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收益率曲線倒掛令市場恐慌,但這并不意味著一定會(huì)發(fā)生經(jīng)濟(jì)衰退

Lee Clifford
2022-04-06

收益率曲線倒掛確實(shí)是危險(xiǎn)信號(hào),這或許意味著投資者可以利用這個(gè)機(jī)會(huì)買入價(jià)值股,或者構(gòu)建防御性倉位。

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俄烏沖突引發(fā)的全球動(dòng)蕩、新冠疫情導(dǎo)致的新一輪封城和持續(xù)的供應(yīng)鏈混亂似乎還不夠嚴(yán)重,現(xiàn)在市場需要應(yīng)對(duì)另一個(gè)危險(xiǎn)信號(hào)。3月31日晚些時(shí)候,債券市場的收益率曲線在連續(xù)多日反復(fù)逼近里程碑點(diǎn)位之后,突然出現(xiàn)倒掛。2年期美國國債的收益率為2.337%,10年期國債的收益率下降至2.331%,變成了負(fù)利差。

收益率倒掛是一個(gè)危險(xiǎn)信號(hào),這意味著市場預(yù)期經(jīng)濟(jì)狀況惡化,并且結(jié)束了標(biāo)準(zhǔn)普爾500指數(shù)(S&P 500)兩年來最糟糕的一個(gè)季度。道瓊斯指數(shù)(Dow Jones)當(dāng)日收盤下跌1.56%,跌至34678點(diǎn),標(biāo)準(zhǔn)普爾500指數(shù)收盤下跌1.57%,跌至4530點(diǎn),納斯達(dá)克綜合指數(shù)(Nasdaq Composite)下跌1.54%,收于14220.52點(diǎn)。下文介紹了投資者需要知道的與收益率曲線倒掛有關(guān)的知識(shí),包括它曾經(jīng)多少次準(zhǔn)確預(yù)測經(jīng)濟(jì)衰退,以及這對(duì)于股市的未來行情而言意味著什么。

什么是收益率曲線倒掛?

在“正?!笔袌霏h(huán)境下,短期債券的收益率低于長期債券。這很有道理吧?2019年,《財(cái)富》雜志曾經(jīng)在我們上一次見證收益率曲線倒掛時(shí)解釋過:“收益率曲線是比較不同期限國債利率的方法,比如說美國國債。在正常市場中,長期債券的利率(也就是收益率)應(yīng)該高于短期債券的利率,因?yàn)橥顿Y者買長期債券要鎖定更長時(shí)間,期望獲得更高回報(bào)?!?/p>

陡峭的收益率曲線表明投資者預(yù)期未來經(jīng)濟(jì)活躍。當(dāng)天平突然反轉(zhuǎn)時(shí),就會(huì)出現(xiàn)收益率曲線倒掛。2年期國債的利率突然高于10年期國債。這表明投資者預(yù)期經(jīng)濟(jì)增速放緩,認(rèn)為短期經(jīng)濟(jì)狀況好于長期狀況。

為什么現(xiàn)在會(huì)發(fā)生收益率曲線倒掛?

這是受到了多個(gè)因素的影響。債券價(jià)格波動(dòng)與收益率呈相反方向,當(dāng)債券需求下降時(shí),收益率上漲(反之,當(dāng)價(jià)格上漲時(shí),收益率下降)。Commonwealth Financial Network的全球投資策略師阿努·賈格加爾在最近的一份報(bào)告中寫道,今年美聯(lián)儲(chǔ)(Federal Reserve)為抑制通脹連續(xù)加息,導(dǎo)致債券的短期收益率和市場價(jià)格上漲,雖然長期利率也有所上浮,但幅度相對(duì)較小。他提出了出現(xiàn)這種狀況的四個(gè)原因:

1. 退休基金需要利用長期債券,將其負(fù)債期限與資產(chǎn)相匹配。退休基金多年來從股票投資中獲得了豐厚回報(bào),他們也希望去風(fēng)險(xiǎn)化。

