-11U.K. Homebuilders Have Substantial Upside If The Brexit Discount Fades Fractal Trading System* Based on its collapsed fractal structure, we anticipate a countertrend rally in NZD/JPY within the next 130 days. Accordingly, go long NZD/JPY setting a profit target of 3 percent and a symmetrical stop-loss. Chart I-12 For any investment, excessive trend following and groupthink can reach a natural point of instability, at which point the established trend is highly likely to break down with or without an external catalyst. An early warning sign is the investment’s fractal dimension approaching its natural lower bound. Encouragingly, this trigger has consistently identified countertrend moves of various magnitudes across all asset classes. The post-June 9, 2016 fractal trading model rules are: When the fractal dimension approaches the lower limit after an investment has been in an established trend it is a potential trigger for a liquidity-triggered trend reversal. Therefore, open a countertrend position. The profit target is a one-third reversal of the preceding 13-week move. Apply a symmetrical stop-loss. Close the position at the profit target or stop-loss. Otherwise close the position after 13 weeks. Use the position size multiple to control risk. The position size will be smaller for more risky positions. * For more details please see the European Investment Strategy Special Report “Fractals, Liquidity & A Trading Model,” dated December 11, 2014, available at eis.bcaresearch.com. Dhaval Joshi, Chief European Investment Strategist dhaval@bcaresearch.com Footnotes 1 There are also several companies with dual listings in the U.K. and the euro area. Unfortunately, these valuation differentials have been temporarily distorted by the risk of a no-deal Brexit, in which EU27 investors may have been forbidden from trading in the U.K. listed shares. Fractal Trading System Cyclical Recommendations Structural Recommendations Fractal Trades Asset Performance Currency & Bond Equity Sector Country Equity Indicators Bond Yields Chart II-1Indicators To Watch - Bond Yields Chart II-2Indicators To Watch - Bond Yields Chart II-3Indicators To Watch - Bond Yields Chart II-4Indicators To Watch - Bond Yields Interest Rate Chart II-5Indicators To Watch - Interest Rate Expectations Chart II-6Indicators To Watch - Interest Rate Expectations Chart II-7Indicators To Watch - Interest Rate Expectations Chart II-8Indicators To Watch - Interest Rate Expectations
Highlights Geopolitical risks are starting to abate as a result of material constraints influencing policymakers. China needs to ensure its economy bottoms and a debt-deflationary tendency does not take hold. President Trump needs to avoid further economic deterioration arising from the trade war. The U.K. is looking to prevent a recession induced by leaving the EU without an agreement. Iran and the risk of an oil price shock is the outstanding geopolitical tail risk. Feature Readers of BCA’s Geopolitical Strategy know that what defines our research is our analytical framework – specifically the theory of constraints. Chart 1The Electoral College – An Overlooked Constraint The theory holds that policymakers are trapped by the pressures of their office, their nation’s global position, and the stream of events. These pressures emerge from the material world that we inhabit and as such are measurable. If a leader lacks popular approval, cannot command a majority in the legislature, rides atop a sinking economy, or suffers under stronger or smarter foreign enemies, then his policy preferences will be compromised. He will have to change his preferences to accommodate the constraints, rather than the other way around. Case in point is the U.S. electoral college: it proved an insurmountable political constraint on the Democratic Party in 2016. The college is intended to restrain direct democracy or popular passions; it also restrains the concentration of regional power. In 2012, Barack Obama won a larger share of the electoral college than the popular vote, while in 2016 Hillary Clinton won a smaller share (Chart 1). Clinton’s lack of appeal in the industrial Midwest turned the college and deprived her of the prize. The rest is history. In this report we highlight five key constraints that will shape the direction of the major geopolitical risks in the fourth quarter. We recommend investors remain tactically cautious on risk assets, although we have not yet extended this recommendation to the cyclical, 12-month time frame. China’s Policy: The Debt-Deflation Constraint We have a solid record of pessimism regarding Chinese President Xi Jinping’s willingness and ability to stimulate the economy – but even we were surprised by his tenacity this year. His administration’s effort to contain leverage, while still stimulating the economy, has prevented a quick rebound in the global manufacturing cycle. The constraint limiting this approach is the need to avoid a debt-deflation spiral. This is a condition in which households and firms become pessimistic about the future and cut back their spending and borrowing. The general price level falls and drives up real debt burdens, which motivates further cutbacks. A classic example is Japan, which saw a property bubble burst, destroying corporate balance sheets and forcing the country into a long phase of paying down debt amid falling prices. China has not seen its property bubble burst yet. Prices have continued to rise despite the recent pause in the non-financial debt build-up (Chart 2). Looser monetary and fiscal policy have sustained this precarious balance. But the result is a tug-of-war between the government and the private sector. If the government miscalculates, and the asset bubble bursts, then it will be extremely difficult for the government to change the mindset of households and companies bent on paying down debt. It will be too late to avoid the vicious spiral that Japan experienced – with the critical proviso that Chinese people are less wealthy than the Japanese in 1990 and the country’s political system is less flexible. A Japan-sized economic problem would lead to a China-sized political problem. This is why the recent drop in Chinese producer prices below zero is a worrisome sign (Chart 3). Policymakers have loosened monetary and fiscal policy incrementally since July 2018 and they are signaling that they will continue to do so. This is particularly likely in an environment in which trade tensions are reduced but remain fundamentally unresolved – which is our base case. Chart 2China's Property Bubble Intact Chart 3China's Constraint Is Debt-Deflation Are policymakers aware of this constraint? Absolutely. If the trade talks collapse, or the global economy slumps regardless, then China will have to stimulate more aggressively. Xi Jinping is not truly a Chairman Mao, willing to impose extreme austerity. He oversaw the 2015-16 stimulus and would do it again if he came face to face with the debt-deflation constraint. Is China still capable of stimulating? High debt levels, the reassertion of centralized state power, and the trade war have all rendered traditional stimulus levers less effective by dampening animal spirits. Yet policymakers are visibly “riding the brake,” so they can remove restraints and increase reflation if necessary. Most obviously, authorities can inject larger fiscal stimulus. They have insisted that they will prevent easy monetary and credit policies from feeding into property prices – and this could change. They could also pick up the pace when it comes to reducing average bank lending rates for small and medium-sized businesses.1 In short, stimulus is less effective, but the government is also preferring to save dry powder. This preference will be thrown by the wayside if it hits the critical constraint. The implication is that Chinese stimulus will continue to pick up over a cyclical, 12-month horizon. There is impetus to reduce trade tensions with the U.S., discussed below, but a lack of final resolution will ensure that policy tightening is not called for. Bottom Line: China’s chief economic constraint is a debt-deflation trap. This would engender long-term economic difficulties that would eventually translate into political difficulties for Communist Party rule. If a trade deal is reached, it is unlikely alone to require a shift to tighter policy. If the trade talks collapse, stimulus will overshoot to the upside. Trade War: The Electoral Constraint The U.S. and China are holding the thirteenth round of trade negotiations this week after a summer replete with punitive measures, threats, and failed restarts. Tensions spiked just ahead of the talks, as expected. Immediately thereafter President Trump declared he will meet with Chinese negotiators to give a boost to the process and reassure the markets.2 Trump’s major constraint in waging the trade war is economic, not political. Americans are generally sympathetic to his pressure campaign against China. Public opinion polls show that a strong majority believes it is necessary to confront China even though the bulk of the economic pain will be borne by consumers themselves (Chart 4). Yet Americans could lose faith in Trump’s approach once the economic pain fully materializes. Critically, the decline in wage growth that is occurring as a result of the global and manufacturing slowdown is concentrated in the states that are most likely to swing the 2020 election, e.g. the “purple” or battleground states (Chart 5). Chart 4Americans To Confront China Despite The Costs? Chart 5Trump Faces Pressure To Stage A Tactical Trade Retreat Furthermore, a rise in unemployment, which is implied by the recent decline in the University of Michigan’s survey of consumer confidence regarding the purchase of large household goods, would devastate voters’ willingness to give Trump’s tariff strategy the benefit of the doubt (Chart 6). Wisconsin and Pennsylvania, two critical states, have seen a net loss of manufacturing jobs on the year. The fear of an uptick in U.S. unemployment will prevent Trump from escalating the trade war. An uptick in unemployment would be a major constraint on Trump’s trade war – he