主要貨幣觀察：幸福的開始幸福的結(jié)局

1、Global FX Strategy & Global EM Research14 January 2020 Correction (first published 10 January 2020) (See page 44 for details)Key Currency ViewsHappy start, happy endingRisks have been rotating from US-China trade to the Middle East for now; the current expectation is that this will not derail our ba

2、seline.Growth signals indicate that US exceptionalism has faded further and that EM is leading the improvement.Recommendations became modestly pro-risk intra-month, with emphasis on the phase 1 deal and some signs of growth improvement.In G10, increased EUR-bullish exposure intra-month. Long EUR, CH

3、F, NOK vs. USD, JPY; stay underweight AUD. Increased EM FX overweight, also intra-month with longs spread across regions.Higher oil is differentiating performance of oil exporters vs. importers. Among petro FX, we are overweight NOK, RUB, MXN.FX forecast revisions are modest but take their cue from

4、the pro- risk bias. The broad dollar trajectory is marked slightly weaker, but still pencils in modest 1.8% strength over the course of the year.G10 targets: CAD upgraded on BoC (1Q1.32 from 1.36). Mildly constructive on EUR/USD (4Q: 1.14). USD/JPY in a range 110; EUR/GBP 0.86. Bearish AUD/USD (0.64

5、) and NZD/USD (0.62).EM: EMEA (CZK, PLN, HUF, RUB, ZAR) and Latam (COP, ARS) FX upgraded by 1.5%. Asia unchanged. USD/CNY 1Q 6.98 with downside risk. EUR/CZK (2Q at 25 vs 25.5), EUR/PLN (4.30 vs 4.35), USD/BRL 4.30, USD/MXN to 20.00 by year-end (both unchanged).Our economists growth forecast revisio

6、ns are showing that US exceptionalism is fading3m rolling changes in US-EU and US-EM growth forecast revision indices; %pts USD vs. EURUSD vs. EM1.21.00.20.0-0.2-0.4-0.6Jul 18Jan 19Jul 19Jan 20Source: J.P. Morgan.The next Key Currency Views will be published February 7.See page 44 for analy

7、st certification and important disclosures.Global FX Strategy & EM Markets Meera Chandan AC(44-20) 7134-2924 HYPERLINK mailto:meera.chandan meera.chandanJ.P. Morgan Securities plcPaul Meggyesi(44-20) 7134-2714 HYPERLINK mailto:paul.meggyesi paul.meggyesiJ.P. Morgan Securities plcSally M Auld(61-2) 9

8、003-7904 HYPERLINK mailto:sally.m.auld sally.m.auldJ.P. Morgan Securities Australia LimitedDaniel P Hui(1-212) 834-5997 HYPERLINK mailto:daniel.hui daniel.huiJ.P. Morgan Securities LLCTohru Sasaki(81-3) 6736-7717 HYPERLINK mailto:tohru.sasaki tohru.sasaki JPMorgan Securities Japan Co., Ltd.Benjamin

9、Shatil(81-3) 6736-1730 HYPERLINK mailto:benjamin.shatil benjamin.shatil JPMorgan Securities Japan Co., Ltd.Thomas Anthonj(44-20) 7742-7850 HYPERLINK mailto:thomas.e.anthonj thomas.e.anthonjJ.P. Morgan Securities plcAnezka Christovova(44-20) 7742-2630 HYPERLINK mailto:anezka.christovova anezka.christ

10、ovovaJ.P. Morgan Securities plcRobert Habib(1-212) 834-4876 HYPERLINK mailto:robert.habib robert.habibJ.P. Morgan Securities LLCJonathan Cavenagh(65) 6882-8424 HYPERLINK mailto:jonathan.cavenagh jonathan.cavenaghJPMorgan Chase Bank, N.A., Singapore BranchContentsKey Currency Drivers HYPERLINK l _boo

11、kmark0 2Technicals HYPERLINK l _bookmark1 8USD Index HYPERLINK l _bookmark2 10JPY HYPERLINK l _bookmark3 12EUR HYPERLINK l _bookmark4 14GBP HYPERLINK l _bookmark5 16CHF HYPERLINK l _bookmark6 18NOK HYPERLINK l _bookmark7 20SEK HYPERLINK l _bookmark8 22CAD HYPERLINK l _bookmark9 24AUD & NZD HYPERLINK

12、 l _bookmark10 26MXN HYPERLINK l _bookmark11 30BRL HYPERLINK l _bookmark12 31ZAR & RUB HYPERLINK l _bookmark13 32TRY & CE4 HYPERLINK l _bookmark14 33KRW & INR HYPERLINK l _bookmark15 34CNY HYPERLINK l _bookmark16 35J.P. Morgan Forecasts HYPERLINK l _bookmark17 36 HYPERLINK /Research/GlobalFXStrategy

