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Listen to a short summary of this report.     Executive Summary Housing Activity Should Start To Stabilize By The End Of The Year Home prices in the US are set to decline, almost certainly in real terms and probably in nominal terms as well. Unlike in past episodes, the impact on construction from a drop in home prices should be limited, given that the US has not seen pervasive overbuilding. The drag on US consumption should also be somewhat muted. In contrast to what happened during the mid-2000s, outstanding balances on home equity lines of credit declined during the pandemic housing boom. US banks are on a strong footing today. This should limit the collateral damage from falling home prices on the financial system. Outside the US, the housing outlook is more challenging. This is especially the case in smaller developed economies such as Canada, Australia, New Zealand, and Sweden. It is also the case in China, where the property market may be on the verge of a Japanese-style multi-decade slide. ​​​​​ Bottom Line: Softening housing markets around the world will weigh on growth. However, against the backdrop of high inflation, that may not be an unambiguously bad thing. We expect global equities to rise into year end, and then retreat in 2023. The Canary in the Coalmine On the eve of the Global Financial Crisis, Ed Leamer delivered a paper at Jackson Hole with the prescient title “Housing IS the Business Cycle.” Leamer convincingly argued that monetary policy primarily operates through the housing market, and that a decline in residential investment is by far the best warning sign of a recession. Table 1 provides supporting evidence for Leamer’s conclusion. It shows that residential investment is not a particularly important driver of GDP growth during non-recessionary quarters but is the only main expenditure component that regularly turns down in the lead-up to recessions. Table 1A Decline In Residential Investment Typically Precedes Recessions US real residential investment was essentially flat in Q1 but then contracted at an annualized pace of 16% in Q2, shaving 0.83 percentage points off Q2 GDP growth in the process. The Atlanta Fed GDPNow model forecasts that real residential investment will shrink by 22% in Q3, largely reflecting the steep drop in housing starts and home sales observed over the past few months. Chart 1Housing Activity Should Start To Stabilize By The End Of The Year The recent decline in construction activity is a worrying indicator. Nevertheless, there are several reasons to think that the downturn in housing may not herald an imminent recession. First, the lag between when housing begins to weaken and when the economy falls into recession can be quite long. For example, residential investment hit a high of 6.7% of GDP in Q4 of 2005. However, the Great Recession did not start until Q4 of 2007, when residential investment had already receded to 4.2% of GDP. The S&P 500 peaked during the same quarter. Second, recent weakness in housing activity largely reflects the lagged effects of the spike in mortgage rates earlier this year. To the extent that mortgage rates have been broadly flat since April, history suggests that housing activity should start to stabilize by the end of this year (Chart 1). Third, unlike in the mid-2000s, there is no glut of homes in the US today: Residential investment reached 4.8% of GDP last year, about where it was during the late 1990s, prior to the start of the housing bubble (Chart 2). The construction of new homes has failed to keep up with household formation for the past 15 years (Chart 3). As a result, the homeowner vacancy rate stands at 0.8%, the lowest on record (Chart 4). Chart 2Residential Investment Is Well Below Levels Seen During The Housing Bubble Chart 3Home Construction Has Fallen Short Of Household Formation For The Past 15 Years Chart 4The Homeowner Vacancy Rate Is At Record Lows While new home inventories have risen, this mainly reflects an increase in the number of homes under construction. The inventory of finished homes is still 40% below pre-pandemic levels (Chart 5). The inventory of existing homes available for sale is also quite low, which suggests that a rising supply of new homes could be depleted more quickly than in the past. Chart 5While The Number Of Homes Under Construction Increased, The Inventory Of Newly Built And Existing Homes Remains Low Why Was Housing Supply Slow to Rise? In real terms, the Case-Shiller index is now 5% above its 2006 peak (Chart 6). Why didn’t housing construction respond more strongly to rising home prices during the pandemic? Part of the answer is that the memory of the housing bust curtailed the homebuilders’ willingness to expand operations. Supply shortages also limited the ability of homebuilders to construct new homes in a timely fashion. Chart 7 shows that the producer price index for construction materials increased by nearly 50% between January 2020 and July 2022, outstripping the rise in the overall PPI index. Chart 6Real House Prices Are Above Their 2006 Peak Chart 7Producer Prices For Construction Materials Shot Up During The Pandemic Chart 8Constraints On Home Building Caused The Housing Market To Clear Mainly Through Higher Prices Rather Than Increased Construction The lack of building materials and qualified construction workers caused the supply curve for housing to become increasingly steep (or, in the parlance of economics, inelastic). To make matters worse, pandemic-related lockdowns probably caused the supply curve to shift inwards, prompting homebuilders to curb output for any given level of home prices. As Chart 8 illustrates, this meant that the increase in housing demand during the pandemic was largely absorbed through higher home prices rather than through increased output.   A Bittersweet Outcome Chart 9Unlike During The Great Recession, Prices For New And Existing Homes Should Fall In Tandem This Time Around The discussion above presents a good news/bad news story about the state of the US housing market. On the one hand, with seasonally-adjusted housing starts now below where they were in January 2020, construction activity is unlikely to fall significantly from current levels. On the other hand, as the supply curve for housing shifts back out, and the demand curve shifts back in towards pre-pandemic levels, home prices are bound to weaken. We expect US home prices to decline, almost certainly in real terms and probably in nominal terms as well. Unlike during the Great Recession, when a wave of foreclosures caused the prices of existing homes to fall more than new homes, the decline in prices across both categories is likely to be similar this time around (Chart 9).   The Impact of Falling Home Prices To what extent will lower home prices imperil the US economy? Beyond the adverse impact of lower prices on construction activity, falling home prices can depress aggregate demand through a negative wealth effect as well as by putting strain on the banking system. The good news is that both these channels are less operative today than they were prior to the GFC. Perhaps because home prices rose so rapidly over the past two years, homeowners did not get the chance to spend their windfall. The personal savings rate soared during the pandemic and has only recently fallen below its pre-pandemic average (Chart 10). Households are still sitting on about $2.2 trillion in excess savings, most of which is parked in highly liquid bank accounts. Outstanding balances on home equity lines of credit actually fell during the pandemic, sinking to a 21-year low of 1.3% of GDP in Q2 2022 (Chart 11). All this suggests that the coming decline in home prices will not suppress consumption as much as it did in the past. Chart 10Household Savings Surged During The Pandemic Chart 11Despite Higher Home Prices, Households Are Not Using Their Homes As ATMs The drop in home prices during the GFC generated a vicious circle where falling home prices led to more foreclosures and fire sales, leading to even lower home prices. Such a feedback loop is unlikely to emerge today. As judged by FICO scores, lenders have been quite