cannot escalate further until the economy has stabilized. And that may very well require tariff rollback while trade talks “make progress.” We expect that Trump is willing to do this in the interest of staying in power. As highlighted above, the Xi administration is not without its own constraints. Our proxies for China’s marginal propensity to consume show that Chinese animal spirits are still vulnerable, particularly on the household side, which has not responded to stimulus thus far (Chart 7). Since this constraint is less immediate than Trump’s election date, Xi cannot be expected to capitulate to Trump’s biggest demands. Hence a ceasefire or détente is more likely than a full bilateral trade agreement. Chart 6Waning Consumer Confidence On Big Ticket Items Foreshadows Rise In Unemployment Trump’s electoral constraint also suggests that he needs to remove trade risks such as car tariffs on Europe and Japan (which we expect he will do). We have been optimistic on the passage of the USMCA trade deal but impeachment puts this forecast in jeopardy. Chart 7China's Trade War Constraint? Animal Spirits Bottom Line: Trump will stage a tactical retreat on trade in order to soften the negative impact on the economy and reduce the chances of a recession prior to the November 3, 2020 election. China’s economic constraints are less immediate and it is unlikely to make major structural concessions. Hence we expect a ceasefire that temporarily reduces tensions and boosts sentiment rather than a bilateral trade agreement that initiates a fundamental deepening of U.S.-China economic engagement. U.S. Policy: The Economic Constraint The 2020 U.S. election is a critical political risk both because of the volatility it will engender and because of what we see as a 45% chance that it will lead to a change in the ruling party governing the world’s largest economy. Will Trump be the candidate? Yes. If Trump’s approval among Republicans breaks beneath the lows plumbed during the Charlottesville incident in 2017 (Chart 8A), then Trump has an impeachment problem, but otherwise he is safe from removal. Judging by the Republican-leaning pollster Rasmussen, which should reflect the party’s mood, Trump’s approval rating has not broken beneath its floor and may already be bouncing back from the initial hit of the impeachment inquiry (Chart 8B). The rise in support for impeachment and removal in opinion polls is notable, but it is also along party lines and will fade if the Democrats are seen as dragging on the process or trying to circumvent an election that is just around the corner. Chart 8ARepublican Opinion Precludes Trump’s Removal Chart 8BRepublican-Leaning Pollster Shows Support Holding Thus Far How will all of this bear on the 2020 election? Turnout will be high so everything depends on which side will be more passionate. A critical factor will be the Democratic nominee. Former Vice President Joe Biden, the establishment pick, has broken beneath his floor in the polling. His rambling debate performances have reinforced the narrative that he is too old, while the impeachment of Trump will fuel counteraccusations of corruption that will detract from Biden’s greatest asset: his electability. According to a Harvard-Harris poll from late September, 61% of voters believe it was inappropriate for Biden to withhold aid from Ukraine to encourage the firing of a Ukrainian prosecutor even when the polling question makes no mention of any connection with Biden’s son’s business interest there. Moreover, 77% believe it is inappropriate that Biden’s son Hunter traveled with his father to China while soliciting investments there. With Vermont Senator Bernie Sanders’s candidacy now defunct as a result of his heart attack and old age, Elizabeth Warren, the progressive senator from Massachusetts, will become the indisputable front runner (which she is not yet). In the fourth primary debate on October 15, she will face attacks from all sides reflecting this new status. Given her debate performances thus far, she will sustain the heightened scrutiny and come out stronger. This is not to say that Warren is already the Democratic candidate. Biden is still polling like a traditional Democratic primary front runner (Chart 9), while Warren has some clear weaknesses in electability, as reflected in her smaller lead over Trump in head-to-head polls in swing states. Nevertheless Warren is likely to become the front runner. Chart 9Biden Polling About Average Relative To Previous Democratic Primary Front Runners The recession call remains the U.S. election call. Two further considerations: Impeachment and removal of President Trump ensure a Democratic victory. There are hopes in some quarters that President Trump could be impeached and removed and yet his Vice President Mike Pence could go on to win the 2020 election, preserving the pro-business policy status quo. The problem with this logic is that Trump cannot be removed unless Republican opinion shifts. This will require an earthquake as a result of some wrongdoing by Trump. Such an earthquake will blacken Pence’s and the GOP’s name and render them toxic in the general election. Not to mention that Pence’s only act as president in the brief interim would likely be to pardon Trump and his accomplices. He would suffer Gerald Ford’s fate in 1976. Which means that a significant slide in Trump’s approval among Republicans will translate to higher odds of a Democratic win in 2020 and hence higher taxes and regulation, i.e. a hit to corporate earnings expectations. We expect this approval to hold up, but the market can sell off anyway because … The market is overrating the Senate as a check on Warren in the event she wins the White House. It is true that relative to Biden, Warren is less likely to carry the Senate. Democrats need to retain their Senate seat in Alabama, while capturing Maine, Colorado, and Arizona (or Georgia) in addition to the White House in order to control the Senate. Biden is more competitive in Arizona and Georgia than Warren. But this is a flimsy basis to feel reassured that a Warren presidency will be constrained. In fact, it is very difficult to unseat a sitting president. If the Democrats can muster enough votes to kick out an incumbent and elect an outspoken left-wing progressive from the northeast, they most likely will have mustered enough votes to take the Senate as well. For instance, unemployment could be rising or Trump’s risky foreign policy could have backfired. Chart 10Business Sentiment Threatens Trump Re-Election In our estimation the Democrats have about a 45% chance of winning the presidency, and Warren does not significantly reduce this chance. The resilient U.S. economy is Trump’s base case for success. But Trump’s trade policy and the global slowdown are rapidly eating away at the prospect that voters see improvement (Chart 10). This speaks to the constraint driving a ceasefire with China above, but it also speaks to the broader probability of policy continuity in the U.S. As Warren’s path to the White House widens, there is a clear basis for equities to sell off in the near term. Bottom Line: Trump’s approval among Republicans is a constraint on his removal via impeachment. But the status of the economy is the greater constraint. The recession call remains the election call. While we expect downside in the near term, we are still constructive on U.S. equities on a cyclical basis. War With Iran: The Oil Price Constraint The Senate will remain President Trump’s bulwark amid impeachment, notwithstanding the controversial news that Trump is moving forward with the withdrawal of troops from Syria, specifically from the so-called “safe zone” agreed with Turkey, giving Ankara license to stage a larger military offensive in Syria. This abandonment of the U.S.’s Kurdish allies at the behest of Turkey (which is a NATO ally but has been at odds with Washington) has provoked flak from Republican senators. However, it is well supported in U.S. public opinion (Chart 11). Trump is threatening to impose economic sanctions on Turkey if it engages in ethnic cleansing. The Turkish lira is the marginal loser, Trump’s approval rating is the marginal winner. The withdrawal sends a signal to the world that the U.S. is continuing to deleverage from the Middle East – a corollary with the return of focus on Asia Pacific. While the Iranians are key beneficiaries of this pivot, the Trump administration is maintaining maximum sanctions pressure on the Iranians. The firing of hawkish National Security Adviser John Bolton did not lead to a détente, as President Rouhani has too much to risk from negotiating with Trump. Instead the Iranians smelled U.S. weakness and went on the attack in Saudi Arabia, briefly shuttering 6 million barrels of oil per day. The response to the attack – from both Saudi Arabia and the U.S. – revealed an extreme aversion to military conflict and escalation. Instead the U.S. has tightened its sanctions regime – China is reportedly withdrawing from its interest in the South Pars natural gas project, a potentially serious blow to Iran, which had been hyping its strategic partnership with China. This reinforces the prospect for a U.S.