2. 各國央行普遍持有美國國債,這一方面是因?yàn)槊涝膬?chǔ)備貨幣地位,另一方面美國國債的交易利率高于大多數(shù)發(fā)達(dá)國家發(fā)行的國債。

3. 美聯(lián)儲(chǔ)在今年3月召開最新會(huì)議之前一直在購買國債,旨在為新冠疫情之后的經(jīng)濟(jì)復(fù)蘇注入流動(dòng)性。

4. 隨著地緣政治風(fēng)險(xiǎn)增加,美國國債變成了投資者的避風(fēng)港。

收益率曲線倒掛是否總是意味著即將出現(xiàn)經(jīng)濟(jì)衰退?

并非如此。

賈格加爾寫道:“收益率曲線趨于平坦和最終倒掛,是經(jīng)濟(jì)從中周期向后周期轉(zhuǎn)變的象征?!彪S著在中周期中經(jīng)濟(jì)復(fù)蘇有所起色,市場開始考慮美聯(lián)儲(chǔ)加息的影響。在后周期,市場開始擔(dān)心更緊縮的貨幣政策可能抑制經(jīng)濟(jì)增長,導(dǎo)致經(jīng)濟(jì)陷入低迷。收益率曲線倒掛被普遍認(rèn)為是經(jīng)濟(jì)衰退的預(yù)兆。

賈格加爾在報(bào)告中指出:“自1900年以來共出現(xiàn)過28次收益率曲線倒掛;其中22次隨后發(fā)生了經(jīng)濟(jì)衰退?!?/p>

美聯(lián)儲(chǔ)最近的動(dòng)作對(duì)收益率曲線有哪些影響?

有一種有趣的理論認(rèn)為,美聯(lián)儲(chǔ)的大規(guī)模購債計(jì)劃對(duì)收益率產(chǎn)生了極大影響。據(jù)美國消費(fèi)者新聞與商業(yè)頻道(CNBC)報(bào)道,投資管理公司Richard Bernstein Associates曾經(jīng)進(jìn)行過計(jì)算,“如果美聯(lián)儲(chǔ)沒有執(zhí)行量化寬松,10年期國債收益率就可能接近3.7%。如果沒有央行的購債計(jì)劃,2年期和10年期國債的收益率曲線就極有可能相差100個(gè)基點(diǎn),而不是倒掛。(1個(gè)基點(diǎn)相當(dāng)于0.01%。)”

收益率曲線倒掛是否意味著股市即將崩盤?

如果你聽說過這樣一句話:“不要預(yù)測市場時(shí)機(jī)?!蹦敲磸氖找媛是€倒掛與隨后的股市拋售之間的時(shí)間差中就能夠看出,判斷股市崩盤何時(shí)會(huì)發(fā)生是多么困難的一件事情。賈格加爾的研究認(rèn)為,“即使發(fā)生收益率曲線倒掛,這并不意味著一定要處置股票等高風(fēng)險(xiǎn)資產(chǎn)。后周期與周期末不同,而且股票可以繼續(xù)提供正向收益。在1975年發(fā)生的6次收益率曲線倒掛中,全球股市在發(fā)生倒掛之后的12個(gè)月總體呈上漲趨勢?!?/p>

然而,賈格加爾寫道:“雖然發(fā)生收益率曲線倒掛之后股市上漲,但回報(bào)率普遍低于發(fā)生倒掛之前的水平。在收益率曲線倒掛發(fā)生后的12個(gè)月,防御性板塊的表現(xiàn)通常優(yōu)于周期性板塊?!?/p>

所以收益率曲線倒掛確實(shí)是危險(xiǎn)信號(hào)。這或許意味著投資者能夠利用這個(gè)機(jī)會(huì)買入價(jià)值股,或者構(gòu)建防御性倉位。但這并不是開始恐慌的信號(hào)。(財(cái)富中文網(wǎng))