prudent since the crisis (Chart 12). The aggregate loan-to-value ratio for US household real estate holdings stands near a low of 30%, down from 45% in the leadup to the GFC (Chart 13). Banks are also much better capitalized than they were in the past (Chart 14). Chart 12FICO Scores For Residential Mortgages Have Improved Considerably Since The Pre-GFC Housing Bubble Chart 13This Is Not 2007 Chart 14US Banks Are Better Capitalized Than Before The GFC The final thing to note is that home prices tend to fall fairly slowly. It took six years for prices to bottom following the housing bubble, and this was in the context of a severe recession. Thus, the negative wealth effect from falling home prices will probably not become pronounced until 2024 or later. A Grimmer Picture Abroad The housing outlook is more challenging in a number of economies outside of the US. While home prices have increased significantly in the US, they have risen much more in smaller developed economies such as Canada, Australia, New Zealand, and Sweden (Chart 15). My colleague, Jonathan LaBerge, has also argued that overbuilding appears to be more of a problem outside the US (Chart 16). Chart 15Rising Rates Will Weigh On Developed Economies With Pricey Housing Markets Chart 16Canada And Several Other DM Countries Have Overbuilt Homes Since The Global Financial Crisis Chart 17Slightly More Than Half Of Canadians Opted For Variable Rate Mortgages Over The Past 12 Months The structure of some overseas mortgage markets heightens housing risks. In Canada, for example, more than half of homebuyers chose a variable-rate mortgage over the last 12 months (Chart 17). At present, about one-third of the total stock of mortgages are variable rate compared to less than 20% prior to the pandemic. Moreover, unlike in the US where 30-year mortgages are the norm, fixed-rate mortgages in Canada typically reset every five years. Thus, as the Bank of Canada hikes rates, mortgage payments will rise quite quickly.   China: Following Japan’s Path? In the EM space, China stands out as having the most vulnerable housing market. The five major cities with the lowest rental yields in the world are all in China (Chart 18). Home sales, starts, and completions have all tumbled in recent months (Chart 19). The bonds of Chinese property developers are trading at highly distressed levels (Chart 20). Chart 18Chinese Real Estate Shows Vulnerabilities… Chart 19...Activity And Prices Have Been Falling... Chart 20...And the Bonds of Property Developers Are Trading At Distressed Levels In many respects, the Chinese housing market resembles the Japanese market in the early 1990s. Just as was the case in Japan 30 years ago, Chinese household growth has turned negative (Chart 21). The collapse in the birth rate since the start of the pandemic will only exacerbate this problem. The number of births is poised to fall below 10 million this year, down more than 30% from 2019 (Chart 22). Chart 21China Faces A Structural Decline In The Demand For Housing Chart 22China's Baby Bust A few years ago, when inflation was subdued and talk of secular stagnation was all the rage, a downturn in the Chinese property sector would have been a major cause for concern. Things are different today. Global inflation is running high, and to the extent that investors are worried about a recession, it is because they think central banks will need to raise rates aggressively to curb inflation. A weaker Chinese property market would help restrain commodity prices, easing inflationary pressures in the process. As long as the Chinese banking system does not implode – which is highly unlikely given that the major banks are all state-owned – global investors might actually welcome a modest decline in Chinese property investment. Investment Conclusions The downturn in the US housing market suggests that we are in the late stages of the business-cycle expansion. However, given the long lags between when housing begins to weaken and when a recession ensues, it is probable that the US will only enter a recession in 2024. To the extent the stock market typically peaks six months before the outset of a recession, equities may still have further to run, at least in the near term. As we discussed last week, we recommend a neutral allocation on global stocks over a 12-month horizon but would overweight equities over a shorter-term 6-month horizon. In relative terms, the US housing market is more resilient than most other housing markets. We initiated a trade going long Canadian government bonds relative to US bonds on June 30, when the 10-year yield in Canada was 21 basis points above the comparable US yield. Today, the yield on both bonds is almost the same. We expect Canadian bonds to continue to outperform, given the more severe constraints the Bank of Canada faces in raising rates. Peter Berezin Chief Global Strategist peterb@bcaresearch.com Follow me on     LinkedIn & Twitter Global Investment Strategy View Matrix Special Trade Recommendations Current MacroQuant Model Scores      

Executive Summary US Companies Will Attempt To Raise Selling Prices To Protect Their Profit Margins China needs lower interest rates and a weaker currency to battle deflationary pressures. In the US, the main problem is elevated inflation. This heralds higher interest rates and a stronger currency. Hence, the Chinese yuan will depreciate against the greenback. When the RMB weakens versus the US dollar, commodity prices usually fall, and EM currencies and asset prices struggle. Faced with surging unit labor costs, US companies will continue to raise their prices to protect their profit margins and profitability. This will lead to one of the following two possible scenarios in the months ahead. Scenario 1: If customers are willing to pay considerably higher prices, nominal sales will remain robust, profits will not collapse, and a recession is unlikely. However, this also implies that the Fed will have to tighten policy by more than what is currently priced in by markets. Scenario 2: If customers push back against higher prices and curtail their purchases, then the economy will enter a recession. In this scenario, inflation will plummet, corporate margins will shrink, and their profits will plunge.  In both scenarios, the outlook for stocks is poor. However, one key difference is that scenario 1 is bearish for US Treasurys while scenario 2 is bond bullish. Bottom Line: On the one hand, the US has a genuine inflation problem. The upshot is that the Fed cannot pivot too early. The Fed’s hawkish rhetoric will support the US dollar. A strong greenback is bad for EM financial markets. On the other hand, the Chinese economy and global trade are experiencing deflation/recession dynamics. Cyclical assets underperform and the US dollar generally appreciates in this environment. This is also a toxic backdrop for EM financial markets.   Financial markets have been caught in contradictions. The reason is that investors cannot decide if the global economy is heading into a recession with deflationary forces prevailing, or whether a goldilocks economy or a period of inflation or stagflation will emerge in the foreseeable future. There are also plenty of contradictory data to support all the above scenarios.  