-China ceasefire even as it redoubles the economic pressure on Iran. As long as the U.S. maintains the crippling sanctions on Iran, there is no guarantee that Tehran will not strike out again in an effort to weaken President Trump’s resolve. The fact that about 18% of global oil supply flows through the critical chokepoint of the Strait of Hormuz is Iran’s ace in the hole (Chart 12). It is the chief constraint on Trump’s foreign policy, as greater oil supply disruptions could shock the U.S. economy ahead of the election. Trump can benefit from minor or ephemeral disruptions but he is likely to get into trouble if a serious shock weakens the economy at this juncture. Chart 11U.S. Opinion Constrains Foreign Policy Chart 12Oil Price Constrains U.S. Policy Toward Iran An oil shock does not have to originate in Hormuz shipping or sneak attacks on regional oil infrastructure. Iran is uniquely capable of fomenting the anti-government protests that have erupted in southern Iraq. The restoration of stability in Iraq has resulted in around 2 million barrels of oil per day coming onto international markets (Chart 13). If this process is reversed through political instability or sabotage, it will rapidly push up against global spare oil capacity and exert an upward pressure on oil prices that would come at an awkward time for a global economy experiencing a manufacturing recession (Chart 14). Chart 13Iran's Leverage Over Iraq Chart 14Global Oil Spare Capacity Constrains Response To Crisis Bottom Line: Iran’s power over regional oil production is the biggest constraint on Trump’s foreign policy in the region, yet Trump is apparently tightening rather than easing the sanctions regime. The failure of the Abqaiq attack to generate a lasting impact on oil prices amid weak global demand suggests that Iran could feel emboldened. The U.S. preference to withdraw from Middle Eastern conflicts could also encourage Iran, while the tightening of the sanctions regime could make it desperate. An oil shock emanating from the conflict with Iran is still a significant risk to the global bull market. Brexit: The No-Deal Constraint The fifth and final constraint to discuss in this report pertains to the U.K. and Brexit. We do not consider the October 31 deadline a no-deal exit risk. Parliament will prevail over a prime minister who lacks a majority. Nevertheless the expected election can revive no-deal risk, especially if Boris Johnson is returned to power with a weak minority government. Chart 15U.K.: Public Opinion Constrains Parliament And No-Deal Brexit While parliament is the constraint on the prime minister, the public is the constraint on parliament. From this point of view, support for Brexit has weakened and the Conservative Party is less popular than in the lead up to the 2015 and 2017 general elections. The public is aware that no-deal exit is likely to cause significant economic pain and that is why a majority rejects no-deal, as opposed to a soft Brexit. Unless the Tory rally in opinion polling produces another coalition with the Northern Irish, albeit with Boris Johnson at the helm, these points make it likely that a no-deal Brexit will become untenable when all is said and done (Chart 15). If Johnson achieves a single party majority the EU will be more likely to grant concessions enabling him to get a withdrawal deal over the line. We remain long GBP-USD but will turn sellers at the $1.30 mark. Investment Implications The path of least resistance is for China’s stimulus efforts to increase – incrementally if trade tensions are contained, and sharply if not. This should help put a floor beneath growth, but the Q1 timing of this floor means that global risk assets face additional downside in the near term. We continue to recommend going long our “China Play” index. U.S.-China trade tensions should decline as President Trump looks to prevent higher unemployment ahead of his election. China has reason to follow through on small concessions to encourage Trump’s tactical trade retreat, but it does not face pressure to make new structural concessions. We expect a ceasefire – with some tariff rollback likely – but not a big bang agreement that removes all tariffs or deepens the overall bilateral economic engagement. Stay long our “China Play” index. We remain short CNY-USD on a strategic basis but recognize that a ceasefire presents a short term (maximum 12-month) risk to this view, so clients with a shorter-term horizon should close that trade. We are long European equities relative to Chinese equities as a result of the view that China will stimulate but that a trade ceasefire will leave lingering uncertainties over Chinese corporates. U.S. politics are highly unpredictable but constraint-based analysis indicates that while the House may impeach, the Senate will not remove. This, combined with Warren’s likely ascent to the head of the pack in the Democratic primary race, means that Trump remains favored to win reelection, albeit with low conviction (55% chance) due to a weak general approval rating and economic risks. The risk to U.S. equities is immediate, but should dissipate. The U.S. is rotating its strategic focus from the Middle East to Asia Pacific, which entails a continued rotation of geopolitical risk. However, recent developments reinforce our argument in July that Iranian geopolitical risk is frontloaded relative to the China risk. This is true as long as Trump maintains crippling sanctions. Iran may be emboldened by its successes so far and has various mechanisms – including Iraqi instability – by which it can threaten oil supply to pressure Trump. This is a tail risk, but it does support our position of being long EM energy producers. Matt Gertken, Vice President Geopolitical Strategist mattg@bcaresearch.com Footnotes 1 Please see BCA Research, China Investment Strategy Weekly Report, “Mild Deflation Means Timid Easing,” October 9, 2019, available at cis.bcaresearch.com. 2 China knows that Trump wants to seal a deal prior to November 2020 to aid his reelection campaign, while Trump needs to try to convince China that he does not care about election, the stock market, or anything other than structural concessions from China. Hence the U.S. blacklisted several artificial intelligence companies and sanctioned Chinese officials in advance of the talks. The U.S. opened a new front in the conflict by invoking China’s human rights abuses in Xinjiang, which is also an implicit warning not to create a humanitarian incident in Hong Kong where protests continue to rage. These are pressure tactics but have not yet derailed the attempt to seal a deal in Q4.
ハイライト
トランプ大統領が共和党内で支持され、決定的な証拠がないことは罷免を阻むだろう。
弾劾手続きでトランプ氏の支持率が恩恵を受け、米国経済が底堅ければ、貿易リスクは高まるだろう。
欧州本土の政治リスクは低下している。しかしロシアとトルコには注意が必要で、英国の10年物対2年物ギルトをショートせよ。
スペインの新選挙は政治的膠着を解消しない可能性がある。
香港ハンセンのショートで利益を確定する。
特集
米国のドナルド・トランプ大統領に対する弾劾手続き、露骨なイランによるサウジ攻撃、貿易戦争リスクの残存、そして中国と欧州からの追加の弱いデータは、投資家は当面リスク回避の姿勢を維持すべきであることを示唆している。具体的には、トランプ氏の弾劾は彼を国外での気晴らしに駆り立てる可能性があり、始まったばかりの積極的な対外・貿易政策からの戦術的撤退を放棄することになり得る。
ホットスポット以外の地政学リスクは低下しており、特に欧州で目立つ。ノーディール・ブレグジットのリスクは当社の予想に沿って急落した。イタリアとドイツは市場を安心させるためにポピュリズムなき財政刺激を提示し、市場を喜ばせた。フランスではエマニュエル・マクロン大統領の人気が回復している。そして本レポートで論じるように、スペインの選挙は重大な懸念材料を追加しないだろう。
以下では新しいGeoRisk指標を紹介し、過去1か月にわたる当社のすべての指標からのシグナルを概観し、その後スペインに焦点を当てる。
恐れるべきは米国政治であって弾劾自体ではない
下院民主党によるトランプ氏の弾劾決定は、投資家がリスク資産に対して慎重であり続けるもう一つの理由を与える。なぜ強気になれないのか？確かに、弾劾が決定的な証拠なしに行われれば、トランプ氏の再選確率は高まりうる。これは民主党の勝利に比べれば市場にとってプラスである。トランプ大統領は、共和党が引き続き91%の支持率で支える限り、事実上民主党の弾劾手続きに対して無敵である（チャート1）。このような状況では上院議員が離反することはなく、トランプ氏は職を追われることはないだろう。
共和党の支持が高い限り、トランプ氏は弾劾手続きに対して無敵である。
さらに、ウクライナ大統領ヴォロディミル・ゼレンスキーとの電話会話の議事録は決定的な一撃にはならなかった。トランプ大統領が軍事支援を差し止める代わりにジョー・バイデン前副大統領やその息子ハンターに関する捜査を要求するという明確な「見返り」は示されていない。従って不正行為があったかどうかは、さらなる証拠を待つまでは議論の余地がある。これは「内部告発者の申し立て」を超える証拠を含み得るもので、同申し立てはトランプ陣営が前述の電話議事録の情報を抑えようとした可能性を示唆している。重要なのは、草の根の共和党と上院がこの議論の最終的な裁定者であるという点である。
問題は、スキャンダルと弾劾が株式市場のボラティリティに供給されることが依然として考えられることである（チャート2）。下院民主党は弾劾に全面的に注力し、情報機関の内部告発者からの証言を聴取する過程で新たな証拠を掘り起こす可能性がある。
チャート1
共和党はまだトランプを弾劾する用意がない
弾劾、貿易戦争、そしてスペインへの短期滞在 – GeoRisk Update: 2019年9月27日
弾劾、貿易戦争、そしてスペインへの短期滞在 – GeoRisk Update: 2019年9月27日
弾劾はまた、民主党の大統領予備選を通じて市場にネガティブな影響を与える。エリザベス・ウォーレンはまだ初期の民主党予備選でバイデンを押しのけていない。
チャート2
弾劾手続きはボラティリティを高める可能性
弾劾手続きはボラティリティを高める可能性が高い
弾劾手続きはボラティリティを高める可能性が高い
もし彼女（ウォーレン）がバイデンを追い落とせば、市場には大きなネガティブ・インパクトが生じるだろう。トランプ大統領は依然として再選で僅かに有利であるに過ぎない。いかなる場合でもこの選挙は極めて接戦であり、財政政策と規制に対して重大な影響を持ち、従って2020年11月まで多くの不確実性を生むだろう。内部告発者を巡る一連の出来事は、この不確実性をむしろ悪化させている。
レポート冒頭でも述べたように、もし弾劾手続きが何らかの勢いを得れば、それはトランプ氏を国外での気晴らしに駆り立てる可能性があり、始まったばかりの積極的な対外・貿易政策からの戦術的撤退を放棄させることになり得る。
最後に、トランプ氏の再選は代替案より市場に優しいため安心ラリーを引き起こす可能性が高いが、一見したほど強気ではない。第2期のトランプ政策は第1期ほど企業に有利ではないだろう。選挙上の懸念から解放されつつも下院が民主党であるという状況では、減税は実現困難だが、対外・貿易政策をさらに攻撃的に進める可能性が高い。これは米国の長期的利益に資するか否かに関わらず、市場にとってプラスの見通しではない。
結論：トランプ大統領の共和党有権者間での支持率が重要な指標である。彼らが信頼を捨てない限り上院は反転せず、トランプ氏の支持はむしろ上がる可能性がある。しかしそれは強気転換の理由にはならない。今後1年は米国の政治的機能不全の恐怖劇が不可避であり、ボラティリティと潜在的に海外での紛争エスカレーションを引き起こすだろう。
発表…当社の米中貿易リスク指標
今週、米中貿易戦争のための新しいGeoRisk指標を導入する（チャート3）。この指標は、全体の先進国株式が中国エクスポージャーの高い銘柄群に対してどの程度アウトパフォームしているか、および中国の民間クレジット成長（「社会総融資」）に基づいている。チャートの説明が示すように、この指標は貿易戦争を通じた事象の推移と整合している。また、報道記事中の重要語のカウントなど別の貿易リスクの測度ともかなり相関している。
チャート3
ここから貿易リスクは上昇するだろう
弾劾、貿易戦争、そしてスペインへの短期滞在 — GeoRiskアップデート：2019年9月27日
弾劾、貿易戦争、そしてスペインへの短期滞在 — GeoRiskアップデート：2019年9月27日
執筆時点で当社の指標は貿易戦争関連のリスクが増加していることを示唆している。過去1か月、トランプ氏は選挙前の経済リスクを抑えるために対外・貿易政策で戦術的撤退を行ってきたが（経済リスク管理のため）、当社の指標はこれが既に織り込まれていることを示している。
問題は、トランプ再選のリスクが中国にとって一層厳しい交渉を可能にすることであり、これはFedExの従業員拘束（米企業を困らせ得るシグナル）やモンタナ、ネブラスカでの農場視察のキャンセルにより暫定的に確認されている。これらは大事件ではないが、中国がトランプの躊躇を嗅ぎ取り、交渉で攻勢に出ていることを示唆している。
主要交渉担当者は10月上旬に極めて重要な協議ラウンドで会合する予定である。これが実質的な進展の公表や、4月にほぼ完成しているドラフト文書が仕上がることを示せば、11月のAPECサミット（チリ・サンティアゴ）で習近平国家主席とドナルド・トランプ大統領の首脳会談が設定される可能性がある。この時点で、我々は2020年11月までに合意が成立する確率を上方修正する必要があるだろう（当社は40%と見積もっている）。
もし協議が前向きな公的成果で終わらなければ、投資家はそれを軽視すべきではない。第4四半期の交渉は米国選挙前の最後の合意の試みである可能性があり、トランプ＝習の首脳会談の話がない場合、我々のエンドゲームに対する悲観的見通しが裏付けられることになる。
米中貿易協議が決定的で持続的な合意を生む可能性は低い。
最終的に我々は、米中貿易協議が貿易戦争リスクと不確実性を実質的に取り除くような決定的かつ持続的な合意を生むとは考えていない。特に世界的な金融緩和の中で金融市場・経済圧力が十分に強くなく、政策決定者を妥協に駆り立てない場合にはその可能性は低い。しかし、弾劾手続きがトランプの戦術的撤退を持続させ、中国からの相互措置を引き出している兆候があれば、見通しはより楽観的になるだろう。
結論：大統領の支持率が民主党の弾劾手続きから恩恵を受け、かつ我々が予想するように米国経済が底堅ければ、トランプ氏は中国との浅い合意に屈することを回避できる。ここから貿易リスクは上昇し得る。
同様に、弾劾手続きは最終的にトランプ氏に再び戦術を変えさせ、対外政策でより攻撃的な姿勢を取らせる可能性がある。弾劾に勢いがつくか、ベアマーケットが発生すれば、彼は大統領就任以降で最も攻撃的になることがあり得る—その攻撃は中国（あるいはイラン、北朝鮮、ベネズエラ、その他の国）に向けられるかもしれない。
我々の見方に対するリスクは、中国が自国経済の猶予を得るためにトランプの貿易姿勢を受け入れ、両者がAPECサミットで合意に達することである。
欧州のリスクは低下、ロシアとトルコのリスクはこれ以上ほとんど下がらない
その他の地域では、当社の地政学リスクの測定は多数の先進国および新興国で緊張の低下を示している（付録参照）。ドイツではリスクは現状からやや上昇し得るが概ね抑制されている—これは短期を除けば英国では当てはまらない。ロシアとトルコでは、これ以上リスクが下がる余地はほとんどない。
まずドイツだが、メルケル首相の与党連立が気候変動対策として500億ユーロの財政支出パッケージで合意したことで政治リスクは低下した。この合意は、ドイツ政治が基本的に安定している一方で、行政は刺激策を先取りして打つというよりは反応的に行動するだろうという当社の評価を裏付けるものだ。
欧州がドイツの財政政策における真の「ゲームチェンジャー」を待つには、世界的な危機、あるいは新たなドイツ政府が必要だろう。世論調査で急伸している緑の党が、メルケルを気候支出へ駆り立てたため、そのような展開を可能にするかもしれないが、まだ早すぎる。
一方で、メルケルの退任間際の状態と外部要因が政治リスクを完全には収束させないだろう。我々は、米国車の関税が現状より高まる確率を30%以下と見ている—少なくとも米中の緊張が続く限りは。
対照的に、英国の政治リスクは今月大きく改善したにもかかわらず、抑制されているとは言えない。9月25日の最高裁判所による首相ボリス・ジョンソンの議会休会（プログ）無効判決は、合意なきEU離脱で国を引き裂くという彼の脅しの棺にもう一打を加えた。これはEUから譲歩を引き出すための賭けだったが、完全に失敗した。1 これが、最も説得力のあるノーディール離脱の脅威であったため、その失敗は英国と近隣国の政治リスク低下の一歩を意味するはずだ。