譯者:劉進(jìn)龍

審校:汪皓

俄烏沖突引發(fā)的全球動(dòng)蕩、新冠疫情導(dǎo)致的新一輪封城和持續(xù)的供應(yīng)鏈混亂似乎還不夠嚴(yán)重,現(xiàn)在市場需要應(yīng)對(duì)另一個(gè)危險(xiǎn)信號(hào)。3月31日晚些時(shí)候,債券市場的收益率曲線在連續(xù)多日反復(fù)逼近里程碑點(diǎn)位之后,突然出現(xiàn)倒掛。2年期美國國債的收益率為2.337%,10年期國債的收益率下降至2.331%,變成了負(fù)利差。

收益率倒掛是一個(gè)危險(xiǎn)信號(hào),這意味著市場預(yù)期經(jīng)濟(jì)狀況惡化,并且結(jié)束了標(biāo)準(zhǔn)普爾500指數(shù)(S&P 500)兩年來最糟糕的一個(gè)季度。道瓊斯指數(shù)(Dow Jones)當(dāng)日收盤下跌1.56%,跌至34678點(diǎn),標(biāo)準(zhǔn)普爾500指數(shù)收盤下跌1.57%,跌至4530點(diǎn),納斯達(dá)克綜合指數(shù)(Nasdaq Composite)下跌1.54%,收于14220.52點(diǎn)。下文介紹了投資者需要知道的與收益率曲線倒掛有關(guān)的知識(shí),包括它曾經(jīng)多少次準(zhǔn)確預(yù)測經(jīng)濟(jì)衰退,以及這對(duì)于股市的未來行情而言意味著什么。

什么是收益率曲線倒掛?

在“正常”市場環(huán)境下,短期債券的收益率低于長期債券。這很有道理吧?2019年,《財(cái)富》雜志曾經(jīng)在我們上一次見證收益率曲線倒掛時(shí)解釋過:“收益率曲線是比較不同期限國債利率的方法,比如說美國國債。在正常市場中,長期債券的利率(也就是收益率)應(yīng)該高于短期債券的利率,因?yàn)橥顿Y者買長期債券要鎖定更長時(shí)間,期望獲得更高回報(bào)。”

陡峭的收益率曲線表明投資者預(yù)期未來經(jīng)濟(jì)活躍。當(dāng)天平突然反轉(zhuǎn)時(shí),就會(huì)出現(xiàn)收益率曲線倒掛。2年期國債的利率突然高于10年期國債。這表明投資者預(yù)期經(jīng)濟(jì)增速放緩,認(rèn)為短期經(jīng)濟(jì)狀況好于長期狀況。

為什么現(xiàn)在會(huì)發(fā)生收益率曲線倒掛?

這是受到了多個(gè)因素的影響。債券價(jià)格波動(dòng)與收益率呈相反方向,當(dāng)債券需求下降時(shí),收益率上漲(反之,當(dāng)價(jià)格上漲時(shí),收益率下降)。Commonwealth Financial Network的全球投資策略師阿努·賈格加爾在最近的一份報(bào)告中寫道,今年美聯(lián)儲(chǔ)(Federal Reserve)為抑制通脹連續(xù)加息,導(dǎo)致債券的短期收益率和市場價(jià)格上漲,雖然長期利率也有所上浮,但幅度相對(duì)較小。他提出了出現(xiàn)這種狀況的四個(gè)原因:

1. 退休基金需要利用長期債券,將其負(fù)債期限與資產(chǎn)相匹配。退休基金多年來從股票投資中獲得了豐厚回報(bào),他們也希望去風(fēng)險(xiǎn)化。

2. 各國央行普遍持有美國國債,這一方面是因?yàn)槊涝膬?chǔ)備貨幣地位,另一方面美國國債的交易利率高于大多數(shù)發(fā)達(dá)國家發(fā)行的國債。

3. 美聯(lián)儲(chǔ)在今年3月召開最新會(huì)議之前一直在購買國債,旨在為新冠疫情之后的經(jīng)濟(jì)復(fù)蘇注入流動(dòng)性。

4. 隨著地緣政治風(fēng)險(xiǎn)增加,美國國債變成了投資者的避風(fēng)港。

收益率曲線倒掛是否總是意味著即將出現(xiàn)經(jīng)濟(jì)衰退?