As such, financial markets are volatile, swinging wildly as market participants absorb new economic data points. The S&P 500 index has rebounded from its 3-year moving average, which had previously served as a major support (Chart 1). Yet, the rebound has faltered at its 200-day moving average. Its failure to break decisively above this 200-day moving average entails that a new cyclical rally is not yet in the cards. Chart 1The S&P 500 Is Stuck Between Technical Resistance And Support Lines The S&P 500 index will remain between these resistance and support lines until investors make up their minds about the economic outlook. The EM equity index has been unable to rebound strongly alongside US stocks. A major technical support that held up in the 1998, 2001, 2002, 2008, 2015 and 2020 bear markets is about 15% below the current level (Chart 2). Hence, we recommend that investors remain on the sidelines of EM stocks. Chart 2EM Share Prices Are Still 15% Above Their Long-Term Technical Support Level BCA’s Emerging Markets Strategy team’s macro themes and views remain as follows: Related Report  Emerging Markets StrategyCharts That Matter In China, the main economic risk is deflation and the continuation of underwhelming economic growth. Core and service consumer price inflation are both below 1% and property prices are deflating. Falling prices amid high debt levels is a recipe for debt deflation. We discussed the government’s stimulus – including measures enacted for the property market – in the August 11 report. The latest announcement about the RMB 1 trillion stimulus does not change our analysis. In fact, we expected an additional RMB 1.5 trillion in local government bond issuance for the remainder of the current year. Yet, the government authorized only an additional RMB 0.5 trillion. This is substantially below what had been expected by analysts and commentators in recent months.   In Chinese and China-related financial markets, a recession/deflation framework remains appropriate. Onshore interest rates will drop further, the yuan will depreciate more, and Chinese stocks and China related plays will continue experiencing growth/profit headwinds. Meanwhile, the US economy has been experiencing stagflation this year. Chart 3 shows that even though the nominal value of final sales has expanded by 8-10%, sales and output have stagnated in real terms (close to zero growth). Hence, nominal sales and corporate profits have so far held up because companies have been able to raise prices by 8-9.5% (Chart 4). Is this bullish for the stock market? Not really. Chart 3US Stagflation: Strong Nominal Growth, But Small In Real Terms Chart 4US Corporate Profits Have Held Up Because Of Pricing Power/Inflation The fact that companies have been able to raise their selling prices at this rapid pace implies that the Fed cannot stop hiking rates. Besides, US wages and unit labor costs are surging (Chart 9 below). The implication is that inflation will be entrenched and core inflation will not drop quickly and significantly enough to allow the Fed to pivot anytime soon. Overall, US economic data releases have been consistent with our view that although real growth is slowing, the US economy is experiencing elevated inflations, i.e., a stagflationary environment. Critically, wages and inflation lag the business cycle and are also very slow moving variables. Hence, US core inflation will not drop below 4% quickly enough to provide relief for the Fed and markets. Is a US recession imminent? It depends. One thing we are certain of is that faced with surging unit labor costs, US companies will attempt to raise their prices to protect their profit margins and profitability. Our proxy for US corporate profit margins signals that they are already rolling over (Chart 5). Hence, business owners and CEOs will attempt to raise selling prices further. Chart 5US Companies Will Attempt To Raise Selling Prices To Protect Their Profit Margins This will lead to one of two possible scenarios for the US economy in the months ahead. Scenario 1: If customers (households and businesses) are willing to pay considerably higher prices, nominal sales will remain very robust, and profits will not collapse, reducing the likelihood of a recession. Yet, this means that inflation will become even more entrenched, and employees will continue to demand higher wages. A wage-price spiral will persist. The Fed will have to raise rates much more than what is currently priced in financial markets. This is negative for US share prices. Scenario 2: If customers push back against higher prices and curtail their purchases, output volume will relapse, i.e., the economy will enter a recession. In this scenario, inflation will plummet, corporate margins will shrink (prices received will rise much less than unit labor costs) and profits will plunge.  Suffering a profit squeeze, companies will lay off employees, wage growth will decelerate, and high inflation will be extinguished. In this scenario, bond yields will drop significantly but plunging corporate profits will weigh on share prices. We are not certain which of these two scenarios will prevail: it is hard to determine the point at which US consumers will push back against rising prices. Nevertheless, it is notable that in both scenarios, the outlook for stocks is poor.   Finally, as we have repeatedly written, global trade is about to contract. Charts 10-18 below elaborate on this theme. This is disinflationary/recessionary. Investment Conclusions On the one hand, the Chinese economy and global trade are experiencing deflation/recession dynamics. Cyclical assets struggle and the US dollar does well in this environment. This constitutes a toxic backdrop for EM financial markets. On the other hand, the US has a genuine inflation problem. The upshot is that the Fed cannot pivot too early. The Fed’s hawkish rhetoric will support the US dollar. A strong greenback is also bad for EM financial markets. Thus, we do not see any reason to alter our negative view on EM equities, credit and currencies. Investors should continue underweighting EM in global equity and credit portfolios. Local currency bonds offer value, but further currency depreciation and more rate hikes remain a risk to domestic bonds. We continue to short the following currencies versus the USD: ZAR, COP, PEN, PLN and IDR. In addition, we recommend shorting HUF vs. CZK, KRW vs. JPY, and BRL vs. MXN.   Arthur Budaghyan Chief Emerging Markets Strategist arthurb@bcaresearch.com Messages From Various US High-Beta / Cyclical Stock Prices US high-beta consumer discretionary, industrials, tech and early cyclical stocks have not yet broken out. The rebounds in high-beta tech and industrials have been rather muted. We are watching these and many other market signs and technical indicators to gauge if the recent rebounds can turn into a cyclical bull market. Chart 6 Chart 7 Falling Global Trade + Sticky US Inflation = US Dollar Overshot On the one hand, US household spending on goods ex-autos is already contracting and will drop further. The same is true for EU demand. The reasons are excessive consumption of goods over the past two years and shrinking household real disposable income. As a result, global trade is set to shrink, which is positive for the US dollar. On the other hand, surging US unit labor costs entail that core CPI will be very sticky at levels well above the Fed’s target. Hence, the Fed will likely maintain its hawkish bias for now, which is also bullish for the greenback. In short, the US dollar will continue overshooting.  Chart 8 Chart 9 Chinese Exports Will Contract, And Imports Will Fail To Recover Chinese export volume growth has come to a halt. Shrinking imports of inputs used for re-export (imports for processing trade) are pointing to an imminent contraction in the mainland’s exports. Further, Chinese import volumes have been contracting for the past 12 months. The value of imports has not plunged only because of high commodity prices. As commodity prices drop, import values will converge to the downside with import volumes. This is negative for economies/industries selling to China. Chart 10 Chart 11 Global Manufacturing / Trade Downtrend Is Intact China buys a lot of inputs from Taiwan that are used in its exports. That is why the mainland’s imports from Taiwan lead the global trade cycle. This is presently heralding a considerable deterioration in global trade.  In addition, falling freight rates and depreciating Emerging Asian (ex-China) currencies are all currently pointing to a further underperformance of global cyclicals versus defensive sectors. Chart 12 Chart 13 Chart 14 Taiwan Is A Canary In A Coal Mine Taiwanese manufacturing companies have seen their export orders plunge and their customer inventories surge. This has occurred in its overall manufacturing and semiconductor companies.  