しかし逆説的に、我々のGeoRisk指標は夏を通じておよび現在のポンドの急落を裏付けられなかった。理由は、夏の間ポンドの減価率は比較的横ばいであった一方、当該指標の説明変数の一つである英国製造業PMIは世界的な製造業の急落に伴いもっと速く低下したためである。その結果、当社の指標は政治リスクの低下としてこれを記録した。世界はノーディールよりも景気後退を恐れており、市場の判断は正しかった。しかし状況は逆転し得る：世界成長が改善し、新たな英国選挙が予定されれば、後者はノーディールのリスクを再燃させる可能性がある（特にトーリー党が薄い過半数で連立政権として戻った場合はなおさらだ）。
真実は、ブレグジットの物語は終わっておらず、英国は選挙、左派政権の可能性、そして最終的には離脱も残留も中間層の不安を解決しないことが明らかになればポピュリズムの粘り強さに直面するだろう。我々のGBP-USDのロング推奨は必然的にタクティカルであり、1.30ドルで売りに転じる予定である。
新興市場では、ロシアとトルコの政治リスクは非常に低下しており、何らかの政治展開が起こらない限りこれ以上低下するのは難しい。最新の評価に基づけば、トルコは近い将来リスクが急上昇する可能性が高い。これはエルドアン大統領に対する国内政治的連携の形成や、脆弱な米国とトルコのシリア協定を巡る外的リスクの高まりによって生じ得る。イランとの緊張はオイルショックを引き起こし、経済を弱体化させ野党を勢いづける可能性もある。
ロシアについては、我々のベースケースはロシアが対外目的を軽視して国内問題に注力し続けることであり、これが地政学リスクを低位に保つのに寄与するというものだ。米国の政治が混乱し、対イランの紛争が視野に入る中で、モスクワが自ら敵対的注目を浴びる理由はない。しかしながら、プーチン時代を通じてモスクワは予測不可能で攻撃的であり、トランプに対する忠誠心は本物ではなく民主党の怒りの標的となり得るし、中東やアジア太平洋で火種を煽る誘因も持つ。したがって地政学リスクがこれ以上大幅に下がることを期待するのは運を天に任せることになる。
結論： 欧州の政治リスクは低下している が、メルケルの退任間際の状態と貿易戦争により、政権基盤が安定しているにもかかわらずドイツのリスクはここから上昇し得る。
英国は今夏のノーディール・リスクの回避という幸運な結論にもかかわらず、世代的に高まった政治リスクに直面している。英国の10年物対2年物ギルトをショートしなさい。
ロシアは当面静かであり続けるべきだが、トルコはほぼ確実に政治リスクの上昇を経験するだろう。
スペイン：選挙は驚きをもたらすかもしれないがリスクは低い
政党幹部が恒久的な政府樹立で合意できなかったため、スペインの有権者は11月10日に4年で4度目の投票に向かうことになる。
スペイン社会労働党（PSOE）は4月の解散総選挙で350議席中123議席を獲得して以降、暫定政権を務めている。
新たなスペインの選挙は現在の政治的膠着を解消しないだろう。
首相でありPSOE党首のペドロ・サンチェスは7月に承認を得られず、それ以来左派の反体制政党ポデモスと政権協定を模索してきた。ただしPSOEは完全な連立を求めているわけではなく、単に少数与党として引き続き統治するための外部支持を求めているに過ぎない。したがって交渉でPSOEはポデモスに閣僚ポストではなく非閣僚の機関を提供する程度にとどめ、ポデモスや他党は選挙の準備を整えている。
今後の選挙の結果は4月の選挙と大きくは変わらないかもしれない。スペインの有権者は変化を求めていない。失業と不完全雇用は減少しており、賃金上昇は2014年以降プラスで推移している（チャート4）。世論調査では各党への支持は大きく変動していない（チャート5、上段）。PSOEは依然としてかなりの差でリードしている。
チャート4
スペイン有権者は変化を求めていない
スペインの有権者は変化を求めていない
スペインの有権者は変化を求めていない
とはいえ選挙は不都合な時期に不確実性を高め、驚きを生む可能性がある。PSOEの支持は7月下旬以降わずかに低下しており、これはポデモスとの交渉がこじれ始めた時期に一致する。
チャート5
世論調査に大きな変化はない…
世論調査に大きな変化なし...
世論調査に大きな変化なし...
たとえPSOEとポデモスが統治協定を結んだとしても、両者の合計支持は主要な保守系3党の合計支持を大きく上回るわけではない。保守系は国民党（Partido Popular）、シウダダノス（Ciudadanos）、Voxであり（チャート5下段）、彼らはマドリードの地域政府を共同で支配することで協力できることを最近示した。
チャート6
…しかし投票率低下は左派に打撃を与える可能性
弾劾、貿易戦争、そしてスペインへの滞在 – GeoRiskアップデート：2019年9月27日
弾劾、貿易戦争、そしてスペインへの滞在 – GeoRiskアップデート：2019年9月27日
社会党はシウダダノスから際どい有権者を取り込むことを望んでおり、特にシウダダノスの右派ポピュリズムへの転向やカタルーニャ問題に対する強硬姿勢に懐疑的な有権者を狙っている。しかしシウダダノスの有権者の半分を取り込めたとしても、PSOEの支持は約37%にとどまり、単独過半数政権を形成するには程遠い。
PSOEに打撃を与え得るもう一つの要素は投票率である。スペインの有権者は4月選挙以降、いずれの党も支持することへの関心が薄れている。投票率の低下は左派にとって最も打撃になり得る。なぜなら有権者は政府形成失敗をポデモスとPSOEの責任と見なす割合が、PPやシウダダノスよりも高いからである（チャート6）。
最も可能性の高い結果は現状維持か、あるいはPSOE–ポデモス連合だ。しかし保守派の勝利を排除することはできない。前者2ケースでは短期的にはやや拡張的な財政が実施されやすくなるが、長期的には改革の勢いを失うリスクがある。
文脈を示すと、スペインの政治は国内志向であり、欧州統合への脅威とはなっていない。スペインの有権者は通貨やEU加盟に関して大陸で最も親欧的な層の一つである（チャート7）。スペインはイタリアとともにEU予算配分の主要な受益国である。極右のVoxですら「強硬なユーロ懐疑主義者」と見なされてはいない。
ただし国内に目を向けると政治的分断が問題である。不平等や社会的流動性の欠如はイタリア、英国、米国ほど極端ではないにせよ懸念材料だ。さらにカタルーニャ独立問題は対立を生む。新たなカタルーニャ州議会選は2022年まで予定されていないが、共和主義左派（Republican Left of Catalonia）とカタルーニャ・シーの親独立連合は世論調査で勢いを増しており、シウダダノスの支持は今年初めに同党がカタルーニャに対する姿勢を強硬化して以来急落している（チャート8）。カタルーニャが独立するという状況では全くない—独立支持は2013年にピークに達している—が、それでもスペイン政治の原動力であり続けている。
チャート7
スペイン人は欧州を好む
スペイン人はヨーロッパを愛している
スペイン人はヨーロッパを愛している
チャート8
カタルーニャは分裂を招く問題
弾劾、貿易戦争、そしてスペインへの滞在 — GeoRiskアップデート：2019年9月27日
弾劾、貿易戦争、そしてスペインへの滞在 — GeoRiskアップデート：2019年9月27日
ごく短期的には、選挙の麻痺は財政政策にクロスウインドを生む。一方では地方政府は支出削減を強いられる可能性がある。地域は昨年より50億ユーロ多く受け取ると期待しており、その一部は医療や教育に使われる予定だった。安定（あるいは少なくとも暫定）政権が2019年予算を承認できるまでは、地域は2019年予算を昨年の数値に基づいて作成するため、予定されていた支出増加を削らざるを得ない。
しかし他方で、税収が回収できないため予算赤字は拡大するだろう。2018年末にスペインは年金、公務員給与、最低賃金の引き上げを法令で実施したが、2019年予算で実施されるはずだった対応する歳入増加は政権が確立するまで実現しないため、赤字は上方圧力を受ける。
選挙を越えれば、大陸の景気減速を受けてやや大きめの財政的押し上げが期待される。スペインには多少の財政余力があり、2019年に財政赤字は2%、2020年に1.1%へ低下すると見込まれている。2 欧州委員会のより保守的な見積もりでも2019年と2020年の赤字はそれぞれ2.3%と2%と予想されている（チャート9）。これは、スペインが過去10年の緊縮の後に歓迎される変化として、2020年に過度の赤字手続きを起動させることなく追加で約100～150億ユーロ分の刺激を提供できることを意味する。
リスクは、スペインの構造改革の勢いが失われ、長期的に悪影響を及ぼす可能性があることだ。2012年、スペインは痛みを伴う労働市場と年金改革を実行し、それが印象的な経済回復を支えた。我々の報告が示す通り、経済は同業国平均より速く成長し続け、失業は過去6年で12%低下し、輸出競争力は2008年以降ヨーロッパで最も急速に回復した国の一つである（チャート10）。この回復は現在減速し始めており、現時点の政治的膠着は改革が市場の望むより深く巻き戻されるリスクを生んでいる。
チャート9
スペインにはある程度の財政余地がある
スペインにはいくらかの財政余地がある
スペインにはいくらかの財政余地がある
保守派が政権に戻るという驚きが起これば、これは回避される可能性が高いが、その場合は短期的に緩和的な政策は少なくなるだろう。
チャート10
回復は減速し始めている
回復が鈍化し始めている
回復が鈍化し始めている
結論：当社の地政学リスク指標はスペインに関して抑制されたリスク水準を示している。これは、選挙が大きな変化をもたらさない可能性があり、いずれにせよ同国は不安定な均衡状態にとどまるだろうという点に適合している。政治は米国、英国、イタリアのようなポピュリズムに侵された国々よりも基本的に安定している。しかし、左派政権が生じれば短期的にはより大きな財政的緩和が行われ、その代償としてスペインが最近達成した構造改革の進展が損なわれるというリスクがある。
事務連絡
香港ハンセンのショートで利益を確定している。混乱はまだ終わっていないが、10月1日の中華人民共和国建国記念日が近づくにつれてピークに達し、北京は強硬な介入を避けようとするだろう。
エカテリーナ・シュトレヴェンスキー、リサーチ・アナリスト ekaterinas@bcaresearch.com
マット・ガートケン、副社長 地政学ストラテジスト mattg@bcaresearch.com
脚注
1 最高裁はジョンソン政権による議会休会が、正当な理由なく議会の主権的立法者としての役割および政府監視の役割を不当に骨抜きにする違法な手段であると判断した。通常より大規模な11人の裁判官が全会一致で休会の無効を判決した。歴史的に見て休会の使用例や、議会が10月31日のブレグジット日までに行動する時間がまだあったこと、そして首相の対外関係や条約に関する歴史的権限を考えれば、我々は少なくとも判決は接戦になると予想していた。しかし最高裁はブレグジットの混乱の中で議会の麻痺によって生じた権力の真空を埋める役割を果たし、首相が重要な局面で議会の役割を縮小できるという新たな前例になり得るものを「打ち砕いた」。実務的な短期的帰結はノーディール退出の政治的・経済的リスクの低下であるが、長期的帰結は英国の絶えず進化する憲法制度における司法の重要性の高まりかもしれない。
2 「Stability Programme Update 2019-2022, Kingdom of Spain」を参照、入手先は www.ec.europa.eu。
英国：GeoRisk指標
英国：GEORISK 指標
英国：GEORISK 指標
フランス：GeoRisk指標
フランス：GEORISK指標
フランス：GEORISK指標
ドイツ：GeoRisk指標
ドイツ：GEORISK指標
ドイツ：GEORISK指標
スペイン：GeoRisk指標
スペイン：GEORISK指標
スペイン：GEORISK指標
イタリア：GeoRisk指標
イタリア：ジオリスク・インジケーター
イタリア：ジオリスク・インジケーター
ロシア：GeoRisk指標
ロシア：ジオリスク・インディケーター
ロシア：ジオリスク・インディケーター
トルコ：GeoRisk指標
トルコ：GEORISKインジケーター
トルコ：GEORISKインジケーター
ブラジル：GeoRisk指標
ブラジル：ジオリスク・インディケーター
ブラジル：ジオリスク・インディケーター
台湾：GeoRisk指標
台湾：GEORISK指標
台湾：GEORISK指標
韓国：GeoRisk指標
韓国：GEORISKインジケーター
韓国：GEORISKインジケーター
地政学的レーダー上の注目点は？
弾劾、貿易戦争、そしてスペインへの短期滞在 — GeoRisk アップデート：2019年9月27日
弾劾、貿易戦争、そしてスペインへの短期滞在 — GeoRisk アップデート：2019年9月27日
第III部：地政学カレンダー
ハイライト
政治的不確実性の重しがあるにもかかわらず、英国経済は比較的堅調に推移している。
しかし、英国が実際にE.U.を離脱する以前から、ブレグジットは高まった不確実性、企業設備投資の深刻な弱さ、低迷する生産性を通じて英国経済に持続的な影響を残している。
その結果、トレンド成長が低下し、構造的に弱い為替レートと相対的に高い国内インフレを抱える経済となっている。
ブレグジットは10月31日を超えて先送りされるだろう。合意なき離脱（ノー・ディール）は、ボリス・ジョンソンの手を強化する早期選挙が起きない限り、過度に強調されたリスクである。それは起こりそうにない。
英ポンドと英国債（ギルト）に対する投資見通しは二極的である：「円滑な」ブレグジットはポンドにとって強気、ギルトにとって弱気であり、一方で合意なき離脱はポンドとギルト利回りの双方をさらに低下させるだろう。
特集
2016年に英国が欧州連合（E.U.）からの離脱を決めて以来、経済と金融資産の見通しは、離脱が秩序ある形で行われるか否かという二者択一の帰着に結びついている。これは甚大な不確実性の源であり、イングランド銀行（BoE）を中央銀行がこれまで直面した中で最も扱いにくい立場の一つに置いている。
今週のレポートでは、いくつかのハイレベルな疑問に答えようとする。まず、世界的な製造業の景気後退を考慮すると、英経済の減速は平凡なものだったのか。それとも、政治的不確実性の高まりを受けて不当に長引いているのか。後者であるなら、もし「合意なき離脱」が避けられた場合、反発の見込みはどうか。最後に、遅延した投資のためにすでに取り返しのつかないダメージが経済に生じており、E.U.との関係結果にかかわらず長期的な影響を残しているのか、である。
雇用ブーム
英国は現在、第二次世界大戦以来の最良の雇用回復を経験している。過去10年間で420万人の新規雇用が創出され、就業人口比率はほぼ50年ぶりの高水準に達している。注目すべきは、この回復は労働市場の状況が非常に堅調な米国の回復よりもさらに印象的に見える点だ。例えば米国の就業率は60.9％で、わずかに英国を下回るが、危機前のピークから依然としてほぼ4ポイント低い（チャート 1）。ユーロ圏と比べると、英国の労働市場のアウトパフォーマンスは非常に明白である。
この回復にもかかわらず、賃金の上昇はボーア戦争以来で最も鈍い。
雇用の質も優れており、フルタイム雇用の創出はパートタイムを上回り、女性の就業率も急増している。雇用の恩恵は地域や産業に広く行き渡っている。確かに製造業はやや変動が見られるが、イースト・ミッドランド地域を除き、失業率は英国全体で引き続き低下している（チャート 2）。
チャート 1
雇用ブーム
雇用ブーム
雇用ブーム
チャート 2
回復は広範囲に及ぶ
回復は幅広く進んでいる
回復は幅広く進んでいる
この回復にもかかわらず、賃金の上昇はボーア戦争以来で最も鈍い。7月の演説で、イングランド銀行（BoE）のチーフエコノミスト、アンディ・ホールデンは、賃金の失われた10年が主要な英国地域全体にわたる均等な災害であったと正しく指摘した。1950年代から大不況（グレート・リセッション）までの間、英国の実質賃金は年率約2%で成長していた。グレート・リセッション以降、実質賃金は年率-0.4%で停滞している（チャート 3）。1
チャート 3
賃金は最近まで停滞
賃金は最近まで停滞していた
賃金は最近まで停滞していた
これにはいくつかの理由がある。第一に、個人事業主、ゼロアワー契約、派遣労働の伸びが強いことだ。したがって、危機後の期間にフルタイムの割合は上昇しているものの、危機前の高水準には程遠いままである。これは労働市場の流動性を高め、事業遂行コストを下げている。個人事業主やゼロアワー契約労働者の報酬は正規雇用者よりも大幅に低い。明るい点は、この現象が英国特有ではなく、特に欧州で労働市場の硬直性が構造改革によって解きほぐされている中で世界的に起きていることである。
今後の鍵となる問いは、賃金の新たな上昇が持続するかどうかである。循環的な時間軸では、雇用の好調なトレンドが続くなら、英国はかなり強い賃金圧力を経験し始める可能性があると我々は考えている。これには四つの基本的な理由がある:
求人は求職者数を上回り続けている。指標によるが、求人は応募者より20%〜40%多い（チャート 4）。この行き詰まりは、（就業率が世俗的高水準にあるため）より高い就業率やより低い失業率で容易に解消されるものではない。
BoEは英国のNAIRUを4.4%と推定しており、現在の失業率は構造的水準を下回っている。企業調査は依然として、熟練労働の不足が企業が直面する主要な問題の一つであることを示唆している。
英国のフィリップス曲線はここ数年フラット化してきたが、最近賃金成長は上向きに転じ始めている。他国と同様に、英国のフィリップス曲線は折れ線状で、失業ギャップが縮小するにつれて賃金成長の凸性が増す。
職から職への移動率、いわゆるジョブ・トゥ・ジョブ・フローの循環速度が上昇している。これは歴史的に賃金成長にとってプラスである（チャート 5）。これは2012年以降加速している退職率（クイッツ率）にも反映されている。
チャート 4
賃金圧力は高まるはず
賃金上昇圧力は強まる見込みだ
賃金上昇圧力は強まる見込みだ
チャート 5
英国の雇用循環速度は上昇
英国の雇用増加ペースが加速
英国の雇用増加ペースが加速
現時点では、タイトな労働市場から賃金上昇への伝達メカニズムは政治的不確実性によって阻害されており、これは長期的な雇用計画に短期的な影を落とし続けるだろう。例えば、英国が金融センターであるという議論にもかかわらず、銀行・保険業の雇用の減少は根強く続いている（チャート 6）。英国は特に外国為替市場で多くの金融業務を引き付け続けているが、ブレグジット国民投票が行われた2016年には取引量に明確な打撃があった（チャート 7）。一方で製造業は、景況感を再燃させて外国直接投資を呼び戻すまでに時間を要するだろう。
チャート 6
製造業と金融業の雇用における離脱
製造業および金融業の雇用における離職
製造業および金融業の雇用における離職
チャート 7
英国は重要な金融センターである
英国：循環的な減速か、それとも構造的な停滞か？
英国：循環的な減速か、それとも構造的な停滞か？
とはいえ、英国経済は主としてサービスによって牽引されているため、賃金には依然として上方向の圧力がかかることになる。サービス部門の賃金成長は堅調であり、製造業の不況が深刻化して他の部門に波及しない限り、賃金の下への抵抗力は限られており、上向きの方が自然な道筋である。
結論：政治的不確実性の重しがあるにもかかわらず、英国経済は比較的堅調に推移している。
支出の好循環
英国の所得パイは拡大し得るが、自信の欠如が支出を抑制している。チャート 8は英消費者信頼感が米国およびユーロ圏のトレンドから負の乖離を示していることを示す。ブレグジット不確実性の雲が晴れれば、支出が再加速することを示唆するいくつかの相殺要因が働いている。
タイトな労働市場から賃金上昇への伝達メカニズムは政治的不確実性によって阻害されており、これは短期的な影を落とし続ける。
英国の小売売上の大きなドライバーは観光客の到着であり、安いポンドは引き続き来訪者の流入を呼び込む可能性が高い（チャート 9）。
チャート 8
回復にとって鍵となるのは信頼感##br##である
いかなる回復においても、信頼が鍵となる
いかなる回復においても、信頼が鍵となる
チャート 9
安いポンドは外国人買い物客を促す##br##だろう
安いポンドは外国人の買い物を促す
安いポンドは外国人の買い物を促す
英国は多くの世界的な主要ブランドを擁しており、安い通貨から恩恵を受けるだろう。
家計のデレバレッジ（債務削減）プロセスはかなり進んでおり、借入や住宅ローン申請の回復は英住宅価格の下落を緩和している。これは英国の住宅ローン借入コストが利回りとともに急落している事実によって支えられている（チャート 10）。ただし、借入の増加は英国の家計債務対GDPが他の多くの先進経済より高いという事実によって相殺されるだろう。
チャート 10
低金利は住宅を支援するはず
低金利は住宅市場を後押しするはずだ
低金利は住宅市場を後押しするはずだ
チャート 11
コストプッシュ型インフレ
コスト・プッシュ・インフレーション
コスト・プッシュ・インフレーション
インフレ期待は通貨安の影響もあって急上昇している。注目すべきは、ポンドは購買力平価（PPP）ベースのファンダメンタルよりもはるかに大きく下落したことだ。これは輸入インフレを引き起こすだろう（チャート 11）。
結論: 英国経済にとって大きなリスクはスタグフレーションに陥ることだ。BoEの調査は、合意なき離脱の場合の生産に対する損失をGDPの約3%と見積もっているが、これは経済調整の大部分が為替レートを通じて発生する可能性があるため推定値である。合意なき離脱の経済的影響の推定レンジ（表 1）は、おそらく偶然ではないが、20世紀の英国の景気後退のレンジと類似している（チャート 12）。これによりBoEは特に不快な「待機観察」モードに置かれている。例えば、ハードな離脱がポンド下落とインフレ期待の上昇を引き起こした場合、BoEの金融政策委員会がインフレ目標を満たすために利下げを行うのかは明らかでない。
表 1
合意なき離脱の影響に関する幅広い推定##br##
英国：景気の循環的減速か、それとも構造的低迷か？
英国：景気の循環的減速か、それとも構造的低迷か？
チャート 12
過去の英国の景気後退は合意なき影響の指針を提供する##br##
英国：循環的な減速か、それとも構造的な停滞か？
英国：循環的な減速か、それとも構造的な停滞か？
ブレグジット不確実性は既に英国の成長に持続的なダメージを与えている
過去3年間にわたる英国経済成長の主な足かせは、企業信頼感の崩壊とそれに伴う設備投資の縮小であった（チャート 13）。
2016年のブレグジット投票以降、企業の設備投資は過去の類似の英国景気循環の時点に比べて実質的に弱くなっており、BoEによれば累積で26%に達する（チャート 14）。2019年に見られた軟化の一部は、世界経済の成長鈍化や米中貿易戦争に関連する不確実性にも起因するが、英国の資本支出は他の先進経済と比べてはるかに弱い（チャート 15）。
2016年のブレグジット投票以降、企業投資は過去の類似時点に比べて累積で26%弱い。
これは、ブレグジットの「不確実性」だけで英国経済に既に与えられた長期的なダメージを評価する際に重要なポイントである。このダメージを評価する最良の方法は設備投資の視点を通じてであり、その成長は生産性変化と潜在成長に強く相関している（チャート 16）。
チャート 13
悲観的な英国企業は投資を止めた
悲観的な英国企業は投資を停止した
悲観的な英国企業は投資を停止した
チャート 14
歴史と比べた英国の設備投資の大幅なアンダーパフォーマンス ...