并非如此。

賈格加爾寫道:“收益率曲線趨于平坦和最終倒掛,是經(jīng)濟(jì)從中周期向后周期轉(zhuǎn)變的象征。”隨著在中周期中經(jīng)濟(jì)復(fù)蘇有所起色,市場開始考慮美聯(lián)儲(chǔ)加息的影響。在后周期,市場開始擔(dān)心更緊縮的貨幣政策可能抑制經(jīng)濟(jì)增長,導(dǎo)致經(jīng)濟(jì)陷入低迷。收益率曲線倒掛被普遍認(rèn)為是經(jīng)濟(jì)衰退的預(yù)兆。

賈格加爾在報(bào)告中指出:“自1900年以來共出現(xiàn)過28次收益率曲線倒掛;其中22次隨后發(fā)生了經(jīng)濟(jì)衰退。”

美聯(lián)儲(chǔ)最近的動(dòng)作對(duì)收益率曲線有哪些影響?

有一種有趣的理論認(rèn)為,美聯(lián)儲(chǔ)的大規(guī)模購債計(jì)劃對(duì)收益率產(chǎn)生了極大影響。據(jù)美國消費(fèi)者新聞與商業(yè)頻道(CNBC)報(bào)道,投資管理公司Richard Bernstein Associates曾經(jīng)進(jìn)行過計(jì)算,“如果美聯(lián)儲(chǔ)沒有執(zhí)行量化寬松,10年期國債收益率就可能接近3.7%。如果沒有央行的購債計(jì)劃,2年期和10年期國債的收益率曲線就極有可能相差100個(gè)基點(diǎn),而不是倒掛。(1個(gè)基點(diǎn)相當(dāng)于0.01%。)”

收益率曲線倒掛是否意味著股市即將崩盤?

如果你聽說過這樣一句話:“不要預(yù)測市場時(shí)機(jī)?!蹦敲磸氖找媛是€倒掛與隨后的股市拋售之間的時(shí)間差中就能夠看出,判斷股市崩盤何時(shí)會(huì)發(fā)生是多么困難的一件事情。賈格加爾的研究認(rèn)為,“即使發(fā)生收益率曲線倒掛,這并不意味著一定要處置股票等高風(fēng)險(xiǎn)資產(chǎn)。后周期與周期末不同,而且股票可以繼續(xù)提供正向收益。在1975年發(fā)生的6次收益率曲線倒掛中,全球股市在發(fā)生倒掛之后的12個(gè)月總體呈上漲趨勢?!?/p>

然而,賈格加爾寫道:“雖然發(fā)生收益率曲線倒掛之后股市上漲,但回報(bào)率普遍低于發(fā)生倒掛之前的水平。在收益率曲線倒掛發(fā)生后的12個(gè)月,防御性板塊的表現(xiàn)通常優(yōu)于周期性板塊?!?/p>

所以收益率曲線倒掛確實(shí)是危險(xiǎn)信號(hào)。這或許意味著投資者能夠利用這個(gè)機(jī)會(huì)買入價(jià)值股,或者構(gòu)建防御性倉位。但這并不是開始恐慌的信號(hào)。(財(cái)富中文網(wǎng))

譯者:劉進(jìn)龍

審校:汪皓

As if global unrest over the invasion of the Ukraine, new COVID lockdowns around the world, and continued supply chain tangles weren't enough, now the markets have another red flag to contend with. Late March 31 after flirting with the milestone for days, the bond market's yield curve inverted. The yield on the two-year Treasury was at 2.337% while the yield on the 10-year Treasury fell to 2.331%, turning the spread negative.