This corroborates our thesis that global export volumes will contract in the coming months. Chart 15 Chart 16 Korean Exporters Are Struggling Korean export companies are experience the same dynamics as their Taiwanese peers. Semiconductor prices and sales are falling hard in Korea. Export volume growth has come to a halt and will soon shrink. Chart 17 Chart 18 EM Equities: Cheap And Unloved? The EM cyclically adjusted P/E (CAPE) ratio has fallen to one standard deviation below its mean. Based on this measure, EM stocks are currently as cheap as they were at their bottoms in 2020, 2015 and 2008. EM share prices in USD deflated by US CPI are now at two standard deviations below their long-term time-trend. This is as bad as it got when EM stocks bottomed in the previous bear markets. The reason for EM stocks poor performance and such “cheapness” is corporate profits. EM EPS in USD has been flat, i.e., posting zero growth in the past 15 years. Besides, EM narrow money (M1) growth points to further EM EPS contraction in the months ahead. Chart 19 Chart 20 Chart 21 Chart 22 Commodity Prices Remain At Risk China needs lower interest rates and a weaker currency to battle deflationary pressures. In the US, the problem is inflation, which heralds higher interest rates and a stronger currency to fight rising prices. Hence, the yuan will depreciate versus the greenback. When the RMB depreciates versus the US dollar, commodity prices usually fall. Further, commodity currencies (an average of AUD, NZD and CAD) continue drafting lower. This indicator correlates with commodity prices and also presages further relapse in resource prices. Chart 23 Chart 24 Oil Prices: A Major Top In Place, But Geopolitics Will Drive Near-Term Fluctuations Chinese crude oil imports have been contracting for almost a year. Global (including US) demand for gasoline has relapsed. Meantime, Russia’s oil and oil product exports have fallen only by a mere 5% from their January level. This explains why oil prices have recently fallen. Oil lags business cycles: its consumption will shrink as global growth downshifts. However, geopolitics remain a wild card. Hence, we are uncertain about the near-term outlook for oil prices. That said, oil has made a major top and any rebound will fail to last much longer or push prices above recent highs. Chart 25 Chart 26 Chart 27 Chart 28 What Is Next For The Chinese RMB? The Chinese yuan will continue depreciating versus the US dollar. China needs lower interest rates and a weaker currency to battle deflationary pressures. While currency is moderately cheap, exchange rates tend to overshoot/undershoot and can remain cheap/expensive for a while. The CNY/USD has technically broken down. Interestingly, the periods of RMB depreciation coincide with deteriorating global US dollar liquidity and, in turn, poor performance by EM assets and commodities. Chart 29 Chart 30 Chart 31 Stay Put On Chinese Equities Odds are rising that Chinese platform companies will likely be delisted from the US as we have argued for some time. Hence, international investors will continue dampening US-listed Chinese stocks. The outlook for China’s economic recovery and profits is downbeat. This will weigh on non-TMT stocks and A shares. Within the Chinese equity universe, we continue to recommend the long A-shares / short Investable stocks strategy, a position we initiated on March 4, 2021. Chart 32 Chart 33 Chart 34 Chart 35 Messages For Stocks From Corporate Bonds Historically, rising US and EM corporate bond yields led to a selloff in US and EM share prices, respectively. Corporate bond yields are the cost of capital that matters for equities. Unless US and EM corporate bond yields start falling on a sustainable basis, their share prices will struggle. Corporate bond yields could increase because of either rising US Treasury yields or widening credit spreads. Chart 36 Chart 37 EM Currencies And Fixed-Income: An Unfinished Adjustment The profiles of EM FX and credit spreads suggest that their adjustment might not be complete. We expect further EM currency depreciation and renewed EM credit spread widening. EM domestic bond yields have risen significantly and offer value. However, if and as US TIPS yields rise and/or EM currencies continue to depreciate, local bond yields are unlikely to fall. To recommend buying EM local bonds aggressively, we need to change our view on the US dollar. Chart 38 Chart 39 Chart 40 Chart 41   Footnotes Strategic Themes (18 Months And Beyond) Equities Cyclical Recommendations (6-18 Months) Cyclical Recommendations (6-18 Months)

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Listen to a short summary of this report.     Executive Summary Back From The Future: An Investor’s Almanac Stocks will rally over the next six months as recession risks abate but then begin to swoon as it becomes clear the Fed will not cut rates in 2023. A second wave of inflation will begin in mid-2023, forcing the Fed to raise rates to 5%. The 10-year US Treasury yield will rise above 4%. While financial conditions are currently not tight enough to induce a recession, they will be by the end of next year. In the past, the US unemployment rate has gone through a 20-to-22 month bottoming phase. This suggests that a recession will start in early 2024. The US dollar will soften over the next six months but then get a second wind as the Fed is forced to turn hawkish again. Over the long haul, the dollar will weaken, reflecting today’s extremely stretched valuations.   Bottom Line: Investors should remain tactically overweight global equities but look to turn defensive early next year. Somewhere in Hilbert Space I have long believed that anything that can possibly happen in financial markets (as well as in life) will happen. Sometimes, however, it is useful to focus on a “base case” or “modal” outcome of what the world will look like. In this week’s report, we do just that, describing the evolution of the global economy from the perspective of someone who has already seen the future unfold. September 2022 – Goldilocks! US headline inflation continues to decline thanks to lower food and gasoline prices (Chart 1). Supply-chain bottlenecks ease, as evidenced by falling transportation costs and faster delivery times (Chart 2). Most measures of economic activity bottom out and then begin to rebound. The surge in bond yields earlier in 2022 pushed down aggregate demand, but with yields having temporarily stabilized, demand growth returns to trend. The S&P 500 moves up to 4,400. Chart 1ALower Food And Gasoline Prices Will Drag Down Headline Inflation (I) Chart 1BLower Food And Gasoline Prices Will Drag Down Headline Inflation (II)   October 2022 – Europe’s Prospects of Avoiding a Deep Freeze Improve: Economic shocks are most damaging when they come out of the blue. With about half a year to prepare for a cut-off of Russian gas, the EU responds with uncharacteristic haste: Coal-fired electricity production ramps up; the planned closure of Germany’s nuclear power plants is postponed; the French government boosts nuclear capacity, which had been running at less than 50% earlier in 2022; and, for its part, the Dutch government agrees to raise output from the massive Groningen natural gas field after the EU commits to establishing a fund to compensate the surrounding community for any damage from increased seismic activity. EUR/USD rallies to 1.06.  