英国：景気循環的な減速か、それとも構造的な低迷か？
英国：景気循環的な減速か、それとも構造的な低迷か？
チャート 15
...および##br##世界の同業他社と比べて
...そして世界の同業他社と比較して
...そして世界の同業他社と比較して
チャート 16
ブレグジット不確実性による英国経済への持続的打撃
ブレグジットの不確実性が英国経済に与える持続的な打撃
ブレグジットの不確実性が英国経済に与える持続的な打撃
先月BoEが公表した重要な研究論文（BoE金融政策委員会の現職メンバーであるベン・ブロードベントとシルヴァナ・テネイロ共著）は、ブレグジット不確実性、設備投資、英国の生産性の連関を論じている。2 著者らは、ブレグジット国民投票の結果の経済効果は、英国の貿易可能部門の生産性成長が持続的に低下すると予想されるという反応として分類できると結論づけた。その枠組みでは、「生産性の低下が予想される」という“ニュース”（すなわちブレグジット投票結果）が公表された後、次のような連鎖が発生することになる：
チャート 17
資源のミスアロケーション
資源の誤配分
資源の誤配分
非貿易財の相対価格が貿易財に対して即時かつ恒久的に下落する、すなわち実質為替レートの低下。
相対価格が高いため資源が貿易財部門にシフトし、産出が増加し輸出が上昇する。
しかしブレグジット投票で予告されたように、貿易財部門の生産性成長が低下し、資源は生産性の高い非貿易財部門へ再びシフトする。
金融市場が英国の生産性が相対的に緩やかに推移すると織り込むため、英国の金利は世界に対して低下する。
企業の設備投資の成長は鈍化するが、全体の雇用成長は
耐性を保つ。
これはまさに2016年のブレグジット投票以降の英国経済の進展の仕方である：
BoEのポンドの通商加重インデックスは名目および実質の両面で下落している。
英実質GDPに占める輸出比率は27%から30%に上昇し、実質GDPに占める投資比率は10%から9%に低下した（チャート 17、上段）。
非貿易であるサービスの年次雇用成長は2.1%から2018年末にゼロまで低下したが、その後回復し始めている。貿易財である製造業の雇用成長は、ブレグジット投票の1年以内に0.5%から2.7%へ増加したが、2018年には0%へ再び鈍化し、こちらも上昇し始めている（チャート 17、第3パネル）。
生産性成長は1.9%からゼロへ低下しており、低失業率の時期に安定した労働需要により賃金成長は加速している（チャート 17、下段）。
産業別に見ると、実現した生産性成長の最悪の伸びは金属製品や金融サービスのような貿易可能産業で発生しており、最高の生産性成長は専門サービスや小売のような非貿易産業で見られる（チャート 18）。3
チャート 18
業種別最新の英国生産性成長率
英国：循環的な減速か、それとも構造的な低迷か？
英国：循環的な減速か、それとも構造的な低迷か？
総括すると、BoEの研究論文の分析枠組みによれば、ブレグジット国民投票の結果は、ポンドの暴落によって示されたシグナルとして、英国資源の配分が生産性の高い非貿易産業から生産性の低い貿易産業へ誤って移転されることを本質的に生み出したと解釈できる。もしこれが正しければ、我々は次の現象も観察するはずである：
チャート 19
ブレグジット不確実性のインフレ的結果
ブレグジットの不確実性によるインフレへの影響
ブレグジットの不確実性によるインフレへの影響
サービスや賃金のようなより国内志向の指標でのはるかに高いインフレ率。
賃金の加速と生産性の停滞のギャップの結果としての単位労働費用のより速い上昇。
構造的に高いインフレ期待。
他の先進国に比べて英国で低い実質金利。
為替レートの長期的な弱さ。
これらはすべて英国で現実化している（チャート 19）：
サービスCPIのインフレ率は現在2.2%で、全体のCPIインフレの1.7%を上回っている。
単位労働費用の成長は、ブレグジット国民投票前のマイナスから、2016年末以降は2%〜3%の範囲に加速している。
実質10年ギルト利回り（10年のCPIスワップ率でデフレート）は現在-3.1%であり、これに対して米国の10年実質利回りは0%である。
通商加重の英ポンドはブレグジット国民投票後の安値近辺に留まっている。
ブレグジット不確実性が構造的により弱く、よりインフレ的な英国経済をもたらしたことは明らかであり、合意なき離脱が回避されたとしても迅速に逆転する結果ではない可能性がある。これはBoEの将来の金融政策決定とポンドおよび英ギルトへの投資見通しに重要な意味を持つ。
結論: 英国が実際にE.U.を離脱する前であっても、ブレグジットは高まった不確実性、企業設備投資支出の深刻な弱さ、そして低迷する生産性を通じて英国経済に持続的な痕跡を残している。結果として、トレンド成長が低く、構造的に弱い為替レートと相対的に高い国内インフレを抱える経済となっている。
政治的不確実性が支配的
チャート 20
国民は合意なき離脱に反対
英国：循環的な減速か、それとも構造的な低迷か？
英国：循環的な減速か、それとも構造的な低迷か？
このレポートで扱ったような循環的・構造的な英国経済の状況を考慮しても、短期の見通しは依然としてブレグジットの結果に完全に依存している。
ブレグジットの現状は、議会停止に対する政府に対する最高裁の訴訟や、首相ボリス・ジョンソンが議会の命令に従って離脱期限の延長を求めることを拒否したことにより、かつてないほど不確実になっている。疑いの余地がないのは、議会が無秩序な合意なき離脱に反対しているという点だ。最良の世論調査は国民も合意なき離脱に反対していることを示している（チャート 20）。
議員たちは9月にボリス・ジョンソンの交渉戦略を明確に拒否した — 彼らは合意なき離脱を禁止し、早期総選挙の実施にも2回にわたり反対票を投じた（チャート 21）。ジョンソンは連立による議会の過半数を失い、それでも議会が再開するまでは新たな選挙に踏み切れず、動きが取れない状況に置かれている。
結果にかかわらず起こりそうなのは、財政支出の大幅な増加である、
英国は17世紀のスチュアート王朝ではない — 議会は憲法上の最高の政治機関であり、その決定は永続的に無視されたり従わなかったりすることはできない。議会が再開すれば、おそらく10月14日頃、離脱期限を延長する手立てを講じることが可能だ。E.U.は離脱を遅らせるか取りやめることが自らの利益になるため、延長を認める可能性が高い。結果として総選挙が行われるだろう。
チャート 21
ボリス・ジョンソンの交渉戦略は失敗した
英国：循環的な減速か、それとも構造的な停滞か？
英国：循環的な減速か、それとも構造的な停滞か？
チャート 22
ハング・パーラメントが最もあり得る結果
ハング・パーラメントが最も可能性の高い結果だ
ハング・パーラメントが最も可能性の高い結果だ
選挙の世論調査は保守党の躍進、自由民主党が労働党を上回る状況、そしてブレグジット党が優勢を保つことを示している（チャート 22）。これらの世論を議席に翻訳するのは簡単ではない。小選挙区制（先頭打者勝利方式）では、小規模政党がもっとも人気のある党から重要な票を奪うことで、2位や3位だった党が議席を取る可能性があるからだ。
重要なのは、ブレグジット党は単一課題政党であり、ジョンソンの下の保守党は現在同じ課題を独占しているということだ。この状況が続けば、自由民主党は労働党の票を分裂させる脅威を保守党の票を分裂させるブレグジット党より大きく与える可能性がある。その結果、保守党が過半数を獲得することは依然として可能性として残るが、325議席以上が必要であり、問題児議員の追放やスコットランドでのリーダーシップ喪失により議席は288に減少しているため、可能性は低い。ハング・パーラメントがよりあり得る結果である。
ハング・パーラメントは優柔不断と不確実性を長引かせるだろう — しかしまた合意なき離脱に対しては結束して反対する可能性も高い。野党連合政権であれば合意なき離脱を阻止するだろう。単一党の保守党過半数であっても必ずしも悲惨な結果ではない。なぜならそれはジョンソンのE.U.に対する交渉力を高め、E.U.が離脱協定を通すための譲歩をする可能性を高め、結果として合意に基づく秩序ある離脱をもたらす可能性があるからだ（具体的には、バックストップの北アイルランドに関する制限、あるいは同様のサンセット条項や離脱メカニズム）。そのような合意はジョンソンにとって利益が大きく、彼が政権に復帰した瞬間から不況を引き起こすことを避けたいだろう。これらの結果はいずれも、離脱合意か、あるいは議会が新たな国民投票を模索する新章へと向かうことを示唆している。
チャート 23
財政支出の増加を予想せよ
財政支出の増加が見込まれる
財政支出の増加が見込まれる
市場にとって最悪の結果は、アイルランド問題で合意できず離脱協定を通せない弱い保守党の連立過半数であり、これはテリーザ・メイ時代と同様に麻痺につながる可能性がある。その場合、首相はあらゆる手段で離脱を実行しようとするため、再び合意なき離脱が現実的なリスクとなる。我々は主観的に合意なき離脱のリスクを約30%と見積もっているが、これは9月に議会がその結果に対して強い反対多数を示したことにより現在は低下しており、変化をもたらすのは総選挙だけである。
ブレグジットの結末が分からないまま英国の将来の政治情勢を予測することは無益である。結果にかかわらず起こりそうなのは財政支出の大幅な増加であり、これはグレート・リセッション後の「緊縮財政」からの反転を意味する。この傾向は既にジョンソンが今秋の保守党党大会で寛大な社会支出パッケージを提示しようとしていることから明らかである — もしそれが新たな選挙で支持されれば、保守党の財政政策の転換を意味する（チャート 23）。
より多くの財政支出は、無秩序な離脱の悪影響に対抗するため、あるいはE.U.離脱が英国の問題の万能薬ではないことが明らかになった場合に中産階級を宥めるため、あるいは政権交代時に野党が掲げる議題を実行するために必要となるだろう。
合意なき離脱が発生した場合、英国は混乱した経済的余波に直面するだけでなく、北アイルランドへの悪影響やスコットランド独立運動の再燃の可能性により三王国間の憲法的争いが再燃するだろうし、スコットランド独立の動きも再び活発化する可能性がある。
結論: 英国は独裁国ではなく、首相は議会の意思に従うことを拒むことはできない。議会は合意なき離脱を遅延させることを明確に投票しており、今後もそうするだろう。無秩序な離脱は、最終的に選挙で保守党が政権に返り咲く可能性があるため依然リスクとして残る。しかしその場合、E.U.は議会が離脱法案を可決できるよう譲歩を提供する可能性が高い。合意なき離脱の確率は30%を超えない。構造的な結論としては、結果にかかわらず財政支出は増加するだろう。
投資に関する結論
1992年のポンド暴落をめぐるエピソードは今日にとって重要な教訓を含んでいる。4 重要なのは、ポンドの調整の多くは急速に起きたが、今日と異なる点は欧州為替相場メカニズム（ERM）からの離脱は予期せぬ出来事だったのに対し、ブレグジットは予見されていたことである。外国為替市場は非常に流動的であり、期待に素早く反応する。ピークから谷まで、ケーブルは既に約30%下落しており、下落の大部分は既に起きていることを示唆している。
チャート 24
ギルトに対するブレグジットの二極的帰結
ギルツにとってのブレグジットの二者択一的結果
ギルツにとってのブレグジットの二者択一的結果
英通貨は変動相場制であり、固定相場制の時期に比べて「隠れた罪」は少ない。それでもポンドの公正価値は構造的に弱まっている。我々のバイアスは、ハードなブレグジットであればポンドは容易に1.10〜1.15ゾーンまで下落し得るというものだ。この動きの一部はアンダーシュート（行き過ぎ）となるだろう。ソフトなブレグジット（または離脱が起きない場合）には、ポンドは実質実効為替レートの歴史的範囲の中点に収束し、15%〜20%高となるか、概ね1.50付近に落ち着くだろう。リスク・リワードの観点から見ると魅力的に映る。
英ギルトの利回りの方向性もブレグジットの帰結に依存しており、英OISカーブ（オーバーナイト・インデックス・スワップ）には政策金利の変化が織り込まれていない（チャート 24）。
「円滑な」ブレグジットはBoEが高まった英国のインフレ期待と戦うことに再び焦点を戻すことを可能にするだろう。それは将来のBoE利上げを市場が織り込むことで、ギルト利回りの上昇とイールドカーブのフラット化、そして長期のインフレ期待の低下をもたらす可能性が高い。ポンド上昇もインフレ期待を抑えるだろう。このシナリオではギルトや英国のインフレ連動債は良いパフォーマンスを示さないだろう。
一方、合意なき離脱は、企業と消費者の信頼感への打撃を相殺するためにBoEが利下げを行うことを促すだろう。これはポンド安にもかかわらずインフレ期待が高止まりするかさらに上昇する場合でも起こり得る。そうなればギルト利回りは低下し、ギルトカーブはスティープ化するだろう。この結果に備える最善のポジションは、ギルトのオーバーウェイトとインフレ連動債のロングである。
前述した財政緩和のシナリオもギルトカーブの形状に影響し、ギルトカーブはより大きな財政赤字と将来の高インフレを織り込むことでややベア寄りのスティープ化を示すだろう、他条件が同じならば。
Robert Robis, CFA チーフ・フィクスト・インカム・ストラテジスト rrobis@bcaresearch.com
Chester Ntonifor, 外国為替ストラテジスト chestern@bcaresearch.com
Matt Gertken, 地政学ストラテジスト mattg@bcaresearch.com
Ray Park, CFA, リサーチ・アナリスト ray@bcaresearch.com
脚注
1 Andrew G Haldane, “Climbing the Jobs Ladder,” イングランド銀行（Bank of England）, 2019年7月23日
2 Bank of England External MPC Unit Discussion Paper No. 51, “The Brexit vote, productivity growth and macroeconomic adjustments in the United Kingdom”, 2019年8月
3 ロンドンが主要な世界的金融センターとしての役割を果たしているため、英国の金融サービス産業はその産出のかなりの割合が非英国ユーザー向けに「トレード」されるという点で「貿易可能」部門である。
4 Mathias Zurlinden, “The Vulnerability of Pegged Exchange Rates: The British Pound in the ERM,” Economic Research, Vol. 75, No. 5 (September/October 1993).
