Page 30 - CCFA Journal - Ninth Issue

风险管理 Risk Management 加中金融

This time, no one knows how long QT2 will last. It will take a 没有人知道这次 QT 能持续多久。将美联储有意将抵押贷
very long time to reduce the Fed’s mortgage-backed securities 款支持证券投资组合从 5 月份的 2.7 万亿美元减少到零，
portfolio from $2.7 trillion during May back down to zero, 这将需要很长时间。同样将美联储持有的国债从 5 月份的
which is the intention suggested by some Fed officials. The 5.8 万亿美元减少到 2.4 万亿美元即大流行前 2020 年 1 月
same can be said about reducing the Fed’s holdings of 的水平同样需要很长时间。
Treasuries from $5.8 trillion during May to $2.4 trillion, which
is where it was during January 2020 just before the pandemic. 我 们 担 心 ， 现 在 主 要 央 行 必 须 取 消 自 大 金 融 危 机
（“GFC”）以来提供的宽松，资产价格仍存在很大下
We are worried that there is still a lot of downside in asset
prices now that the major central banks must remove the 行空间，未来债券市场可能会经历更多波动。摩根大通
“punch bowls” they’ve provided since the Great Financial 首席执行官 Jaime Diamond 表示：“在全球金融危机期间，
Crisis (“GFC”), and it is possible to experience more volatility 中央银行、商业银行和外汇交易公司是国债的三大买家。
in the bond market going forward. Jaime Diamond, CEO of JP 这一次，这些参与者将没有能力或愿望吸收那么多的美
Morgan observed: “Central banks, commercial banks, and 国债券。这是全球资金流动的巨大变化。
foreign exchange trading firms were the three major buyers 欧盟委员会预计，欧盟将在今年年底陷入衰退，然后在
of Treasury securities during the GFC. This time, these players
won’t have the capacity or desire to soak up as many U.S. 明年春天恢复正增长。美国和加拿大是否会面临经济衰
bonds. That’s a huge change in the flow of funds around the 退将主要取决于通胀和加息。
world.” 俄乌战争重创了欧盟经济，其影响——能源危机、原材

The European Commission expects the EU to head into 料成本飙升——可能大部分都被消化了。但是，政府将
recession at the end of this year, before returning to positive 在多大程度上削减工业的能源投入以满足住宅用途，取
growth next spring. Whether the U.S. and Canada are going to 决于战争的发展，冬季温度等。尽管有一些关于谈判的
face recessions would mostly depend on inflation and rate 讨论，并且没有迹象表明战争升级，但制裁及其影响可
hikes. 能至少持续到 2023 年下半年。但是，情况随时可能恶化。

The Russia/Ukraine war has pummelled the EU economy, and 对大宗商品价格的影响特别是食品和燃料价格的影响是
its effects – energy crisis, soaring raw material costs – may 巨大的。这是第二次世界大战以来最严重的欧洲冲突所
have been mostly priced in. But to what extent the 造成的破坏石油价格不得不上涨。大宗商品价格推高可
governments are going to cut energy input for industries to 以归咎于俄乌战争。如果战争继续下去，推高通货膨胀
meet residential uses depend on the development of the war, 和短缺导致经济衰退的风险。由于利率上升和政府大流
winter temperature, etc. Although there are some talks about 行援助计划用尽，消费者支出也可能会恶化。
negotiations, and no indications of escalations of the war,
sanctions and their effects are likely to last at least well into 通货膨胀： 世界石油和天然气价格是通货膨胀的关键因
the back half of 2023. However, the situation can deteriorate 素。对俄罗斯石油的制裁可能大部分是定价的。在需求
anytime. 方面，美国汽油消费量似乎呈下降趋势。截至 2019 年，
美国 5 年平均每月汽油消费量为 9.28 MMB / d。截至 11 月
The impact of the Ukraine war on commodity prices,
especially for food and fuel has been significant. Oil had to 4 日，2022 年平均值仅为 8.74 MMB/d。此外，今年到目
increase in price because of disruptions caused by the worst 前为止，最大每周消费量为 9.47 MMB / d，低于五年中的
European conflict since World War II. The Ukraine war can be 任何一年。但是，这种比较并不能控制大流行和通货膨
blamed for driving up commodity prices. If the war continues 胀因素。 在供应方面，欧佩克组织近年来成功合作减产，
to go on it could push commodity prices higher, boosting both 防止油价下跌。美国生产商似乎也有一个有效的反馈系
inflation and the risk of a recession caused by shortages. 统来调整他们的产量，以保持油价高于一定水平。他们
Consumer spending is likely to deteriorate due to the raising 的储量和产能足以增加产量。
interest rates and as government pandemic assistance
programs are exhausted.

Inflation. World oil and natural gas prices are key factors for
inflation. Sanctions on Russian oil may have been mostly
priced in. On the demand side, it seems the U.S. gasoline
consumptions are trending lower. The 5-year average
monthly gasoline consumptions up to 2019 in the U.S. was
9.28 MMB/d . As of November 4, the 2022 average was only
8.74 MMB/d. In addition, max weekly consumption was 9.47
MMB/d so far this year, lower than any of the five years. This
comparison doesn’t control for the pandemic and inflation
factors, though. On the supply side, OPEC+ has cooperated
successfully in cutting production to prevent oil prices from
falling in recent years. U.S. producers also seem to have an
effective feedback system to adjust their production to keep
oil prices above certain levels. Their reserves and dug wells
are enough to increase production.

CCFA JOURNAL OF FINANCE December 2022
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