November 2022 – Divided Congress and Trump 2.0: In line with pre-election polling, the Democrats retain the Senate but lose the House (Chart 3). Markets largely ignore the outcome. To no one’s surprise, Donald Trump announces his candidacy for the 2024 election. Over the following months, however, the former president has trouble rekindling the magic of his 2016 bid. His attacks on his main rival, Florida governor Ron DeSantis, fall flat. At one rally in early 2023, Trump’s claim that “Ron is no better than Jeb” is greeted with boos. Chart 2Supply-Chain Pressures Are Easing Chart 3Democrats Will Lose The House But Retain The Senate   December 2022 – China’s “At Least One Child Policy”: The 20th Party Congress takes place against the backdrop of strict Covid restrictions and a flailing housing market. In addition to reaffirming his Common Prosperity Initiative, President Xi stresses the need for actions that promote “family formation.” The number of births declined by nearly 30% between 2019 and 2021 and all indications suggest that the birth rate fell further in 2022 (Chart 4). Importantly for investors, Xi says that housing policy should focus not on boosting demand but increasing supply, even if this comes at the expense of lower property prices down the road. Base metal prices rally on the news. Chart 4China's Baby Bust January 2023 – Putin Declares Victory: Faced with continued resistance by Ukrainian forces – which now have wider access to advanced western military technology – Putin declares that Russia’s objectives in Ukraine have been met. Following the playbook in Crimea and the Donbass, he orders referenda to be held in Zaporizhia, Kherson, and parts of Kharkiv, asking the local populations if they wish to join Russia. The legitimacy of the referenda is immediately rejected by the Ukrainian government and the EU. Nevertheless, the Russian military advance halts. While the West pledges to maintain sanctions against Russia, the geopolitical risk premium in oil prices decreases. February 2023 – Credit Spreads Narrow Further: At the worst point for credit in early July 2022, US high-yield spreads were pricing in a default rate of 8.1% over the following 12 months (Chart 5). By late August, the expected default rate has fallen to 5.2%, and by January 2023, it has dropped to 4.5%. Perceived default risks decline even more in Europe, where the economy is on the cusp of a V-shaped recovery following the prior year’s energy crunch. Chart 5The Spread-Implied Default Rate Has Room To Fall If Recession Fears Abate March 2023 – Wages: The New Core CPI? US inflation continues to drop, but a heated debate erupts over whether this merely reflects the unwinding of various pandemic-related dislocations or whether it marks true progress in cooling down the economy. Those who argue that higher interest rates are cooling demand point to the decline in job openings. Skeptics retort that the drop in job openings has been matched by rising employment (Chart 6). To the extent that firms have been converting openings into new jobs, the skeptics conclude that labor demand has not declined. In a series of comments, Jay Powell stresses the need to focus on wage growth as a key barometer of underlying inflationary pressures. Given that wage growth remains elevated, market participants regard this as a hawkish signal (Chart 7). The 10-year Treasury yield rises to 3.2%. The DXY index, having swooned from over 108 in July 2022 to just under 100 in February 2023, moves back to 102. After hitting a 52-week high of 4,689 the prior month, the S&P 500 drops back below 4,500. Chart 6Drop In Job Openings Is Matched By Rise In Employment Chart 7Wage Growth Remains Strong   April 2023 – Covid Erupts Across China: After successfully holding back Covid for over three years, the dam breaks. When lockdowns fail to suppress the outbreak, the government shifts to a mitigation strategy, requiring all elderly and unvaccinated people to isolate at home. It helps that China’s new mRNA vaccines, launched in late 2022, prove to be successful. By early 2023, China also has sufficient supplies of Pfizer’s Paxlovid anti-viral drug. Nevertheless, the outbreak in China temporarily leads to renewed supply-chain bottlenecks. May 2023 – Biden Confirms He Will Stand for Re-Election: Saying he is “fit as a fiddle,” President Biden confirms that he will seek a second term in office. Little does he know that the US will be in a recession during most of his re-election campaign. Chart 8Consumer Confidence And Real Wages Tend To Move Together June 2023 – Inflation: The Second Wave Begins: The decline in inflation between mid-2022 and mid-2023 sows the seeds of its own demise. As prices at the pump and in the grocery store decline, real wage growth turns positive. Consumer confidence recovers (Chart 8). Household spending, which never weakened that much to begin with, surges. The economy starts to overheat again, leading to higher inflation. After having paused raising rates at 3.5% in early 2023, the Fed indicates that further hikes may be necessary. The DXY index strengthens to 104. The S&P 500 dips to 4,300. July 2023 – Tech Stock Malaise: Higher bond yields weigh on tech stocks. Making matters worse, investors start to worry that many of the most popular US tech names have gone “ex-growth.” The evolution of tech companies often follows three stages. In the first stage, when the founders are in charge, the company grows fast thanks to the introduction of new, highly innovative products or services. In the second stage, as the tech company matures, the founders often cede control to professional managers. Company profits continue to grow quickly, but less because of innovation and more because the professional managers are able to squeeze money from the firm’s customers. In the third stage, with all the low-lying fruits already picked, the company succumbs to bureaucratic inertia. As 2023 wears on, it becomes apparent that many US tech titans are entering this third stage. August 2023 – Long-term Inflation Expectations Move Up: Unlike in 2021-22, when long-term inflation expectations remained well anchored in the face of rising realized inflation, the second inflation wave in 2023 is accompanied by a clear rise in long-term inflation expectations. Consumer expectations of inflation 5-to-10 years out in the University of Michigan survey jump to 3.5%. Whereas back in August 2022, the OIS curve was discounting 100 basis points of Fed easing starting in early 2023, it now discounts rate hikes over the remainder of 2023 (Chart 9). The 10-year yield rises to 3.8%. The 10-year TIPS yield spikes to 1.2%, as investors price in a higher real terminal rate. The S&P 500 drops to 4,200. The financial press is awash with comparisons to the early 1980s (Chart 10). Chart 9The Markets Expect The Fed To Cut Rates By Over 100 Basis Points Starting In 2023 Chart 10The Early-1980s Playbook October 2023 – Hawks in Charge: After a second round of tightening, featuring three successive 50 basis-point hikes, the Fed funds rate reaches a cycle peak of 5%. The 10-year Treasury yield gets up to as high as 4.28%. The 10-year TIPS yield hits 1.62%. The DXY index rises to 106. The S&P 500 falls to 4,050. November 2023 – Housing Stumbles: With mortgage yields back above 6%, the US housing market weakens anew. The fallout from rising global bond yields is far worse in some smaller developed economies such as Canada, Australia, and New Zealand, where home price valuations are more stretched (Chart 11). Chart 11Rising Rates Will Weigh On Developed Economies With Pricey Housing Markets January 2024 – Unemployment Starts to Rise: After moving sideways since March 2022, the US unemployment rate suddenly jumps 0.2 percentage points to 3.6%, with payrolls contracting for the first time since the start of the pandemic. The 22-month stretch of a flat unemployment rate is broadly in line with the historic average (Table 1). Table 1In Past Cycles, The Unemployment Rate Has Moved Sideways For Nearly Two Years Before A Recession Began February 2024 – The US Recession Begins: Although there was considerable debate about whether the US was entering a recession at the time, in early 2025, the NBER would end up declaring that February 2024 marked the start of the recession. The 10-year yield falls back below 4% while the S&P 500 drops to 3,700. Lower bond yields are no longer protecting stocks.  