トレード＆予測
予測サマリー
コア・ポートフォリオ
タクティカル・トレード
リミット注文
クローズ済みトレード
Highlights Global bond yields have closely tracked the trajectory of global growth. While the global economy remains fragile, some positive signs are emerging: Our global leading economic indicator has moved off its lows; global financial conditions have eased significantly; U.S. household spending remains resilient; and China is set to further increase stimulus. Neither a severe escalation of the trade war nor a hard Brexit is likely. A simple comparison between current dividend yields and bond yields implies that global equities would need to fall by an outsized amount over the next decade for bonds to outperform stocks. As global growth stabilizes and then begins to recover over the coming months, bond yields will rebound from depressed levels. Investors should overweight stocks versus bonds for now, and look to upgrade EM and European equities later this year. Feature Global Growth Driving Bond Yields Chart 1Global Bond Yields: How Low Will They Go? Global bond yields rose sharply yesterday on word that U.S. and Chinese trade negotiators will meet in October. The announcement by China’s State Council of additional stimulus measures and better-than-expected data on the health of the U.S. service sector also drove the bond sell-off. The jump in yields follows a period of almost unrelenting declines. After hitting a high of 3.25% last October, the U.S. 10-year yield fell to 1.43% this Tuesday, just shy of its all-time low of 1.34% reached on July 5, 2016. The 30-year Treasury yield broke below 2% for the first time in history on August 15, falling to as low as 1.91% this week. It now stands at 2.07%. In Japan and across much of Europe, bond yields remain firmly in negative territory (Chart 1). The large movements in bond yields can be attributed to both the state of the global economy as well as to changes in how central banks are reacting to economic uncertainty. Just as stronger global growth pushed yields higher between mid-2016 and early-2018, the deceleration in growth since then has pulled yields lower. Chart 2 shows that there has been a close correlation between changes in the U.S. 10-year yield and the ISM manufacturing index. The release on Tuesday of a weaker-than-expected ISM manufacturing print for August was enough to push the 10-year yield down by seven basis points within a matter of minutes. Chart 2The Deceleration In Growth Has Pulled Yields Down The forward-looking new orders component of the ISM manufacturing index sunk to a seven-year low. The export orders component fell to the lowest level since 2009. Export volumes track ISM export orders quite closely (Chart 3). Not surprisingly, the ISM press release noted that trade remains “the most significant issue” for U.S. manufacturers. Chart 3Export Volumes Track The ISM Export Component The only redeeming feature in the report was that the customers’ inventories index dropped a notch from 45.7 in July to 44.9 in August. A reading below 50 for this subindex indicates that manufacturers believe that their customers are holding too few inventories, which is positive for future production. Global Manufacturing PMI Not Looking Much Brighter The Markit global manufacturing PMI remained below 50 for the fourth month in a row in August. While the global PMI did edge up slightly from July’s reading, this was largely due to a modest rebound in the Chinese PMI, which rose from 49.9 to 50.4. The improvement in the China Markit-Caixin PMI stands in contrast to the further deterioration observed in the “official” National Bureau of Statistics PMI. The former is more heavily geared towards private-sector exporting companies, and hence may have been influenced by the front-loading of exports ahead of the planned tariff increase on Chinese exports to the United States. Some Positive Signs Chart 4Global LEI Has Moved Off Its Lows In light of the disappointing manufacturing data, it is too early to call a bottom in the global industrial cycle. Nevertheless, there are some hopeful signs. Our Global Leading Economic Indicator (LEI) has moved off its lows (Chart 4). It usually leads the PMIs by a few months. Sterling will probably be the best performing currency in the G7 over the next five years. Despite ongoing weakness in the manufacturing sector, household spending has held up in most economies. In the U.S., the nonmanufacturing ISM index jumped to 56.4 in August from 53.7 in July. Real personal consumption is still on track to grow by 2.8% in Q3 according to the Atlanta Fed (Chart 5). The euro area services PMIs have also been resilient (Chart 6). In Germany, where the manufacturing PMI stood at 43.5 in August, the services PMI rose to 54.8. Chart 5Inventories And Net Exports Have Subtracted From U.S. Growth In Q2 And Q3 Chart 6AThe Service Sector Has Softened Much Less Than Manufacturing (I) Chart 6BThe Service Sector Has Softened Much Less Than Manufacturing (II) Global financial conditions have eased significantly, mainly thanks to the steep decline in bond yields. The current level of financial conditions implies that global growth could rebound swiftly (Chart 7). The Chinese government is also likely to step up fiscal/credit stimulus over the coming months in an effort to shore up growth. In a boldly worded statement released on Wednesday, the Chinese State Council promised to further increase bond issuance to finance infrastructure projects, while cutting interest rates and reserve requirements. A stronger Chinese economy should benefit global growth (Chart 8). Chart 7Easier Financial Conditions Will Benefit Global Growth Chart 8Stronger Chinese Growth Should Benefit The Global Economy The Trade War: Moving Towards A Détente? The announcement that the U.S. and China will resume trade negotiations on October 5th is a step in the right direction. As we noted last week, both parties have an incentive to de-escalate the trade conflict. President Trump wants to prop up the stock market and the economy in order to improve his re-election prospects. China also wants to bolster growth.1 Chart 9Would China Really Be Better Off Negotiating With A Democrat As President? As difficult as it has been for China to deal with Donald Trump, trying to secure a trade deal with him after he has been re-elected would be even more challenging. This would be especially the case if Trump thought that the Chinese had tried to sabotage his re-election bid. Even if Trump were to lose the election, it is not clear that China would end up with someone more palatable to deal with on trade matters. Does the Chinese government really want to negotiate over labor standards and human rights with President Warren, who betting markets now think has a better chance of becoming the Democratic nominee than Joe Biden (Chart 9)? While Republicans in Congress would be able to restrain a Democratic president on domestic issues, the president would still enjoy free rein over trade policy. Brexit Uncertainty Adding To Investor Angst Two weeks before the Brexit vote on June 23, 2016, I wrote that “Just like my gut told me last August that Trump would do much better at the polls than almost anyone thought possible, I increasingly feel that come June 24th, the EU may find itself with one less member.”2 Chart 10Brexit Opposition Has Been Growing Soon after the shocking verdict, we argued that a hard Brexit would prove to be politically infeasible, meaning that the U.K. would either end up holding another referendum or be forced to negotiate some sort of customs union with the EU. Our view that a hard Brexit will not happen has not changed. Chart 10 shows that opposition to Brexit has only grown since that fateful day. Boris Johnson does not have enough votes in Westminster to force a hard Brexit. Another election would not change this outcome, given that it would almost certainly produce a hung parliament. In any case, it is not clear that Johnson actually wants a hard Brexit. The Times of London recently reported that the government’s own contingency plans for a hard Brexit, weirdly code-named “Operation Yellowhammer,” predicted a crippling logjam at British ports leading to shortages of fuel, food and medicine.3 Boris Johnson is all hat and no cattle. He will be forced to make a deal with the EU. Buy the pound on any dips. Sterling will probably be the best performing currency in the G7 over the next five years. Central Banks: Cut First, Ask Questions Later Chart 11Inflation Expectations Are Low Across The Globe Despite a few glimmers of good news, central banks are in no mood to take any chances. St. Louis Fed President James Bullard said it bluntly last week: “Our job is to get the yield curve uninverted.”4 If history is any guide, global growth will stabilize and begin to recover over the coming months. Inflation expectations are below target in most economies (Chart 11). Central banks know full well that if the current slowdown morphs into a full-blown recession, they will be out of monetary ammunition very quickly. In such a setting, it does not make sense to hold your punches. Much better to generate as much inflation as possible, and as soon as possible, so that real rates can be brought deeper into negative territory if economic circumstances later warrant it. What If The Medicine Works? The risk of easing monetary policy too much is that economies will eventually overheat, producing more inflation than is desirable. It is easy to forget that the aggregate unemployment rate in the G7 is now below its 2007 lows (Chart 12). True, inflation has yet to take off, but this may simply be because inflation is a lagging indicator (Chart 13). Chart 12Unemployment Rates Keep Trending Lower Chart 13Inflation Is A Lagging Indicator For all the talk about how the Phillips curve is dead, the empirical evidence suggests it is very much alive and well (Chart 14). Ironically, this means that lower interest rates today could set the stage for much higher rates in the future if hyperstimulative monetary policies ultimately generate a bout of inflation. Chart 14The Phillips Curve Is Alive And Well Chart 15The Dollar Is A Countercyclical Currency Investment Conclusions Like most economic forecasters, central banks tend to extrapolate recent trends too far into the future. Global growth has been weakening since early 2018 so it seems reasonable to assume that this trend will persist into next year. However, as we have documented, global industrial cycles tend to last about three years – 18 months of rising growth followed by 18 months of falling growth.5 If history is any guide, global growth will stabilize and begin to recover over the coming months. Should that occur, we will enter an environment where the lagged effects of easier monetary policy are hitting the economy just when the manufacturing cycle is taking a turn for the better. Stocks are likely to fare well in such a setting, while long-term bond yields will move higher. As a countercyclical currency, the dollar will also start to weaken anew (Chart 15). Granted, an intensification of the trade war or some other major adverse shock would upset this rosy forecast. Nevertheless, current market pricing offers a fairly large cushion against downside risks. Thanks to the drop in bond yields, the equity risk premium is quite high globally (Chart 16). Even if one were to assume that nominal dividend payments remain unchanged for the next ten years, the S&P 500 would still need to fall by more than 20% in real terms over the next decade for bonds to outperform stocks (Chart 17). Euro area stocks would need to drop by more than 42%. U.K. stocks would need to plummet by at least 60%! Chart 16AEquity Risk Premia Remain Quite High (I) Chart 16BEquity Risk Premia Remain Quite High (II) Chart 17AStocks Need To Fall By A Considerable Amount For Bonds To Outperform Over A 10-Year Horizon (I) Chart 17BStocks Need To Fall By A Considerable Amount For Bonds To Outperform Over A 10-Year Horizon (II) Investors should remain overweight stocks versus bonds over the next 12 months. We intend to upgrade EM and European equities once we see a bit more evidence that global growth has troughed. Peter Berezin, Chief Global Strategist Global Investment Strategy peterb@bcaresearch.com Footnotes 1Please see Global Investment Strategy Weekly Report, “A Psychological Recession?” dated August 30, 2019. 2Please see Global Investment Strategy Weekly Report, “Worry About Brexit, Not Payrolls,” dated June 10, 2016. 3Rosamund Urwin and Caroline Wheeler, “Operation Chaos: Whitehall’s Secret No-Deal Brexit Preparations Leaked,” The Times, August 18, 2019. 4“Fed’s Bullard Sees ‘Robust Debate’ Over Half-Point Cut,” Bloomberg, August 23, 2019. 5Please see Global Investment Strategy Weekly Report, “Three Cycles,” dated July 26, 2019. Strategy & Market Trends MacroQuant Model And Current Subjective Scores Strategic Recommendations Closed Trades
Highlights An inevitable and imminent U.K. general election will be one of the most unpredictable and ‘non-linear’ elections ever. This non-linearity makes it difficult to take a high-conviction view on sterling’s direction because a tiny vote swing in one direction or another could be the difference between a no-deal Brexit – and the pound below parity against the euro – or a solid coalition for remain – and the pound at €1.30. Instead, a good strategy is to buy sterling volatility on the announcement of the election. The easiest way to implement this is simultaneously to buy at-the-money call and put options (versus either the euro or dollar). In a soft Brexit or remain, the U.K. equity sectors most likely to outperform the overall market are real estate and general retailers. In a hard Brexit, a U.K. sector likely to outperform the overall market is clothing and accessories. Feature Chart of the WeekSterling Volatility Could Go Up A Lot Lyndon B Johnson famously said that that the first rule of politics is to learn to count. A government is a lame duck if it does not have a majority of legislators to drive and set its policy. Fifty years on, LBJ’s namesake is learning this first rule of politics. Boris Johnson is running a minority U.K. government. The irony is that this makes it impossible for a pro-Brexit Johnson to pass legislation for the Brexit process itself! Ending the free movement of EU citizens was supposedly one of the biggest ambitions of the Brexit vote. But astonishingly, even after a no-deal Brexit, free movement would not end – because EU law continues to apply until its legal foundation is repealed. The U.K. government wanted to end free movement through a new law, the immigration bill, but the proposed legislation, along with several other key new laws, cannot make it through parliament. The Most Non-Linear Election Looms The only way out of the impasse is to change the parliamentary arithmetic via a snap general election. The trouble is that the outcome of such an election is near impossible to predict. This is because the U.K.’s first past the post electoral system is designed for a head-to-head between two dominant parties. But right now, there are four parties in play – from left to right: Labour, Liberal Democrat, Conservative, and Brexit. While in Scotland, the SNP is resurgent. Making the next U.K. general election one of the most unpredictable and ‘non-linear’ elections ever. The outcome of a snap general election is near impossible to predict. For example, in the recent Brecon and Radnorshire by-election, the 10 percent of votes that went to the Brexit party syphoned just enough ‘leave’ votes from the Conservatives to hand the seat to the Lib Dems. Repeated nationwide, such a swing could inflict mortal damage to the Conservatives. On the other hand, the staunchly pro-remain Lib Dems could also syphon crucial votes from a Labour party that is prevaricating on its Brexit policy. Understanding this, Johnson isn’t using the next election to resolve Brexit; quite the opposite, he is using Brexit to resolve the next election – in his favour – with the ancient strategy of ‘divide and rule’. Unite ‘leave’ by tacking to the hard right, and divide ‘remain’ between Labour, Lib Dem, Green, SNP, and Plaid Cymru. However, it is a very risky strategy. A small but critical rump of Brexit party voters are diehard anti-establishment rather than pure leave votes; furthermore, remainers almost certainly will vote tactically as they did in 2017 when they obliterated the Conservatives’ overall majority. For U.K. investments, the inevitable imminent election dominates all other considerations, as its outcome will determine the U.K.’s ultimate trading relationship with the EU and rest of the world, as well as establish the U.K’s overarching economic policy and strategy. But to reiterate, the outcome is highly non-linear. A tiny vote swing in one direction or another could be the difference between a no-deal Brexit – and the pound below parity against the euro – or a solid coalition for remain – and the pound at €1.30, as sterling’s ‘Brexit discount’ is unwound (Chart I-2 and Chart I-3). Chart I-2Sterling's Brexit Discount Is 15 Percent, Based On Real Interest Rate Differentials... Chart I-3...And Expected Interest Rate ##br##Differentials The non-linearity makes it difficult to take a high-conviction view on sterling’s direction. Instead, as soon as an election is announced, a good strategy is to buy sterling volatility. Although it has risen recently, sterling volatility is only in the foothills relative to the heights of 2016, meaning plenty of upside (Chart I-1). The easiest way to implement this is simultaneously to buy at-the-money call and put options (versus either the euro or dollar). Brexit Investments A common question we get is what are the most Brexit-impacted investments, in both directions? As mentioned, the most obvious is sterling. Relative to the established relationship with interest rate differentials prior to the Brexit vote in 2016, the pound now carries a Brexit discount of around 15 percent. For U.K. investments, the inevitable imminent election dominates all other considerations. Related to this, the FTSE100 has outperformed the Eurostoxx600. This is exactly as theory would suggest. The FTSE100 and Eurostoxx600 are just a collection of global multi-currency earning companies quoted in pounds and euros respectively. So when sterling weakens, the multi-currency earnings increase more in