耶伦面对格林斯潘难题 Treasury markets complacent over Fed rate strategy

The FederAl Reserve is preparing to lift interest rates later this year, but many bond investors predict that chairwoman Janet Yellen will confront a puzzle that stumped one of her most famous predecessors.

美联储(fed)准备今年晚些时候加息，但许多债券投资者预测，美联储主席珍妮特•耶伦(Janet Yellen)将面临一个曾难倒她的一位最著名前任的难题。

In 2005 Fed chairman Alan Greenspan — then known for his gnomic but omniscient air — highlighted how the 10-year Treasury yield had shrugged off hefty increases in the US central bank’s benchmark interest rate, and called it a “conundrum”.

前美联储主席艾伦•格林斯潘(Alan Greenspan)以惜字如金但又散发着无所不知的气场闻名。2005年，时任美联储主席的他强调指出，面对大幅提高的美联储基准利率，10年期美国国债收益率无动于衷，并称之为“谜题”。

It looks like Ms Yellen could face a conundrum of her own. Although longer-term interest rates have jumped in recent months, the difference between shorter and longer-dated maturities remains low in light of the looming hikes, and the Fed’s desire to also see longer- term rates rise.

耶伦看来可能将面临自己的谜题。考虑到即将到来的加息，以及美联储同样希望看到较长期利率上升的愿望，尽管长期利率近几个月已经大幅上升，但较短期限与较长期限债券之间的收益率仍然相差不大。

The “spread” of the 30-year Treasury yield over the five-year yield has climbed from a low of just 102 basis points at the start of the year to 149bps, but that is still well below the 250 bps points touched at the end of 2013. Treasury forwards also indicate that investors are betting on the difference between short and longer-dated yields narrowing again in the coming years.

30年期国债与5年期国债的收益率差已经从年初仅102个基点的低位升至149个基点，但这仍远低于2013年底达到的250个基点。国债远期合约也表明，投资者正在押注未来几年短期与较长期国债间的收益率差再次缩小。

Ms Yellen herself does not appear to expect a replay of the conundrum that befuddled her predecessor. In a recent speech she warned that the “term premium” — the extra interest investors demand for lending over longer maturities — has come down dramatically, but expressed more concern that it could rocket higher once the Fed starts raising rates. Indeed, her comments contributed to the spread widening.

耶伦自己似乎并未预料到曾让其前任迷惑的难题的再次出现。她在最近一次演讲中警告称，“期限溢价”（term premium，指投资者购买较长期限债券时索取的额外利息）已大幅下降，但对一旦美联储启动加息、期限溢价可能大幅上升表达了更多的担忧。事实上，她的言论已经导致了收益率差的扩大。

Yet some indicate she might be too sanguine. In a 2012 paper, Daniel Thornton at the St Louis Fed’s research division, noted that link between the Fed fund rate and the 10-year Treasury yield had actually begun to disconnect as early as the late 1980s.

然而，一些人暗示，她可能过于乐观了。在2012年的一篇论文中，圣路易斯联邦储备银行(St Louis Fed)研究部的丹尼尔•桑顿(Daniel Thornton)指出，联邦基金利率与10年期美国国债收益率之间的关联，实际上早在上世纪80年代末就已开始脱钩。

“The major implication of this research is that the Fed’s interest rate policy may be much less effective than previously thought,” he concluded.

“这一研究结果的主要揭示在于，美联储利率政策的作用可能远远不及先前的想象，”他总结道。

For investors this is entirely unsurprising. They point out that while the US central bank can lift its Fed funds target, longer-term interest rates are mostly determined by longer-term factors, such as the economic outlook, inflation forecasts, demographics or global savings.

对投资者来说，这毫不足以为奇。他们指出，虽然美联储能够上调联邦基金目标利率，但较长期利率主要取决于较长期因素，如经济前景、通胀预期、人口结构或全球储蓄。

David Kelly, chief global strategist at JPMorgan Asset Management, estimates that for every 1 percentage point change in the Fed funds rate — the main central bank interest rate target — longer-term interest rates on US Treasuries have over the past two decades risen by just 22 basis points on average.