March 2024 – The Fed Remains in Neutral: Jay Powell says further rate hikes are unwarranted in light of the weakening economy, but with core inflation still running at 3.5%, the Fed is in no position to ease. April 2024 – The Global Recession Intensifies: The US unemployment rate rises to 4.7%. The economic downdraft is especially sharp in America’s neighbor to the north, where the Canadian housing market is in shambles. Back in June 2022, the Canadian 10-year yield was 21 basis points above the US yield. By April 2024, it is 45 basis points below. Europe and Japan also fall into recession. Commodity prices continue to drop, with Brent oil hitting $60/bbl. May 2024 – The Fed Cuts Rates: Reversing its position from just two months earlier, the Federal Reserve cuts rates for the first time since March 2020, lowering the Fed funds rate from 5% to 4.5%. The Fed funds rate will ultimately bottom at 2.5%, below the range of 3.5%-to-4% that most economists will eventually recognize as neutral. August 2024 – Republican National Convention: Unwilling to spend much of his own money on the campaign, and with most donations flowing to DeSantis, Trump’s bid to reclaim the White House fizzles. While the former president never formally bows out of the race, the last few months of his primary campaign end up being a nostalgia tour of his past accomplishments, interspersed with complaints about all the ways that he has been wronged. In the end, though, Trump makes a lasting imprint on the Republican party. During his acceptance speech, in typical Trumpian style, Ron DeSantis attacks Joe Biden for “eating ice cream while the economy burns” and declares, to thunderous applause, that “Americans are sick and tired of having woke nonsense hurled in their faces and then being dared to deny it at the risk of losing their jobs.” Chart 12The Dollar Is Very Overvalued October 2024 – The Stock Market Hits Bottom: While the unemployment rate continues to rise for another 12 months, ultimately reaching 6.4%, the S&P troughs at 3,200. The 10-year Treasury yield settles at 3.1% before starting to drift higher. The US dollar, which began to weaken anew after the Fed starts cutting rates, enters a prolonged bear market. As in past cycles, the dollar is unable to defy the gravitational force from extremely stretched valuations (Chart 12). November 2024 – President DeSantis: Against the backdrop of rising unemployment, uncomfortably high inflation, and a sinking stock market, Ron DeSantis cruises to victory in the 2024 presidential election. Unlike Trump, DeSantis deemphasizes corporate tax cuts and deregulation during his presidency, focusing instead on cultural issues. With the Democrats still committed to progressive causes, big US corporations discover that for the first time in modern history, neither of the two major political parties are willing to champion their interests. Peter Berezin Chief Global Strategist peterb@bcaresearch.com Follow me on LinkedIn & Twitter Global Investment Strategy View Matrix Special Trade Recommendations Current MacroQuant Model Scores      

Executive Summary Russia’s Crude Oil Output Will Fall Russia will have to lower oil production to ensure output it hasn’t placed with non-EU buyers does not tax its limited storage facilities, ahead of the bloc’s December 5 embargo. The EU’s insurance/reinsurance ban on ships carrying Russian material also commences in December. It will profoundly affect Russian output, if fully implemented. Russian and Chinese firms will expand ship-to-ship transfers on the high seas, along with external processing and storage services to mask crude and product exports. The EU embargos will force Russia to shut in ~ 1.6mm b/d of output by year-end, rising to 2mm b/d in 2023, by our reckoning. Gas-to-oil switching in Europe will boost distillate and residual fuel demand by ~ 800K b/d this winter. Chinese policymakers will be compelled to deploy greater fiscal and credit support to reverse weakening GDP. Tighter monetary policy in DM economies will dampen aggregate demand. Bottom Line: EU embargoes on Russian oil imports will significantly tighten markets, and lift Brent to $119/bbl by year-end. This has a 60% chance of being offset by ~ 1mm b/d of Iranian oil exports in 2023, in our estimation. We are maintaining our Brent forecast at $110/bbl on average for this year, and $117/bbl next year. WTI will trade $3-$5/bbl lower. At tonight’s close we are re-establishing our long COMT ETF position. Risks remain to the upside. Feature Chart 1Russia’s Crude Oil Output Will Fall Following an unexpected increase in production during June and July, Russia will have to begin reducing its oil output ahead of the implementation of the EU’s embargo on its seaborne crude oil imports, which kicks on December 5. EU, UK and US shipping insurance and reinsurance sanctions also are scheduled to be implemented in December. If fully implemented, ~ 2.3mm b/d of seaborne imports of Russian crude oil will be excluded from EU markets by year-end. Come February, another 800k b/d of refined products will be embargoed. On the back of these lost sales, and production that cannot be loaded on ships due to insurance/reinsurance bans, we expect Russian production to fall ~ 2mm b/d by the end of next year (Chart 1).1 As noted in previous research, a goodly chunk of Russian crude continues to go to China and India. Together, these two states accounted for just over 40% of Russia’s crude sales last month – ~ 1.9mm b/d of a total of ~ 4.5mm b/d. This is down from just under 45.5% in May, according to Reuters. Both China and India have benefited from discounted prices of ~ 30% vs. Brent, which is a powerful inducement to buy. Asia accounts for more than half of Russia’s seaborne crude oil sales, according to Bloomberg data. Related Report  Commodity & Energy StrategyTighter Oil Markets On The Way Whether China and India can maintain these purchases depends on whether ships taking oil to them can get their cargoes insured. Both states have domestic insurance providers, and, in the case of the latter, long-standing trade relationships going back decades. Other Asian economies do not have such financial infrastructure. Still, this is a high concentration of sales to two buyers. In addition, press reports indicate China spent $347mm to secure tankers to conduct high-risk ship-to-ship (STS) transfers of Russian crude in the Atlantic Ocean.2 Similar STS transfers have been used to move ~ 1.2mm b/d of Iranian and Venezuelan crude oil, most of which ends up in China, according to Lloyds. Base Case Sees Markets Balance In our base case analysis, markets remain relatively balanced going into winter. On the supply side, we expect core OPEC 2.0 – the Kingdom of Saudi Arabia (KSA) and the United Arab Emirates (UAE) – to continue to provide crude to the markets subject to their spare-capacity constraints (Chart 2, top panel). KSA likely will be producing close to 11mm b/d by year-end – vs its current output of 10.6mm b/d output presently – and the UAE will be close to 3.5mm b/d, vs 3.1mm b/d at present. KSA’s max capacity is 12mm b/d, while the UAE’s is 4mm b/d; both will want to maintain spare capacity to offset unexpected exogenous supply shocks next year. These two states account for most of the spare capacity in the world (Chart 3). The rest of OPEC 2.0 will continue to struggle to maintain its production, which makes the core producers’ spare capacity critically important (Chart 2, bottom panel). Chart 2Core OPEC 2.0 Will Increase Supply Chart 3Spare Capacity Concentrated In Core OPEC 2.0 Outside of OPEC 2.0, we are expecting the largest contribution to global supply will continue to come from US shale production (Chart 4). Shale-oil output in the top 5 US basins is expected to increase ~540K b/d this year, and next. This will take shale output to slighly above 7.5mm b/d and account for 76% of Lower 48 production in the States this year. Next year, we are expecting US Lower 48 production to rise 700K b/d, and for total US crude output to go to 12.8mm b/d, a new record. Chart 4US Remains Top Non-OPEC 2.0 Supplier This winter we are expecting an uptick in oil demand – particularly for distillates like gasoil and diesel in Europe, as EU firms switch from natural gas to oil on the margin. We expect this will add 800K b/d of demand over the winter months (November through March), which will lift our overall demand estimate 150k b/d this year, and 20K b/d next year – +2.19mm b/d vs +2.04mm b/d, and 1.82mm b/d vs. 1.80mm b/d next year. Chinese year-on-year oil demand growth remains negative. January-July 2022 demand was 15.24mm b/d vs 15.34mm b/d in 2021, continuing a string of y/y contractions. The two other major economic pillars of global oil demand – the US and Europe – show positive y/y growth of 800K b/d each over the same period. Global demand in 1H22 recovered to 98% of its pre-COVID-19 level – even with China’s negative y/y growth – while supply recovered to 96% of its pre-pandemic level, according to the