13、 /Research/GlobalFXStrategyKey Currency DriversRisks have rotated from US-China trade to the Middle-east for now, but the expectation at this time is that the latter will not derail our baseline.Growth signals indicate that US exceptionalism has faded further and that EM is leading the improvement.D

14、iscretionary views became modestly more pro-risk intra-month, with emphasis more on the US-China trade deal and selective signs of growth improvement.In G10, increased EUR-bullish exposure intra-month. Long EUR, CHF and NOK vs. USD and JPY; stay underweight AUD. Increased EM FX overweight, also intr

15、a-month with longs spread across regions.Higher oil is differentiating performance of oil exporters and importers. Among petro FX, we are overweight NOK, RUB and MXN.FX forecast revisions are modest but take their cue from the pro-risk bias. The broad dollar trajectory is marked slightly weaker, but

16、 still pencils in modest 1.8% strength over the course of the year.G10 targets: CAD upgraded on BoC (1Q1.32 from 1.36). Mildly constructive on EUR/USD (4Q: 1.14). USD/JPY in a range 110; EUR/GBP 0.86. Bearish AUD/USD (0.64) and NZD/USD (0.62).EM: EMEA (CZK, PLN, HUF, RUB, ZAR) and Latam (COP, ARS) F

17、X upgraded by 1.5% on average. Asia unchanged. USD/CNY 1Q 6.98 with downside risk. EUR/CZK (2Q at 25 vs 25.5), EUR/PLN (4.30 vs 4.35), USD/BRL 4.30, USD/MXN to 20.00 by year-end (both unchanged).A happy start to the New YearSince we last published, in mid-December, the broad dollar has ground weaker

18、 by 0.6% with the broad index near its 6- month lows. USD weakness has been relatively broad-based over this period with commodity currencies leading the way higher, and has come amid a stronger tone in risk markets and equities making fresh highs. Key developments worth highlighting over the past m

19、onth are: (a) an ongoing de- escalation (at least for now) of the US-China trade conflict, which looks to be on-track for the phase one deal to be signed next week, helping USD/CNY grind to its lowest since September, (b) a rotation of geopolitical risks to the US-Iran conflict, which has, among oth

20、er things, resulted in higher oil prices and the relative outperformance of several petro-FX; and (c) aExhibit 1: Currencies with positive beta to oil have outperformed in the past month10y beta of TWI to oil (based on 1m changes)30%20%10%0%JPY USD TRY CHF CNY PEN IDR INR PHP EUR SGD TWD NZD CZK SEK

21、 GBP HUF MYR KRW PLN CLP AUD ZAR MXN BRL NOK CAD COP RUB-10%Source: J.P. Morganpartial tracking of our economists baseline view of a bounded lift in global growththus far more evident in EM but not so much in DM.Increasing pro-risk exposureThese are discussed in more detail below, but the net impact

22、 of these developments has been for discretionary views to become modestly more pro-risk relative to that published in the year-ahead outlook, with emphasis more on the US-China trade agreement and selective signs on improvement in growth.In G10, our view had been that European FX would be the sligh

23、tly safer way to position for the reflation trade in 1Q, as downside vs. USD would likely be less than with high- beta FX in the event growth underwhelms.Commensurately, we had recommended bullish EUR/USD exposure via options. Exposure to Europe was increased further in mid-December via outright sho

24、rt USD/CHF as well as via longs in NOK (vs. JPY), a currency with strong underlying fundamentals and an identifiable near-term catalyst (a relatively more activist Norges Bank). Other exposure involved short JPY vs. CHF premised on relative capital flows as well as an ongoing bearish AUD view motiva

25、ted by expectations of RBA easing.In EM FX, our strategists have increased the size of their overweights. In Asia, we maintain bullish expressions on the region via USD/CNH and USD/INR (options), TWD vs. USD, KRW and AUD. In Latam, we stay overweight via BRL and MXN. And in EMEA EM, we moved to a sm

26、all overweight in FX overall with a preference for CZK, RUB and ILS (see Emerging Markets Outlook and Strategy, Goulden and Oganes).A rotation of tensions: from US-China trade to the Middle-eastWhile risks around the US-China trade talks appear to have receded at least for now, geo-political risks h

27、ave hardly disappeared with focus more recently on the US-Iran conflict. Our assessment for now is that recent developments still warrant a pro-risk bias in FX and that US-Iran tensions thus far look unlikely to derail our baseline recovery. The US-China phase one deal will be in focus next week wit

28、h the agreement due to be signed onExhibit 2: Oil FX have strengthened in line with the increase in oil pricesChange in petro FX TWI vs. Brent prices (3m change)151050-5Y = 0.1859 X1 - 0.6589January 15th, which if realized would be a benign development. Our Asia strategists note that such a scenario