摩根大通资产管理(JPMorgan Asset Management)首席全球策略师大卫•凯利(David Kelly)估计，联邦基金利率（美联储主要利率目标）每上调1个百分点，较长期美国国债收益率在过去20年间平均仅上升了22个基点。

Analysts at Bank of America Merrill Lynch notes that the prevailing view among their clients is that the looming rate cycle “once again would show little increase in long term interest rates”. Indeed, some investors believe that longer-term Treasury yields could actually fall as the Fed tightens monetary policy, as that would signal that the central bank’s officials are serious about controlling inflation, which hurts bond returns.

美银美林(Bank of America Merrill Lynch)的分析师指出，其客户中流行的看法是，即将到来的加息周期“将再次出现长期利率几近于零的增长”。实际上，一些投资者认为，随着美联储收紧货币政策，较长期国债收益率实际可能会下降，因为收紧货币将表明美联储官员们控制通胀的决心，而这会损害债券收益。

That would mean that the “yield curve” of US interest rates will flatten as longer-term yields stay steady or fall to near short term rates — or even invert. “I think it will be very difficult to engineer a steepening of the curve,” says Pascal Blanqué, chief investment officer at Amundi, the French asset manager.

这意味着，随着较长期收益率保持稳定或下降至接近（甚至反而低于）短期收益率，美国利率的“收益率曲线”将趋于平坦。法国资产管理公司Amundi首席投资官帕斯卡尔•布朗克(Pascal Blanqué)说：“我认为，要使这一曲线变陡将非常困难。”

Nonetheless, investors should be wary of being too confident that the Fed is powerless in preventing another conundrum. If longer-term Treasury bonds blow raspberries at any interest rate increases, it could encourage the central bank to tighten monetary policy less gently than currently planned.

尽管如此，投资者应该避免过于相信美联储无力破解新一轮难题。如果面对任何加息，长期国债都无动于衷，这会鼓励美联储在收紧货币政策时力度比当前计划中的更强些。

“If the Fed tightens and the long end actually comes down significantly, then it would embolden the Fed,” says Eric Stein of Eaton Vance.

亿廷繁世(Eaton Vance)的埃里克•斯泰因(Eric Stein)说：“如果美联储收紧政策，而长期国债收益率实际上大幅下降，那么这将会使美联储更加大胆。”

Moreover, the US central bank still sits on a $4tn portfolio of Treasuries, agency debt and mortgage-backed bonds acquired in its quantitative easing programme, a potentially potent tool to control monetary policy.

此外，美联储仍坐拥4万亿美元的资产组合，包括在量化宽松计划中购买的美国国债、机构债以及抵押贷款支持债券，这是控制货币政策的潜在有力工具。

While the current assumption is that the Fed will carefully deflate its holdings through a gradual end to reinvesting coupons and repayments, if the Treasury market proves as stubbornly unwilling to climb as it was in the noughties — reprising the “Greenspan conundrum” — then officials could sanction the sales of some of these assets.

虽然目前的假设是，如果事实证明美国国债收益率像21世纪头10年间那样顽固地不愿上升，从而重现“格林斯潘谜题”，那么，美联储官员可能批准出售这些资产中的一部分，美联储将逐步结束对收到的利息和还款进行再投资，而小心地减持这些资产。

“Before, Greenspan could say he didn’t have the tools to send the long end up, but now they have $4tn of bonds they could sell to engineer a steeper curve,” Mr Kelly points out.

“以前，格林斯潘可以说，他没有手段让较长期国债收益率上升，但现在他们有4万亿美元的债券可以出售，以将曲线拉陡，”凯利指出。

Some investors therefore fear that markets are still far too sanguine about the impact of Fed interest rate increases, and do not see a redux of the flattening yield curve that baffled Mr Greenspan.

因此，一些投资者担心，市场对美联储加息的影响仍过于乐观，而没有看到困扰格林斯潘的平坦收益率曲线的回归。

“There is far too much complacency in markets,” Gibson Smith, chief investment officer for fixed income at Janus, warned a mutual fund conference last week. “We’ve seen a lot of people lulled into believing that interest rates will be low for longer, or even for ever . . . I think we will see steepening across the curve.”

在日前的一个共同基金会议上，骏利资产管理基金(Janus)固定收益业务首席投资官吉布森•史密斯(Gibson Smith)警告称：“现在市场中有太多的自满情绪。我们已经看到很多人被误导，认为利率将会在更长期限或者甚至永久期限上保持在低位……我认为我们将看到整条曲线变陡峭。”