International Energy Forum (IEF). Over most of the forecast period, we estimate global balances will continue to show the level of supply below that of demand, which will lead to continued physical deficits (Chart 5). Refined-product inventories increased by 34mm barrels in 1H22, while crude-oil stocks fell 23mm barrels. Global crude and product inventories are ~ 460mm barrels below their five-year average, which includes pandemic demand destruction, the IEF reported. We continue to expect inventories to remain below their 2010-14 average, which we prefer to track – it excludes the market-share wars of 2015-17 and that of 2020, and the pandemic’s effects on inventories (Chart 6). This will revive the backwardation in Brent and WTI prices, particularly if the loss of Russian barrels is larger than we expect this year and next. This could be dampened if the US resumes its SPR releases after they’ve run their course in October. Chart 5Global Market Balanced, But Slight Deficits Will Persist Chart 6OECD Inventories Below 5Y Average Investment Implications Our analysis indicates markets are mostly balanced going into winter (Table 1). That said, the balance of risks remains to the upside ahead of the EU’s embargoes on Russian crude and product imports, and the EU/UK/US insurance/reinsurance bans on providing cover for vessels carrying Russian material. This all is highly contingent on the extent to which the EU and its allies follow through on these punitive actions imposed on Russia in retaliation for its invasion of Ukraine. Table 1BCA Global Oil Supply - Demand Balances (MMb/d, Base Case Balances) To Dec23 The removal from the market of some 2mm b/d of Russian oil production due to the various EU embargoes – even if it is offset by the return of 1mm b/d of Iranian exports on the back of a deal with the US – will push crude oil prices higher and inventories lower (Chart 7).3  Chart 7Brent Price Expectation Unchanged, But Demand Shifts To Winter Given these views, we remain long the oil and gas producer XOP ETF, which is up 19.5% since we re-established it on July 5, and, at tonight’s close, will be re-establishing our COMT ETF, to take advantage of higher energy and commodity prices and increasing backwardation in oil markets as inventories draw.   Robert P. Ryan Chief Commodity & Energy Strategist rryan@bcaresearch.com Ashwin Shyam Research Analyst Commodity & Energy Strategy ashwin.shyam@bcaresearch.com Paula Struk Research Associate Commodity & Energy Strategy paula.struk@bcaresearch.com Commodities Round-Up Energy: Bullish US distillate inventories – diesel and heating oil mostly – were up less than 1% for the week ended 12 August 2022, according to the US EIA. US distillate inventories stood at 112mm barrels. This did nothing to reverse the deep drawdown in distillate inventories of 18.5% y/y, which, along with European stocks, refiners are attempting to rebuild going into the 2022-23 winter. We expect natgas-to-oil switching this winter to add 800k b/d of demand to the market over the Nov-Mar winter season. Most of this demand will be for distillates, in our view, given its dual use as a fuel for industrial applications and household space-heating. Distillate demand could be higher this winter, if a La Niña produces colder-than-normal temperatures. The US Climate Prediction Center gives the odds of such an outcome 60% going into the 2022-23 winter. This would lift ultra-low-sulfur diesel futures in the US and gasoil futures in Europe higher as inventories draw (Chart 8). Base Metals: Bullish Copper prices dropped on weaker-than-expected Chinese macroeconomic data for July, although the fall was bounded by the People’s Bank of China’s decision to cut interest rates. According to US CFTC data, copper trading volumes are lower than pre-pandemic levels, as hedge funds' net speculative positions turned negative beginning in May and have mostly remained in the red since then. Low trading volumes will result in copper prices being highly susceptible to macroeconomic events, especially those occurring in China. Precious Metals: Neutral Gold prices are facing difficulty overcoming market expectations of high interest rates for the rest of this year (Chart 9). The bearish influence of tightening monetary policy and a strong USD has the upper hand on the supportive effect of recession risks, inflation, and geopolitical uncertainty for gold prices. Recent strength in US stock markets - which historically is inversely correlated with gold prices - following better-than-expected earnings, also contributed to recent gold price weakness. Chart 8 Chart 9     Footnotes 1 Please see Oil: It Ain't Over Till It's Over, which we published 11 August 2022, for additional discussion. NB: We discuss the differences between our view and that of our Geopolitical Strategy service regarding a deal between the US and Iran, which returns 1mm b/d of crude oil exports to the market. We give 60% odds to such a deal, while our colleagues at the GPS service assign a 40% probability to it. In our base case modeling presented herein, we expect these barrels to return to the market by 2Q23, perhaps sooner. 2 Please see Anonymous Chinese shipowner spends $376m on tankers for Russian STS hub published by Lloyd’s List 9 August 2022. The report notes, “All the ships are aged 15 years or older, precluding them from chartering by most oil majors, as well being unable to secure conventional financing, suggesting the beneficial owner is cash rich. The high seas logistics network offers scant regulatory and technical oversight as crude cargoes loaded on aframax tankers from Baltic Russian ports are transferred to VLCCs mid-Atlantic for onward shipment to China. One cargo has been tracked to India.“ 3 Please see Oil: It Ain't Over Till It's Over, which we published 11 August 2022, for additional discussion. NB: We discuss the differences between our view and that of our Geopolitical Strategy service regarding a deal between the US and Iran, which returns 1mm b/d of crude oil exports to the market. We give 60% odds to such a deal, while our colleagues at the GPS service assign a 40% probability to it. In our base case modeling presented herein, we expect these barrels to return to the market by 2Q23, perhaps sooner.   Investment Views and Themes Strategic Recommendations Trades Closed in 2022

特別レポート

エグゼクティブ・サマリー 第4次台湾海峡危機が現実化していることを受けて、世界の大国間での大規模な戦争の確率は上昇しました。 当社のディシジョンツリーは確率を約20%と示唆しており、これはロシアのウクライナ戦争だけを起点に想定した水準の2倍に相当します。世界は五発リボルバーで「ロシアンルーレット」をしている状態です。 今後の基本見解としては、米中の国内政治イベントが今秋に一段落した後、台湾緊張は横ばい（悪化はしないが改善もしない）になると見ています。 しかし、もし中国が第20回党大会後に緊張をエスカレートさせれば、侵攻の確率は大幅に上昇します。 台湾で紛争が発生した場合、ロシアが欧州でさらに攻勢的になる確率が高まります。 イランは核兵器の追求を強く進める可能性が高いです。   2022年下半期にポジティブな触媒は多くない 五連発拳銃によるルーレット 五連発拳銃によるルーレット タクティカル推奨開始日リターン 米国10年国債ロング2022-04-141.3% グローバルのディフェンシブ／サイクリック株式ロング2022-01-2013.8% 結論：投資家は少なくとも中国の党大会と米国の中間選挙が今秋に終わるまでは防御的なポジションを維持すべきです。来年の地政学的リスクは中国の台湾海峡での行動次第です。 特集   チャート 1 第三次世界大戦をめぐる臆測が高まる 五発のリボルバーを使ったルーレット 五発のリボルバーを使ったルーレット 世界の出来事に注意を払う悲観論者たちは、近年第三次世界大戦が勃発するリスクを懸念するようになりました。用語の検索は2019年以降増えていますが、懸念の理由は特定の危機事象というよりもむしろグローバルな多極化という基調にあります（チャート 1）。1 米中、あるいは米露間での大規模な戦争の確率はどのくらいでしょうか。どのように算出できるでしょうか。本レポートでは一連の「ディシジョンツリー」を提示し、各シナリオと確率を形式化して示します。 もしWWIIIを米国がロシアあるいは中国、または両方と直接交戦する戦争と定義するなら、今後数年以内にWWIIIが勃発する確率は20%に達すると計算されます！ これは非常に高い確率ですが、歴史はこうした確率が非現実的でないことを示しており、投資家は油断してはなりません。政治学者グレアム・アリソンは長期的に見た米中戦争の確率は約75%であると歴史的類推に基づいて示しています。 要点は、各国がこのWWIIIリスクを直視し、拒否しない限り世界の政治環境は改善しないということです。最もあり得るのは、WWIIIおよびそれがもたらす核戦争のリスクが最終的な制約となり、各国がそれを認識して行動を改めるケースですが、現在の大国の振る舞いはまだ制約を認識しておらず、短期的には瀬戸際政策を続ける意向が窺えます。 中国による台湾侵攻の確率 まず問いは、中国が台湾に侵攻するかどうかです。2021年4月に当社は第4次台湾海峡危機が12～24か月以内に発生すると予測しましたが、全面戦争には発展しないと見ていました。この見方が今試されています。 図表 1では、中国の台湾に対する政策選択肢をマッピングし、それぞれに確率を割り当てるディシジョンツリーを示します。 図表 1 第4次台湾海峡危機に関するディシジョンツリー（次の24か月） 五連発の拳銃によるルーレット 五連発の拳銃によるルーレット   中国は台湾を侵攻する能力を獲得しましたが、特に核三本柱（トライアド）のさらなる進展がない限り、失敗の確率は依然として高いです。したがって、即時に侵攻のために動員をかける確率は20%と見積もります。 明らかに、中国が侵攻を計画しているという具体的な兆候があれば真剣に受け止めるべきです。 2021年にウクライナ周辺でのロシアの軍事増強を投資家やメディアが軽視したことは損失を招きました。 同時に、米中は台湾海峡の現状を試しているだけであり、現状は今回のエピソード後に強化される可能性が高いという見方もあります。結局のところ、今回の危機は第4次台湾海峡危機であり、過去の危機はいずれも戦争には至りませんでした。 バイデン大統領と習近平が、今秋に予定される重要な国内政治イベントを前にそれぞれの力を誇示しているだけなら、両者は既に目的を達成しています。少なくとも今後数年間にわたっては、これ以上の軍事的見せつけは不要です。 我々は、過去一週間の緊張が残るが現状が強化されるシナリオに40%の確率を割り当てます。 