29、, and in combination with large equity inflows into China, skews the risks around our USD/CNY forecast to the downside in the short-run, meaning the USD/CNY pair could sit comfortably below our 1Q forecast at 6.98 (see CNY).-10-15-20R = 53.42%adjR = 53.38% standard error = 2.7057period = Jan 10,15 -

30、 Jan 10,20-50-40-30-20-1001020304050Change in oil prices; %US-Iran tensions have the potential to offset some of the positive impact, but our assessment at this time is that the impact will be contained. The primary channel of such an escalation to FX markets would be via oil prices and overall risk

31、 sentiment, with an escalation weighing on global growth because of higher oil prices and de-risking. At this time, our commodity strategists have left their oil price forecasts unchanged given spare capacity, positioning no longer being short and limited signs additional escalation (Commodities ris

32、k premium during MENA conflict, Kaneva et al). The growth impact of the oil price increase thus far has not yet impacted our growth outlook. Our economists have estimated that a sustained $10/bl rise in oil prices for a year due to a supply- led shock would reduce global growth by 0.15%. That oil pr

33、ices are up nearly 15% since early October would suggest roughly a 0.23% drag on global growth on this framework alonebut our economists note that estimated hit to global growth would likely be smaller as the entire increase cannot be attributed to supply pressures alone (Daily Economic Briefing, Lu

34、pton).Still selectively long oil FXGiven this collective judgement, the pro-risk exposure in FX is maintained. However, a point worth flagging is the differentiation in performance that higher oil prices has injected between oil importers and exportersthe currencies with high beta to oil (COP, RUB,

35、MXN in EM and NOK and CAD in G10; exhibit 1) have substantially outperformed the typical importers. While we have not been explicitly positioned for higher oil prices over this period, we have been overweight some of the oil exporters selectively for other reasons (RUB on strong BoP and high real yi

36、elds, MXN on carry and NOK on valuations and an activist central bank) and continue toSource: J.P. Morganmaintain the bullish view. In aggregate, the outperformance of petro FX over the past two months is mostly consistent with the increase in oil prices (exhibit 2). On a granular basis, NOK appears

37、 to have strengthened by more than the typical sensitivity to oil but this is explained by the seasonal strength at this time of the year as well as the Norges Bank retaining a hawkish bias. Finally, exhibit 1 would serve as a good guidepost of relative FX performance if tensions were to escalate an

38、d oil prices were to increase substantially higher, even if this is not our base case (although FX oil longs in such a scenario would be better expressed on a RV basis vs. oil importers rather than outright vs. USD).It is worth noting that historically, the dollar does not exhibit consistent behavio

39、r around the onset of military conflicts, and instead can be better explained by the state of global growth and shifting FX paradigms. For example, the dollar tended to appreciate in the months surrounding conflicts in 1980 and 1990, which is reflective of traditional USD safe-haven behavior around

40、recessions. Thus, the dollar is more likely take its cue from the global macroeconomic backdrop than singular escalations in the Middle East (Commodities risk premium during MENA conflict, Kaneva, Locke et al).Global growth: good news in EMA key part of our narrative for early 2020 was the expectati

41、on that we would get a bounded lift in growth. While the longevity of the reflation theme is dubious, our view was that 1Q would be the best economic opportunity for broad-based USD losses before doubts about the business cycle resurface and support USD vs. high-beta FX. Thus far, our growth metrics

42、 indicate that (a) USexceptionalism is fading broadly, and (b) timelier signs of recovery have shown up primarily in EM, while DM is lagging. Exhibit 3 illustrates that US growth forecasts revisions have lost momentum relative to the Euro area and EM. And exhibit 4 shows the timelier economic activi

43、ty surprise index is now modestly positive for EM while DM is still negative (exhibit 3). Admittedly, the EM index is being lifted primarily by China with other countries more mixed, but nonetheless, the divergence relative to DM is apparent. This divergence informs the relative scope in our EM and

44、DM high beta exposureour EM high beta FX overweights are relatively broad-based across regions while DM high beta exposure is limited to NOK. With economic lift in DM barely perceptible, we remain comfortable with a sizeable overweight in CHF vs. a mix of high- and low-yielders in G10 to exploit str

45、ucturally positive drivers of CHF (inadequate capital outflows to recycle a stubborn current account surplus)As noted earlier, given the selective improvement in growth and our expected baseline, we have cautiously increased our pro-risk exposure as well. This pro-risk exposure is consistent with ou

46、r systematic frameworks based on ML and growth signals, which are still suggesting pro-risk exposure as well (our growth framework is 60% short USD; our ML framework is 90% short USD on a basket basis). Our discretionary view of global reflation is still guarded for now, and allows for USD shorts on