The inversion is warning signal that the markets are expecting the economy to worsen, and served as a fitting end to the worst quarter for the S&P 500 in two years. The Dow Jones ended the day down 1.56% at 34,678, the S&P 500 lost 1.57% to close at 4,530 and the Nasdaq Composite fell 1.54% to end the day at 14,220.52. Here's what investors need to know about the yield curve inversion, how often it has accurately predicted a recession, and what it means for stocks going forward.

What is a yield curve inversion?

In a "normal" market environment, yields for shorter term bonds are lower than those with longer maturities. Makes sense, right? As Fortune explained in 2019 the last time we saw the yield curve invert: "Yield curves are a way of comparing the interest rates of the different maturity-date bonds a country issues—like U.S. Treasurys. In a normal market, interest rates (called yields) for longer-term bonds should be higher than those for shorter-term ones, because investors tie their money up for a longer time and want a greater reward for doing so."

A steep yield curve is a sign that investors are expecting brisk economic activity going forward. But a yield curve inversion is when that equation flips. Suddenly two-year are higher than 10-year rates. That's a sign that investors are expecting a slowing economy—they think short term conditions are better than those further out.

Why is the yield curve inverting now?

There's a combination of factors at work here. Bond prices move in the opposite direction of yields—so when demand for bonds fall, their yields rise (and vice versa, when prices rise, yields fall). Anu Gaggar, Global Investment Strategist for Commonwealth Financial Network wrote in a recent note that shorter term yields have risen as the market prices in a string of rates hikes this year as part of the Fed's campaign to stem inflation, and that longer-term rates have risen as well, but not by as much. He pinpoints four reasons why:

1. There is demand for long-term Treasury paper from pension funds that need to match the duration of their liabilities with their assets. They are also looking to de-risk after a few strong years of returns from their equity holdings.

2. U.S. Treasuries are a popular holding for global central banks, both because of the reserve status of the U.S. dollar and because U.S. Treasuries are trading at higher interest rates than government paper in most developed countries.

3. The Fed was purchasing Treasuries up until the last Fed meeting in March, in order to pump liquidity into an economy recovering from the pandemic.

4. With heightened geopolitical risks, U.S. Treasuries act as a safe haven for investors.

Does a yield curve inversion always mean a recession is coming?

Not always.

"Yield curve flattening and, ultimately, inversion are features of an economy that is shifting gears from midcycle to late cycle," writes Gaggar. The market starts to price in rate hikes by the Fed as the recovery gathers steam during midcycle. In the late cycle, markets begin to fret that tighter monetary policy could take the wind out of the economy and a downturn might be approaching. It is widely believed that an inverted yield curve is a harbinger of recession.

Gaggar reports that there have been "28 instances since 1900 where the yield curve has inverted; in 22 of these episodes, a recession has followed."

How have the Fed's recent actions impacted the yield curve?

One interesting theory is that the Fed's massive bond-buying program has had an outsized effect on yields. Richard Bernstein Associates, an investment manager, calculated that "if the Fed had never engaged in quantitative easing, the 10-year yield could be closer to 3.7%. Were it not for the central bank’s bond-buying program, the yield curve for the 2-year and the 10-year would then be more like 100 basis points apart, instead of inverted. (1 basis point equals 0.01%.)," according to CNBC.

Does a yield curve inversion mean the stock market is going to crash?

If you've ever heard the saying "don't try to time the markets," the lag between an inversion and any resulting selloff is certainly proof of how hard it is to judge when a stock market crash may come. According to Gaggar's research, "even when the yield curve inverts, it’s a poor signal for getting out of risk assets such as equities. Late cycle is not the same as end of cycle, and equities may continue to offer positive returns. In the six episodes of yield curve inversion since 1975, global equities have, in aggregate, risen in the 12-month period after the inversion."

However, "While equities have risen after the yield curve inversion, returns have generally been weaker than the pre-inversion period. Defensive sectors have typically outperformed cyclical sectors in the 12-month succeeding the 2s10s inversion," writes Gaggar.

So yes, an inversion is a red flag. And possibly a signal that it's a good time to rotate into value stocks or position your portfolio defensively. But not a sign to panic.

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