その場合、台湾海峡の構造的問題は2024年の米国と台湾の大統領選挙の後、つまりこの図表の時間枠の外で再燃するでしょう。 残念ながら我々は長期的には悲観的であり、台湾での戦争の確率は高いと考えています。 そのため、我々は今後2年間で状況が悪化するシナリオにも同じく40%の確率を割り当てます。 もし中国が党大会後に演習や制裁を拡大するなら、習指導部が単なる国内向けパフォーマンスではないことが明らかになります。 同様に、もしバイデン政権が中間選挙後も対中ハイテク輸出管理の強化を推し進め、同盟国やパートナーにも同様の対応を求め続けるなら、米国は中国が何らかの攻勢作戦を準備していると暗に判断していることになります。その場合、侵攻の危険性は20%から40%に上昇します。 それでも、米中の危機外交が2023-24年に全面戦争を防ぐという見方は依然として妥当ですが、誤算のリスクは非常に高まります。 このディシジョンツリーの最後の要素は、中国が第二次世界大戦で見られたような従来型の上陸侵攻ではなく、「グレーゾーン戦術」やハイブリッド戦を好むという前提です。理由は複数あります。 第一に、上陸侵攻は最も困難な軍事作戦です。第二に、中国軍は未熟である一方、米国と同盟国は守備を固めています。第三に、ハイブリッド戦は米国の同盟国間に対応の分裂を生みます。第四に、ここ14年でロシアはハイブリッド戦が機能することを何度も示してきました。それは戦略的便益を最大化し、コストを最小化する手段です。 西側が小規模な侵攻にどう反応するかは世界が知っている：経済制裁だ。しかし大規模な侵攻にどう反応するかはまだ分かりません。したがって中国は小さく噛み切るインセンティブを持ちます。 とはいえ台湾の場合、こうした戦術が持続可能でない可能性もあります。当社の台湾に関するディシジョンツリーは、ハイブリッド戦や「代理戦争」が大規模戦争に進展する可能性を完全には織り込んでいません。しかしその可能性は実際には高いのです。したがって我々は米中の大規模戦争のリスクを過小評価しているわけではありません。 結論： 今後2年間で、台湾を巡る米中の代理戦争の主観的確率は約32%、直接的な米中戦争の確率は約4%です。 真の試練は習近平が今秋の党大会で権力を固めた後に訪れます。 我々は習氏が経済の再起動に注力すると予想します したがって我々は中国と台湾を除く新興アジアの市場を引き続き推奨します。 ロシアとNATOの戦争の確率 第二の問いは、ウクライナの戦争が西側とのより広範な戦争に変貌するかどうかです。ウクライナでは既に戦争が継続しているため、ロシアと西側の大規模戦争の確率は中国の場合よりも高くなります。一方、台湾海峡の緊張は現時点ではまだ虚勢の段階にすぎません。 投資家のベースケースとしては、ウクライナ戦争はウクライナ内に限定されると考えるべきです。欧州諸国はドンバスのためだけにロシアと壊滅的な戦いを望んでいません。しかし戦時には物事がしばしば誤ることがあります。 重要な問いは、ロシアがNATO加盟国を攻撃するかどうかです。そうなれば同盟条約の第5条が発動され、「欧州または北米における一つ以上の（同盟）加盟国に対する武力攻撃は、すべての加盟国に対する攻撃と見なされる」ことになり、必要に応じて安全回復のために武力行使が正当化されます。 ロシアのウクライナ侵攻以降、バイデン大統領は繰り返し米国は「NATO領土の一インチたりとも防衛する」と述べており、これは政策の変更ではなく米国のレッドラインであり極めて高い可能性で防衛されるでしょう。したがってこれはロシアにとって重大な制約です。 図表 2ではロシアの選択肢をマッピングし、確率を割り当てます。 図表 2 ロシア・ウクライナ戦争に関するディシジョンツリー（次の24か月） 五発のリボルバーを使ったルーレット 五発のリボルバーを使ったルーレット   我々はロシアがドンバス地域とクリミアへの陸路を確保し、勝利を宣言する確率を55%と見ています。ロシアは征服地を何らかの外交合意、つまり停戦という形で正当化しようと動き始めるでしょう。これが我々の2023年のベースケースです。 ロシアが既に外交に向けた動きを始めている証拠があります。2 理由はロシア経済が打撃を受け、世界のコモディティ価格が下落し、人的・物的資源が消耗しているからです。プーチン大統領はドニエプル川河口など、侵攻した地域を支配している限り、ウクライナを弱体化させるという目的は大部分達成したと見なすでしょう。 プーチンは征服地を固め、経済と社会を立て直す必要があります。早ければ早いほどロシアにとって有利であり、欧州がコンセンサスを形成して将来的に天然ガスの全面禁輸を実施するのを防げます。 しかしプーチンの野心が彼を破滅に導くリスクもあります。 我々は侵攻が南西ウクライナ（戦略的港湾都市オデッサを含む）やモルドバ東部に拡大する確率を35%と見積もります。モルドバでは親ロシア派が分離統治するトランスニストリア地域にロシア軍が駐留しています。 この新たなキャンペーンはウクライナを完全に内陸化し、モルドバを無力化し、ロシアにより大きな海上アクセスを与えるでしょう。しかしそれはEUを結束させ、天然ガス禁輸を誘発し、ロシアを弱体化させて絶望的な状況に追い込む可能性もあります。報復に出れば、広範な戦争につながることも考えられます。 フィンランドやスウェーデンがNATO加盟を試みたことでプーチンが攻撃する確率は7%にすぎないと見ます。スターリンはフィンランドに失敗し、プーチンの軍はキエフすら征服できませんでした。英国はこれらの国の支援を約束しており、攻撃はNATOとの戦争を引き起こす公算が大きいでしょう。フィンランド攻撃の決断はロシアがNATOがそこに基地を置く計画を立てていると本当に信じた場合にのみ生じるでしょう。つまりそれがロシアの宣言したレッドラインです。 バルト三国に対するロシアの攻撃は、それらが既にNATOに加盟しているため可能性は低いです。ただしプーチンが絶望的になれば起こり得るというリスクはあります。 我々はバルト侵攻のリスクを3%と見積もります。 要するに、ロシアが欧州に対するエネルギーの締め付けを停戦交渉で有利な合意を引き出すためではなく侵攻の拡大に使うなら、より広範な戦争の確率は上昇します。 結論： 結果として、今後24か月での鎮静化の確率は55%、小規模なエスカレーション（例：オデッサ、モルドバ）は35%、NATO加盟国を巻き込みNATOとロシアの戦争に発展する大規模なエスカレーションは10%です。 戦術的には、もし世界経済が回復しロシアが軍事作戦を中止して停戦交渉に舵を切る明確な転換を示すなら、先進国の欧州通貨および資産を買うべきです。景気循環的には、欧州資産で持続的な強気市場が実現するには米露間のより深い理解が必要です。 米国・イスラエルによるイラン攻撃の確率 今年起きている第三の地政学的危機は、バイデン大統領とアリー・ハメネイ師が2015年の米国・イラン核合意に再加盟することで当面先送りになる可能性があります。しかし我々は懐疑的です。 バイデン政権は2015年の核合意に再加盟して、イランの原油を日量約100万バレル市場に戻し、中間選挙前にガソリン価格を下げたいと考えています。米国のグランドストラテジーはまたイランと関与して中東を安定化させ、米国がアジアへ軸足を移せるようにしたいと考えています。 EUはイラン資源への需要がより大きく、イランの核獶取得を防ぎたいので合意を提案しています。ロシアと中国も対米制裁解除とイランとの貿易を望むため支持的ですし、必ずしもイランに核が持たれることを望んでいるわけではありません。 ただし一つ問題があります：イランは体制の長期的生存を確保するために核兵器を必要としている。 問題はハメネイが再び米国との合意を承認するかどうかです。最初の合意は彼の体制に大きな代償をもたらして裏切られました。近い将来ハメネイに代わって権力を握ることを望むエブラヒム・ライシ大統領は、自らのキャリアと個人の安全を2024年の大統領選の共和党勝利に賭けることには強く反対するでしょう。 イランは既に核ブレイクアウト能力を達成しています—核装置を構築できるだけの60%濃縮ウランを保有している—そして最終的に核抑止力を獲得しようとしない理由が不明です。特に将来的に米国やその同盟国からの軍事攻撃から体制を守る必要が生じる可能性があるためです。 ただし当社の確信度は中程度です。バイデン大統領は制裁解除を望んでおり一方的にそれを行うことができるからです。バイデン政権はいまだ合意を成立させるための予備的措置を講じていませんが、それは変わる可能性があります。3 短期的なつなぎ合意には好循環的な理屈があります。 BCAのコモディティ＆エネルギー・ストラテジスト、ボブ・ライアンによれば、サウジアラビアとUAEの間の予備生産余力は合わせて約150万バレルに過ぎません。EUの石油禁輸と西側諸国の対ロシア制裁は約200万バレル／日を市場から押し出すため、OPECの余力の大部分を吸収します。したがってバイデン政権はイランが市場にもたらし得る100万バレルを必要としています。 我々はイランが制裁解除を認める合意に署名し、バイデンに制裁解除を可能にする可能性を否定できません。それは彼らの経済に利益をもたらします。彼らは核査察を許容しつつ、密かに弾頭や弾道ミサイル開発に注力を移すかもしれません。イランは不可逆的に核計画を放棄するわけではなく、時間稼ぎに長けています。 それでもイランの国内政治は合意を支持しておらず、米国が提供できる信頼できる安全保障の保証がなければ、イランのグランドストラテジーは合意を支持しません。米国はその外交政策の一貫性の欠如からそのような保証を提供できないのです。米国のグランドストラテジーは合意が検証可能であれば支持しますが、イランが合意を口実に爆弾を追求するようなケースは容認しません。 イランは3年間の最大制裁、パンデミック、世界的混乱を経ても屈服していません。そしてロシアと中国が西側に攻勢をかけるようになったことで、戦略的利益を引き出す見通しがより大きくなったとイランは見ています。 モスクワと北京は対ワシントンの共通の不満のため戦略的パートナーになり得ます。一方で米国はルーハニ政権を裏切ったのと同じようにライシ政権を裏切ることも容易であり、その結果として経済は再び翻弄され、最高指導者と政治体制は国民から二重に愚か者と見なされるでしょう。 図表 3はイランの選択肢を整理しています。 図表 3 イラン核危機に関するディシジョンツリー（次の24か月） 五連発拳銃でのルーレット 五連発拳銃でのルーレット   交渉が決裂した場合（50%）、イランは米国とイスラエルが攻撃する前に核兵器確保へ向けて突進するでしょう。 米国とイランが合意に達した場合（40%）、イランは2024年の米国選挙まで合意の条件に従う可能性があり、当面は投資家の懸念材料が除かれます。しかし長期的に核抑止力を得ようとする利害は変わらず、2024年以降に紛争が再燃するでしょう。 協議が決着せず継続する場合（10%）、イランは合意の制約なしに核計画を漸進的に進めるでしょう（ただし突発的な突進を必ずしも必要としないかもしれません）。 要するに、ロシアと中国はイランが核計画を凍結してもイランを必要としますが、米国とイスラエルはイランを抑止するために勢力均衡のアブラハム同盟を形成するでしょう—たとえイランが核計画を凍結してもです。 結論： 投資家は短期的なつなぎの米国・イラン核合意に40%の確率を割り当てるべきです。原油価格の下落は一時的なものにとどまるでしょう。長期的な供給拡大は、米国がイランに不可逆的に核計画を停止させるのに十分な安全保障保証を提供できないため期待できません。 第三次世界大戦の確率 ここからが難しい部分で、これら3つの地政学的危機を合わせて考えます。以下では単純化しすぎていますが、異なるプレーヤーとその選択肢について我々の考えを形式化するのが目的です。 図表 4は中国／台湾紛争に関する結論から出発し、その結果としてロシアのより広範な戦争の確率を調整し、イランが核兵器追求に極めて積極的であるという見方を加えたものです。時間枠は再び2年です。 図表 4 第三次世界大戦に関するディシジョンツリー（次の24か月） 五発の銃を使ったルーレット 五発の銃を使ったルーレット   WWIIIとは異なる紛争シナリオとしては「限定戦争」があり—これは米国が関与しない、あるいは間接的にしか関与しないハイブリッド戦や代理戦争を指す危険な概念です。あるいはロシアと中国を巻き込まないイランとの紛争である可能性もあります。 我々は中国から議論を始めます。なぜなら中国は現代で最も有能で野心的なグローバルパワーだからです。中国の戦略的台頭は世界秩序を揺るがし米国に挑戦しています。また今年のいくつかの証拠から、ロシアは戦争をウクライナ外に拡大する意図を持っていない可能性が示唆されていることも理由です。 中国が台湾に対してさらなる攻撃的行動を取れば、ロシアがより大きなリスクを取るユニークな機会が生まれます。そうでない場合、WWIIIの確率は2年間で急落します。これが我々のベースケースです。 しかし中国が台湾を攻撃し米国が台湾を防衛する場合、我々はロシアがバルト三国に侵攻する確率が高まると見ています。もし中国がハイブリッド攻撃を行い米国が台湾を間接的にしか支援しないなら、ロシアの攻勢の確率はわずかにしか上がりません。 結果として、WWIII（米国がロシアまたは中国、あるいは両者と直接戦う戦争）の確率は20%になります。こうした戦争が限定的に留まるかどうかは議論の余地があります。1945年以降の戦争ゲームは、主要核保有国間の戦争はエスカレートしやすいことを示しています。しかし核兵器は相互確証破壊という究極の制約をもたらします。核エスカレーションのリスクがあるため、我々はディシジョンツリーにおけるWWIIIの確率を下方に丸めています。 より確からしい59%の「限定戦争」シナリオは一見ポジティブな結果のように見えるかもしれませんが、そこには今日の水準からの地政学的緊張の大幅な上昇、例えば中国の台湾に対するハイブリッド戦などが含まれます。 結論： この試算ではWWIIIの確率は最大20%に達し得ます。これは我々のロシアに関するディシジョンツリーの水準の倍であり、当社の台湾危機の予測が現実化したことを考慮すると妥当です。 重要な要因は、今秋の党大会後に北京が台湾への圧力をさらにエスカレートさせるかどうかです。それが危険な連鎖反応を引き起こす可能性があります。 世界経済と金融市場は地政学的リスクからの下振れリスクを依然として抱えていますが、ロシアが停戦に向かい、中国が台湾への行動を遅らせて経済再起動に集中する場合、2023年には改善が見られる可能性があります。 投資の示唆 今年初めにロシアがウクライナに侵攻した際、当社の同僚であるチーフ・グローバル・ストラテジストのピーター・ベレジンは核による破滅の確率を10%と主張しました。 少なくともこれはロシアとNATOが衝突する確率として合理的な数値です。 今や予想された台湾危機が現実になりました。我々は主要な戦争の確率が20%へと倍増したと推定します。 逆に言えばより良い結果が起こる確率は80%です。分析的には、我々は依然としてロシアが限定的な目的—ウクライナを繁栄や軍事的に強大にさせないよう弱体化する—を追求していると見ており、中国も限定的な目的—台湾を国家たる存在としてではなく従属へと向かわせることで威嚇する—を追求していると見ています。 これらの目的が変わらない限り、我々はまだ第三次世界大戦からは遠いと考えます。 世界は不活化されたウクライナと従属した台湾と共存できます。 しかし否定できないのは、2008年のグローバル金融危機以降の世界情勢の軌跡が第二次世界大戦前の道筋と不快なほど似ているということです：金融危機、経済後退、デフレ、国内不安、通貨切り下げ、貿易保護主義、債務の貨幣化、軍備増強、インフレ、そして侵略戦争。ルーレットがゲームなら、世界戦争の確率は6分の1、すなわち17%であり、我々のディシジョンツリーの20%という結果に近い数値です。 我々が仮に大げさであるとしても、WWIIIの確率が20%に達すると論理的に主張できること自体が、投資家が現在のウクライナと台湾をめぐる緊張が低下するまで大きなリスクを取るのを待つべきであることを示唆しています。 簡単なチェックリストを見ると、グローバルマクロと地政学の文脈は陰鬱です（表 1）。チェックリストの改善が見られるまでより楽観的になるのは控えるべきです。 表 1 2022年下半期にポジティブな触媒は多くない 五発の拳銃を使ったルーレット 五発の拳銃を使ったルーレット     チャート 2 2022年下半期は防御的ポジションを維持 2022年下半期は防御的なポジションを維持する 2022年下半期は防御的なポジションを維持する 具体的には、投資家はロシアがNATOに拡大しないこと、そして中国が当面台湾を侵攻しないことに合理的な安心感を持つ必要があります。 これはワシントンとモスクワ、ワシントンと北京の間で紛争を回避する新たな外交的理解を要求します。 そのような理解は危機の中でしか築かれません。関連する危機は進行中ですがまだ完了していません。 通常の解決策である外交を通じて戦争リスクが払拭されるまで、グローバル株式にはさらに下振れリスクがある可能性が高いです。 世界システムの具体的かつ信頼できる改善が見られるまで、リスク資産に対して一般的なオーバーウェイト姿勢を取るのは控えましょう。株より政府債券を重視し、グローバル株より米国株、景気敏感セクターよりディフェンシブ・セクターを好み、中国・台湾の通貨と資産は評価を下げることを推奨します（チャート 2）。     マット・ガートケン チーフ・ジオポリティカル・ストラテジストmattg@bcaresearch.com  脚注 1      記：Graham Allison、Destined For War: Can America and China Escape Thucydides’s Trap?（New York: Houghton Miffin Harcourt, 2017）。 2     例えば、オデッサからの穀物輸送に関するトルコ仲介の合意、2015年イラン核合意への再加盟を支持する外交的動き、ヘルソンのような征服地での住民投票、軍縮交渉での影響力強化の試みなどです。欧州のエネルギーを断つことは最終的に欧州を停戦に有利な条件で妥協させるための圧力手段です。 3     イランは依然として余計な要求を出しています—最近ではIAEAがイランの未公表の核施設で発見された特定の人工ウラン粒子の出所を調査している件を取り下げるよう要求しました。IAEAはこの調査を取り下げておらず、取り下げればIAEAの信頼性が損なわれます。一方でバイデンは制裁を強化しており、制裁解除はイランの主要な要求です。バイデンはイラン革命防衛隊やイQods部隊をテロ指定から外していません。これらのハードルは決定的ではありませんが、我々の見方を変える前に何らかの進展を見るべきだと考えます。 戦略テーマ オープン・タクティカル・ポジション（0～6か月） オープン・サイクリック推奨（6～18か月） 地域別地政学リスクマトリックス 「打率」：地政学ストラテジーの成果（）