FTSE100 index terms than in Eurostoxx600 index terms, resulting in FTSE100 outperformance (Chart I-4). Chart I-4The FTSE100 Outperforms When Sterling Weakens Turning to U.K. equity sectors, those most likely to outperform the overall market in a soft Brexit are real estate and general retailers (Chart I-5 and Chart I-6). Chart I-5U.K. Real Estate Outperforms In A Soft Brexit Chart I-6U.K. General Retailers Outperform In A Soft Brexit While a sector likely to outperform the overall market in a hard Brexit is clothing and accessories (Chart I-7). Chart I-7U.K. Clothing And Accessories Could Outperform In A Hard Brexit Four Disruptors Revisited The final section this week revisits the wider context for Brexit and other recent examples of populism. Specifically, they are backlashes to four structural disruptors to economies and financial markets. Disruptor 1: Protectionism. Since the Great Recession, an extremely polarised distribution of economic growth has left many people’s standard of living stagnant – despite seemingly decent headline economic growth and job creation (Chart I-8). Chart I-8Disruptor 1: Income Inequality Leads To Protectionism Looking to find a scapegoat, economic nationalism and protectionism have resonated very strongly with voters in several major economies: the U.S., U.K., Italy, and Brazil. Other voters could follow in the same vein. But history teaches us that protectionism ends up hurting many more people than it helps. Disruptor 2: Technology. The bigger danger is that the malaise is being misdiagnosed. Many middle-income job losses are not due to globalization, but due to technology. A polarised distribution of economic growth has left many people’s standard of living stagnant. Specifically, Artificial Intelligence (AI) is replacing secure middle-income jobs and displacing workers into insecure low-income manual jobs – like bartending and waitressing – which AI cannot (yet) replace (Table I-1). And AI’s impact on middle-income jobs is only in its infancy.1 The worry is that by misdiagnosing the illness as globalization and wrongly responding with protectionism, the illness will get worse, rather than improve. Table I-1Disruptor 2: Technology Disruptor 3: Debt super-cycles have reached exhaustion. Protectionism carries a further danger. Just like developed economies did a decade ago, major emerging market economies are now coming to the end of structural credit booms and need to wean themselves off their credit addictions (Chart I-9). At this point of vulnerability, aggressive protectionism risks tipping these emerging economies into a sharp slowdown. Chart I-9Disruptor 3: Debt Super-Cycles Have Reached Exhaustion Disruptor 4: Financial markets are richly valued. Disruptors one, two and three come at a time when equities are valued to generate feeble total nominal returns over the next decade (Chart I-10). Extremely compressed risk premiums are justified so long as bond yields remain ultra-low. Otherwise, the rich valuations will come under pressure. Chart I-10Disruptor 4: Financial Markets Are Richly Valued The long-term investment message is crystal clear. With the four disruptors in play, we strongly advise long-term investors not to follow passive (equity) index-tracking strategies. Instead, we advise long-term investors to follow bespoke structural investment themes as shown in our structural recommendations section. Please note that owing to my travelling there is no fractal trading system this week. Normal service will resume next week. Dhaval Joshi, Chief European Investment Strategist dhaval@bcaresearch.com Footnotes 1 Please see the European Investment Strategy Special Report ‘The Superstar Economy: Part 2’ January 19, 2017 available at eis.bcaresearch.com Cyclical Recommendations Structural Recommendations Closed Fractal Trades Trades Closed Trades Asset Performance Currency & Bond Equity Sector Country Equity Indicators Bond Yields Chart II-1Indicators To Watch - Bond Yields Chart II-2Indicators To Watch - Bond Yields Chart II-3Indicators To Watch - Bond Yields Chart II-4Indicators To Watch - Bond Yields Interest Rate Chart II-5Indicators To Watch - Interest Rate Expectations Chart II-6Indicators To Watch - Interest Rate Expectations Chart II-7Indicators To Watch - Interest Rate Expectations Chart II-8Indicators To Watch - Interest Rate Expectations
Highlights So What? Prime Minister Boris Johnson’s threat to take the U.K. out of the EU without a withdrawal deal in place is a substantial 21% risk. Why? The odds of a no-deal exit could range from today’s 21% to around 30%, depending on whether Johnson manages to obtain some concessions from the EU in forthcoming negotiations. It is far too early to go bottom-feeding for the pound sterling, as Brexit risks are asymmetrical. We maintain our tactically cautious positioning, despite some cyclical improvements, due to elevated geopolitical risks in the United States, East Asia, and the Middle East. Feature Thank you Mr. Speaker, and of course I should welcome the prime minister to his place … the last prime minister of the United Kingdom. – Ian Blackford, head of the Scottish National Party in Westminster, July 25, 2019 Chart 1No-Deal Brexit Would Come At A Very Bad Time The Federal Reserve cut interest rates for the first time since the global financial crisis in 2008 on July 31. The Fed suggested that the door is open for future cuts, though Chairman Jerome Powell signaled that the cut should not be seen as the launch of a “lengthy rate cutting cycle” but rather as a “mid-cycle adjustment” comparable to cuts in 1995 and 1998. President Donald Trump responded by declaring a new 10% tariff on $300 billion worth of imports from China! He resumed criticizing Powell for insufficient dovishness – and Trump could in fact fire Powell, though the decision would be contested at the Supreme Court. The Fed’s move shows that Trump’s direct handle on interest rates comes from his ability to control trade policy and hence affect the “the external sector.” The trade war with China has exacerbated a global manufacturing slowdown that is keeping global growth and U.S. inflation weak enough to justify additional rate cuts with each future deterioration (Chart 1). Improvements in global monetary and fiscal policy suggest that the U.S. and global economic expansion will be extended to 2021 or beyond, which is positive for equities relative to government bonds or cash, but we remain defensively positioned in the near-term due to a range of geopolitical risks, highlighted by the new tariffs. The unconvincing U.S.-China tariff ceasefire agreed at the Osaka G20 has fallen apart as we expected; the period of “fire and fury” between the U.S. and Iran continues; and the U.S. is entering what we expect to be a period of socio-political instability in the lead up to the momentous 2020 presidential election. Moreover the risk of a “no deal” Brexit, in which the U.K. exits the European Union and reverts to basic World Trade Organization tariff levels, is rising and will create acute uncertainty over the next three months despite the world’s easy monetary policy settings (Charts 2A & 2B). In June we upgraded our odds of a no-deal Brexit to 21%, up from 7% this spring. While not our base case, the probability is too high for comfort and the critical timing for the rest of Europe warns against taking on additional risk. The risk of a “no deal” Brexit ... is rising and will create acute uncertainty. Chart 2AUncertainty And Sentiment Getting Worse ... Chart 2B... Despite Easy Monetary Policy BoJo’s Gambit Boris Johnson – aka “BoJo” – former mayor of London and foreign secretary, cemented his position as the U.K.’s 77th prime minister on July 24. He immediately launched a gambit to renegotiate the U.K.’s withdrawal. He is threatening not to pay the “divorce bill” (the U.K.’s outstanding budget contributions for the 2014-20 budget period and other liabilities in subsequent decades) of 39 billion pounds. He insists that the Irish backstop (which would keep Northern Ireland or the U.K. in the EU customs union to prevent a hard border between the two Irelands) must be abandoned. He has stacked his cabinet with pro-Brexit hardliners who share his “do or die” stance that Brexit must occur on October 31 regardless of whether an agreement for an orderly exit is in place. These developments were anticipated – hence the decline in our GeoRisk indicator – but the pound sterling is falling now that the confrontation is truly getting under way (Chart 3). Parliament is adjourned in August, so Johnson’s hardline negotiating tactics will get full play in the media cycle until early September, when the real showdown begins. Crunch time will likely run up to the eleventh hour, with Halloween marking an ominous deadline. There is plenty of room for the pound to fall further throughout this period, according to our European Investment Strategy’s handy measure (Chart 4), because the success of Boris’s gambit depends entirely upon creating a credible threat of crashing out of the EU in order to wring concessions that could conceivably pass through the British parliament. Chart 3Our Market-Based Indicator Suggests Still Some Complacency On Brexit Risks Chart 4GBP-EUR Still Has Room To Fall Under BoJo's Gambit Geopolitically, the United Kingdom is not prohibited from exiting the EU without a deal. Though the empire is a thing of the past, the U.K. remains a major world power. It has Europe’s second-largest economy, nuclear weapons, a blue-water navy, a leading voice in global political institutions, and is a close ally of the United States. It mints its own coin. It is a sovereign entity that can survive on its own just as Japan can survive on its own. This geopolitical foundation always supported our view that there was a 50% chance of the referendum passing in 2016, and today it supports the view that fears over a no-deal Brexit are not misplaced. Investors should therefore not confuse Johnson’s bluster with that of Alexis Tsipras in 2015. A British government dead-set on delivering this outcome – given the popular mandate from the 2016 referendum and the government’s constitutional handling of foreign affairs as opposed to parliament – can probably achieve it. However, the probability of a no-deal Brexit may become overstated in the next two-to-three months. Economically and politically, a no-deal exit is extremely difficult to follow through on – hence our 21% probability. Estimates of the negative economic impact range from a 2% reduction in GDP growth to an 11% reduction (Table 1). The 8% drop cited by Scottish National Party leader Ian Blackford in his denunciation of Prime Minister Johnson’s strategy is probably exaggerated. The U.K.’s recorded twentieth-century recessions range from 2%-7% (Chart 5). These offer as good of a benchmark as any. While a no-deal exit is probably not going to create a shock the same size as the Great Depression or the Great Recession, the recessions of 1979 and 1990 would be bad enough for any prime minister or ruling party. Table 1Wide Range Of Estimates For Impact Of No-Deal Brexit A small recession could also spiral out of control – it could create a vicious spiral with the European continent, which is already on the verge of recession. And it could damage consumer confidence more than anticipated – as it would be accompanied by immediate social and political unrest due to the half of the population that opposes Brexit in all forms. Politicians have to pay attention to the opinion polls as well as the referendum result, since opinion polls impact the next election. These show a plurality in favor of remaining in the EU and a strong trend against Brexit since 2017 – a factor that the currency markets are ignoring at the moment (Chart 6). While the evidence does not prove that a second referendum would result in Bremain, it is highly likely that a majority opposes a no-deal exit, given that at least a handful of pro-Brexit voters do not want to leave without a deal. The results of the European parliamentary elections in May (Chart 7) and the public’s preferences for different political parties (Chart 8) both support this conclusion. Chart 6Plurality Of Voters Still Favors Bremain Over Brexit Chart 8Voters Favor Bremain-Leaning Political Parties Parliament is also opposed to a no-deal Brexit. Though the Cooper-Letwin bill that forbad a no-deal exit initially passed by one vote in April (Chart 9A), the final amended version passed with a majority of 309 votes. Further, in July, with the rise of Boris Johnson, parliament passed a measure by 41 votes that requires parliament to sit this fall (Chart 9B), thus attempting to prevent Boris from proroguing parliament and forcing a no-deal Brexit that way. Technically Queen Elizabeth II could still prorogue parliament, but we highly doubt she would intervene in a way that would divide the nation. Johnson himself will have to face the reality of parliament and public opinion. Parliament has one crystal clear means of halting a no-deal exit: a vote of no confidence in Johnson’s government.1 Theresa May only survived her vote of no confidence by 19 seats. Yet Johnson is entering 10 Downing Street at a time when parliament is essentially hung. The Conservative Party’s coalition with Northern Ireland’s Democratic Union Party has been reduced to a majority of two, which is likely to fall to a single solitary seat after the Brecon and Radnorshire by-election, which is taking place as we go to press. Johnson has purged several Tories from his cabinet, and there are a handful of Conservatives who are firmly opposed to a no-deal Brexit. It would be an extremely tight vote as to whether these Tory rebels would be willing and able to bring down one of their own governments – a careful assessment suggests that there are about half a dozen swing voters on each side of the House of Commons.2 But 47 Conservatives contrived to block prorogation (see Chart 9B). The magnitude of the crisis members of parliament would face – an unpopular, self-inflicted no-deal exit and recession – is essential context that would motivate rebellious voting behavior. Parliament’s actions so far, the reality of the economic impact, and the popular polling suggest that MPs are likely to halt the Johnson government from forcing a no-deal exit if he makes a mad dash for it. More likely is that Johnson himself pushes to hold an election after securing some technical concessions from Brussels. He is galvanizing the Conservative vote and swallowing up the single-issue Brexit vote (UKIP and the Brexit Party), while the opposition remains divided between the Labour Party under the vacillating Jeremy Corbyn and the resurgent Liberal Democrats (Chart 10). In a first-past-the-post electoral system, this provides a window of opportunity for the Conservatives to improve their parliamentary majority – assuming that Johnson has renegotiated a deal with the EU and has something to show for it. Chart 10BoJo Could Call Election With Deal In Hand Chart 11Ireland Can Compromise For Stability's Sake This would require the EU to delay the deadline yet again (September 3 is the last date for a non-confidence vote to force a pre-Brexit October 24 election). The European Union has a self-interest in preventing a no-deal Brexit, as it needs to maintain economic stability. It ultimately would prefer to keep the U.K. in the bloc, which means that delays can ultimately be granted, especially to accommodate a new election. As to what kind of compromises are available, the Irish backstop can suffer technical changes to its provisions, time frames, or application. In the end, the Irish Sea is already a different kind of border than the other borders in the U.K. and therefore it is possible to enact additional checks that nevertheless have a claim to retaining the integrity of the United Kingdom. The Democratic Unionists could find themselves outnumbered on this issue. Certainly the Republic of Ireland has an interest in preventing a no-deal Brexit as long as a hard border with Northern Ireland is avoided, and Boris Johnson maintains that it will be (Chart 11). The risk of a no-deal Brexit is around 21% Our updated Brexit Decision Tree in Diagram 1 provides the outcomes. Former Prime Minister Theresa May failed three times to pass her Brexit deal. We allot a 30% chance, higher than consensus, that Boris Johnson can do it through galvanizing the Conservative vote – given that he is operating with a hung parliament and is at odds with the median voter on Brexit. We give 21% odds to a no-deal Brexit based on the difficulty of parliament outright halting Johnson if his government is absolutely determined to follow through with it. This is clearly a large risk but not our base case. We would upgrade these odds to around 30% in the event that negotiations with the EU completely fail to produce tangible outcomes. It is far more likely that a delay occurs and leads to new elections (49%) – and these odds rise to 70% if Johnson fails to extract concessions from the EU that enable him to pass a deal through parliament. Diagram 1Brexit Decision Tree (Updated As Of June 21 For Boris Johnson) A final constraint on Johnson comes from Scotland, as highlighted in the epigraph at the top of the report: the demand for a new Scottish independence referendum is reviving as a result of opposition to Brexit in general and specifically to Prime Minister Johnson’s hardline approach (Charts 12A & 12B). The SNP is also improving its favorability among Scottish voters relative to other parties (Chart 13). We have highlighted this risk in the past: support for Scottish independence does not have a clear ceiling amid the antagonism over Brexit, especially if an economic and political shock hits the union as a result of a forced no-deal exit. Chart 13Scottish Nationals Resurgent Bottom Line: The risk of a no-deal Brexit is around 21%, though a complete failure of negotiations with the EU could push it up to 30%. If it occurs it will induce a recession and eventually could result in the breakup of the union with Scotland. China And Investment Recommendations What can investors be certain of regardless of the different Brexit outcomes? The United Kingdom will reverse the fiscal austerity of recent years (Chart 14). Fiscal stimulus will be necessary either to offset the shock of a no-deal exit in the worst-case scenario, or to address the ongoing economic challenges and public grievances in a soft Brexit or no Brexit scenario. These grievances stem from the negative impact on the middle class of globalization, post-financial crisis deleveraging, low real wage growth, and the decline in productivity. Potential GDP growth is set to fall if immigration is curtailed and restrictions on trade with the EU go up. The government will have to offset this trend with spending to boost the social safety net and encourage investment. Chart 14Fiscal Austerity To Go Into Reverse The pound is clearly weak on a long-term and structural basis (Chart 15). Based on our assessment of the British median voter – opposed to a no-deal Brexit – and the fact that parliament is also opposed to a no-deal Brexit Chart 15Deep Value In Sterling and is the supreme lawgiving body in the British constitution, we expect that an enormous buying opportunity will emerge when Prime Minister Johnson’s gambit has reached its apex and he is either forced to accept what concessions the EU will give. But if forced out of office, election uncertainty due to a potential Prime Minister Jeremy Corbyn will prolong the pound’s weakness. Brexit is not the only risk affecting Europe this summer – a critical factor is Europe’s own economic status, which in great part hinges on our China view (Chart 16). The Chinese Communist Party’s mid-year Politburo meeting struck a more accommodative tone relative to the April meeting that sounded less dovish in the aftermath of the Q1 credit splurge. The emphasis of the remarks shifted back to the need to take additional measures to stabilize the economy, as in the October 2018 statement. This fits with our view since February that Chinese stimulus will surprise to the upside this year. Chart 16Chinese Reflation Positive For Europe Policymakers’ efforts are working thus far, with signs of stabilization occurring in the all-important labor market (Chart 17). There is some evidence that Xi Jinping’s anti-corruption campaign is moderating, which also supports the view that policy settings in the broadest sense are becoming more supportive of growth (Chart 18). Chart 17China Will Reflate More Chart 18Relaxing Anti-Corruption Campaign Another Form Of Easing Chart 19Hong Kong Equities Have Farther To Fall We still are long European equities versus Chinese equities and are short the CNY-USD. From a geopolitical point of view, the U.S.