47、ly on a tactical basis as, ultimately, late-cycle concerns are still likely reappear. It is worth noting that FX markets are priced to modestly more optimistic outcomes on growth than we already have in handthe broad dollar is undershooting growth differentials as measured by our FRIs by 2% (exhibit

48、 5) and our EM currency index is overshooting by a similar magnitude. This biases the risk of a market correction if the growth upturn doesnt materialize for whatever reason, but hardly precludes additional moves if our benign growth baseline does track, since the mispricing magnitude is still less

49、than one sigma.The forecast bottom line: a modestly weakerExhibit 3: Our economists growth forecast revisions are showing that US exceptionalism is fading broadly3m rolling changes in US-EU and US-EM growth forecast revision indices;%ptsUSD vs. EUR USD vs. EM1.21.00.20.0-0.2-0.4-0.6Jul 18Ja

50、n 19Jul 19Jan 20Source: J.P. MorganExhibit 4: while the timelier EM EASIs are now modestly positive, while DM is laggingEconomic activity surprise indicesG10 EM3020100-10-20-30-40Jul 18Jan 19Jul 19Jan 20Source: J.P. MorganExhibit 5: The dollar is undershooting relative to growth differentials, but t

51、he magnitude is modest at just under 1 sigma 6m change in USD TWI (%) adjusted for changes in US-global growth FRI and the global FRItrajectory for USD8FX forecast revisions are modest but take their cue from the6pro-risk bias highlighted earlier. Relative to our 2020 FX4Annual Outlook from November

52、, the broad dollartrajectory is marked slightly weaker, but still pencils in2modest 1.8% strength over the course of the year.0Despite the substantial market moves since we published in November, we make only a few changes to the suite of-2 forecasts. We adjust CAD, COP, ARS and mark to market-4 sev

53、eral EMEA currencies.-6 USD TWI Model201620182020Source: J.P. MorganG10: mostly unchangedEUR: mildly constructive forecast based on eventual lessening cyclical headwinds. 1Q20 at 1.12, 4Q at 1.14.JPY: Forecasts remain flat at 109 in 1H20 and 110 in 2H. Geopolitical risks will remain important but un

54、hedged portfolio outflows remain the key structural driver of forecasts.GBP: Forecasts are unchanged, but no-deal risk remains throughout 2020 trade negotiations. 4Q for cable at 1.33 and 0.86 for EUR/GBP.CHF: remain constructive based on favorable BoP dynamics. EUR/CHF 2Q20 at 1.09, 4Q at 1.08. 0.9

55、5 by year-end for USD/CHF.AUD & NZD: Maintain bearish bias as both central banks projected to continue easing in 2020. AUD/USD 1Q 0.67 and 0.64 by year-end. NZD/USD 0.64 and 0.62 over the same window.NOK & SEK: Unchanged. EUR/NOK 2Q at 9.70; EUR/SEK 2Q at 10.50. Bullish on NOK but bearish bias on SE

56、K.With only CAD getting near-term upgradeCAD: 1Q set to 1.32 from 1.36 as BoC turn-of-year dovishness delayed. Q4 projects up to 1.36 based on local domestic drags in a late-cycle environment.EM FX: only modest changes; add to OW EM FXEMEA: Turned modestly overweight. CZK, PLN and HUF marked 1.3% st

57、ronger vs EUR on average on mark-to-market. EUR/CZK (2Q20 at 25 vs 25.5), EUR/PLN (4.30 vs 4.35) and EUR/RON (338 vs 340). USD/RUB (65.50 vs 66).Latam: Stay overweight. Maintain BRL and MXN lower vs USD. USD/BRL at 4.30 by year-end, and USD/MXN to 20.00. USD/COP revised to 3450 year- end on firmer o

58、il (from 3600). USD/ARS revised from 88 to 80 on stability from central bank ahead of restructuring talks.Asia: Overweight via bullish CNH expressions. No changes to forecasts following progress on US-China Phase I. USD/CNY unchanged and flat at 7.10 into 4Q20; 2Q at 6.98. USD/IDR (14300 in 4Q), USD

59、/KRW (1185 in 4Q), USD/SGD (1.40 vs 1.41) and USD/THB (30.60 4Q).Meera Chandan (44-20) 7134-2924 HYPERLINK mailto:meera.chandan meera.chandanGlobal FX Strategy14 January 2020Tracking economic momentum on Daily FX Alpha chartpackThomas Anthonj (44-20) 7742-7850 HYPERLINK mailto:thomas.e.anthonj thoma

60、s.e.anthonjTechnicalsJPMQUSD: The latest break below 100.41 (June 2019 low) didnt meet enough follow-up to also break key- support between 99.98 and 99.68 (int. 38.2 %/2019 low). Ultimately we are now looking for a range breakout between 101.35 (minor 38.2 %) and 99.68 to support a stronger countert