-China conflict is intensifying with President Trump’s threat to raise an additional 10% tariff on $300 billion of Chinese imports despite the resumption of talks. In addition, the Hong Kong protests are intensifying, with China’s People’s Liberation Army (PLA) warning that it may have to intervene. There is high potential for violence to erupt, leading to a more heavy-handed approach by Hong Kong security forces and even eventual PLA deployment. This suggests there is downside in the Hang Seng index (Chart 19) – and PLA intervention could lead to broader investor concerns about China’s internal stability and another reason for tensions with the United States and its allies. The U.S.-China conflict is intensifying. Our alarmist view on Taiwan in advance of the January 2020 election is finally taking shape. Not only has the Hong Kong unrest prompted a notable uptick in Taiwanese people’s view of themselves as exclusively Taiwanese (Chart 20), but Beijing has also announced additional restrictions on travel and tourism to Taiwan – an economic sanction that will harm the economy (Chart 21). These actions and escalation in Hong Kong raise the odds that the ruling Democratic Progressive Party will remain in power in Taiwan after January and hence that cross-strait relations (and by extension Sino-American relations) will remain strained and will require a higher risk premium to be built in. The latest trade war escalation could easily spill into strategic saber-rattling, as the U.S. blames China for North Korea’s return to bad behavior and China blames the U.S. for dissent in Hong Kong and likely Taiwan. Chart 21Beijing To Sanction Taiwan Tourism Again The U.S.-China trade negotiations are falling apart at the moment. We had argued that China’s stimulus and stabilization would create a negative reaction from President Trump, who would regret the Osaka ceasefire when he saw that China’s bargaining leverage had improved. This has come to pass, vindicating our 60% odds of an escalation post-G20. The U.S. Commerce Department could still conceivably renew the Temporary General License for U.S. companies to deal with Chinese tech firm Huawei on August 19, in order to create an environment conducive to progress for the next round of trade talks in September, but with the latest round of tariffs we think it is more likely that we will get a major escalation of strategic tensions and even saber-rattling. China’s new announcements regarding reforms to make local officials more accountable and to make it easier for companies to go bankrupt, including unprofitable “zombie” state-owned enterprises, could be a thinly veiled structural concession to the United States, but it remains to be seen whether these will be implemented and reinforced. Beijing rebooted structural reforms at the nineteenth national party congress but we expect stimulus to overwhelm reform amid trade war. We are converting our long non-Chinese rare earth producers recommendation to a strategic trade, after it hit our 5% stop-loss, as it is supported by our major theme of Sino-American strategic rivalry. The secular nature of this rivalry has been greatly confirmed by the fact that President Trump is now responding to American election dynamics. The U.S. Democratic Party’s primary debates have revealed that the candidates most likely to take on President Trump (Bernie Sanders and Elizabeth Warren) are adopting his hawkish foreign policy and trade policy stance toward China. The frontrunner former Vice President Joe Biden is the exception, as he is maintaining President Obama’s more dovish and multilateral approach. Trump’s clear response is to ensure that he still owns the trade and manufacturing narrative, to call Biden weak on trade, and to prevent the left-wing populists from outflanking him. Short the Hang Seng index as a tactical trade and close long Q1 2020 Brent futures versus Q1 2021 at the market bell tonight. Matt Gertken, Vice President Geopolitical Strategist mattg@bcaresearch.com Footnotes 1 See Maddy Thimont Jack, “A New Prime Minister Intent On No Deal Brexit Can’t Be Stopped By MPs,” May 22, 2019, www.instituteforgovernment.org.uk. 2 See Dominic Walsh, “Would MPs really back a no confidence motion to stop no-deal?” The New Statesman, July 15, 2019, www.newstatesman.com.
While the Conservatives and the U.K. have a new leader, as far as Brexit is concerned, plus ça change plus c’est la même chose. A new leader does not change the tight parliamentary arithmetic in which the Conservative/DUP pact now has a wafer-thin working…
Highlights As central banks continue to push on a string for 2 percent inflation, it will underpin the valuation of equities and other risk-assets. So long as the global 10-year bond yield remains well below 2.5 percent, equity market sell-offs will be limited to corrections rather than an outright bear market. Within bonds, steer towards those where the monetary policy toolbox is not depleted, namely U.S. T-bonds. Within currencies, steer towards those where the monetary policy toolbox is already depleted, namely the yen and the euro. Expect an early U.K. General Election whose result is extremely difficult to call. Until this fog of U.K. political uncertainty clears, steer clear of the pound and go long the international FTSE100 versus the domestic FTSE250. Dear Client, In lieu of the next weekly report I will be presenting the quarterly webcast on Tuesday 6 August at 10.00AM EDT, 3.00PM BST, 4.00PM CEST, 10.00PM HKT. Be sure to join me. Dhaval Joshi Feature How Central Banks Have Misunderstood Inflation Chart Of The WeekInflation Expectations Just Track Actual Inflation Central banks continue to obsess about their failure to achieve inflation of two point zero (Chart I-2). The irony is that they should be rejoicing from the rooftops, because the major developed economies have all now reached the holy grail of price stability. Central banks have misunderstood price stability because they have defined it over-precisely in terms of econometric models and mathematics, when the way we actually perceive it has as much to do with psychology and physiology. Chart I-2Failing To Achieve Two Point Zero The human brain cannot distinguish inflation rates between -1 and 2 percent, a range we just perceive as ‘price stability’. As an example, if a loaf of bread costs 77 pence today, most people – myself included – would not perceive the difference between it costing 70 pence five years ago (2 percent inflation) or 73 pence (1 percent inflation). Compounding the perception difficulty is quality improvements. If the ingredients and nutritional quality are better today, then the price of the loaf may actually have gone down! Yet central banks persist in thinking of inflation within a linear spectrum which they can nail to one decimal place. Even now, Draghi talks about “survey-based inflation expectations at a level of 1.6/1.7 percent” as if the decimal point actually means something! What Draghi fails to recognise is that the human brain cannot perceive inflation to that level of mathematical precision. If I cannot distinguish between -1 and 2 percent inflation, then it is impossible for the central bank to change my inflation expectations within that range, because the entire range just feels like price stability to me. Therefore, my behaviour in terms of wage demands and willingness to borrow will also stay unchanged. And if my behaviour is unchanged, what is the transmission mechanism from -1 to 2 percent inflation? Chart I-3Inflation Expectations Just Track Actual Inflation This largely explains why monetary policy can take an economy from price instability into the range of price stability, but cannot fine-tune inflation within this broad range of price stability between -1 to 2 percent. The ultimate proof is that the market-based inflation expectations that central banks try to guide just track actual inflation (Chart Of The Week and Chart I-3). The problem is that central banks have created a rod for their own back. It is difficult for them to change their targets without gravely undermining their credibility. As Fed Chair Jay Powell points out “2 percent has become the global norm… saying that you’re going to change target – I wonder how credible that will be.” When Monetary Policy Is Depleted Monetary policy operates through the term structure of interest rates. The central bank sets short-term rates directly, and it establishes long-term rates through its forward guidance and QE tools. Other tools, like the TLTROs, simply ensure the effective transmission of the term structure to the banking system. Regarding QE, many people still believe that it is the central bank’s removal of bond supply that drives down their yields. This is plain wrong. The bond market sets the price of the QE transaction according to the signal it receives about future interest rate policy. For example, if QE implied rampant inflation down the road – and therefore higher interest rates – the act of QE would lift bond yields, perhaps considerably. In fact, the market interprets QE as a resolve to keep policy rates lower for longer and this is why it depresses yields. At this week’s ECB policy announcement, expect the usual flannel and bluster. To achieve its 2 percent inflation target, “the Governing Council stands ready to act and use all the instruments that are in the toolbox”. The trouble is, once the term structure is at its lower bound all along its length – as it almost is in the euro area and Japan – the monetary policy toolbox is out of tools (Chart I-4 and Chart I-5). Chart I-4The Monetary Policy Toolbox Is Out Of Tools... Chart I-5...Once The Term Structure Is At Rock Bottom All Along Its Length The ECB’s increasing impotence is not something it wants to admit. As Upton Sinclair pointed out: it is difficult to get a man to understand something, when his salary depends upon his not understanding it! But to his credit, Draghi has at least hinted that the ECB toolbox is depleted, acknowledging that “in case of adverse contingencies, fiscal policy will have to play a fundamental role.” What Does This Mean For Market Strategy? To repeat, in a range of -1 to 2 percent, inflation expectations become insensitive to monetary policy. So in their obsession to achieve two point zero, central banks have pushed harder and harder on a piece of string. As a result, the experimental policy tools of our era have been forward guidance and QE, which have depressed bond yields to unprecedented lows (Chart I-6 and Chart I-7). Chart I-6Forward Guidance And QE... Chart I-7...Have Depressed Bond Yields To Historic Lows Now we come to the crucial twist in the story. When bond yields enter a range of -1 to 2 percent risk-asset valuations become hyper-sensitive to monetary policy. We refer readers to previous reports in which we have extensively explained this dynamic. The upshot is that at ultra-low bond yields, the transmission to price inflation breaks down, but the transmission to risk-asset inflation increases exponentially1 (Chart I-8 and Chart I-9). Chart I-8Ultra-Low Bond Yields... Chart I-9...Have Lifted Equity Valuations To Historic Highs For market strategy, the good news is that as central banks continue to push on a string for 2 percent inflation, it will underpin the valuation of equities and other risk-assets. So long as the global 10-year bond yield remains well below 2.5 percent, sell-offs will be limited to corrections rather than an outright bear market.2 The other good news is that if there is no major dislocation in financial markets, economic downturns will be limited to down-oscillations rather than an outright recession. This is because, contrary to popular belief, the causality does not run from recessions to financial market dislocations; it almost always runs the other way, from financial market dislocations to recessions. The final strategic point is: within currencies, steer towards those where the monetary policy toolbox is already depleted, namely the yen and the euro. Conversely, within bonds, steer towards those where the monetary policy toolbox is not depleted, namely U.S. T-bonds. Brexit Update Talking of flannel and bluster, Britain’s Conservative party has elected a new leader who, by default, becomes the new Prime Minister. But while the Conservatives and the U.K. have a new leader, as far as Brexit is concerned, plus ça change plus c’est la même chose. A new leader does not change the tight parliamentary arithmetic in which the Conservative/DUP pact now has a wafer-thin working majority of just four, likely reduced to just three after the Brecon and Radnorshire by-election on August 1. Neither does it change the EU27’s ‘red line’ to protect the integrity of the single market at the Republic of Ireland’s border with Northern Ireland. Meaning that either the whole of the U.K. or Northern Ireland must stay in a customs union with the EU27. Chart I-10When The Pound Weakens, The International FTSE100 Outperforms The Domestic FTSE250 Given these hard constraints we expect an early General Election whose result is extremely difficult to call. This is because the U.K.’s first past the post voting system is designed for a two party structure, and not for the four parties that are now in contention (five in Scotland).3 Until this fog of political uncertainty clears at least partly, steer clear of the pound. U.K. equity investors should go long the international FTSE100 versus the domestic FTSE250 (Chart I-10). Fractal Trading System* This week we note that the blistering outperformance of the New Zealand electricity sector following the public float last year is technically extended and susceptible to a countertrend reversal. This trade is based on the 52-week fractal dimension and so has a potential duration of a year, longer than our normal trades. Short the New Zealand electricity sector versus the broader New Zealand market setting a profit target of 7 percent with a symmetrical stop-loss. In other trades, short Russia (MOEX) versus Japan (Nikkei) achieved its 5 percent profit target and is now closed. This leaves five open positions. For any investment, excessive trend following and groupthink can reach a natural point of instability, at which point the established trend is highly likely to break down with or without an external catalyst. An early warning sign is the investment’s fractal dimension approaching its natural lower bound. Encouragingly, this trigger has consistently identified countertrend moves of various magnitudes across all asset classes. Dhaval Joshi, Chief European Investment Strategist dhaval@bcaresearch.com Footnotes 1 Please see the European Investment Strategy Weekly Report ‘Risk: The Great Misunderstanding Of Finance’ October 25, 2018 available at eis.bcaresearch.com. 2 We define the global bond yield as the simple average of the 7-10 year government bond yields in the U.S., euro area, and China. A proxy is the simple average of the 10-year yields in the U.S., France, and China. 3 From political left to right, the parties are Labour, Liberal Democrat, Conservative, and Brexit. Scotland also has the Scottish National Party. Fractal Trading System The post-June 9, 2016 fractal trading model rules are: When the fractal dimension approaches the lower limit after an investment has been in an established trend it is a potential trigger for a liquidity-triggered trend reversal. Therefore, open a countertrend position. The profit target is a one-third reversal of the preceding 13-week move. Apply a symmetrical stop-loss. Close the position at the profit target or stop-loss. Otherwise close the position after 13 weeks. Use the position size multiple to control risk. The position size will be smaller for more risky positions. * For more details please see the European Investment Strategy Special Report “Fractals, Liquidity & A Trading Model,” dated December 11, 2014, available at eis.bcaresearch.com. 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