摩根斯丹利-美国干预外汇市场分析框架 (附下载)



Why is intervention being discussed?

The prospect of an intervention by the US to weaken USD remains an oft-discussed market topic. USD has been appreciating on a multiyear basis, particularly against emerging markets, and we estimate that it is currently about 10% overvalued. Moreover, the US administration has expressed concerns over the issues of trade imbalances and foreign currency manipulation.


美国干预削弱美元的前景仍然是一个经常讨论的市场话题。 美元多年来一直在升值,特别是对新兴市场,我们估计目前估值高估了10%左右。 此外,美国政府对贸易不平衡和外汇操纵问题表示担忧。

However, despite increased focus on this topic by investors, we think that the market lacks a comprehensive understanding of how intervention works, and a framework for judging its probability and analyzing its impact.


How to gauge the risks of an impending intervention:

In assessing the likelihood of an intervention, we would look to several factors. If the administration views trade negotiations as making insufficient headway, that there is an increased perception of competitive devaluations abroad, that the Fed is felt to be insufficiently dovish, or if realized data and the economic outlook both soften, the risks of intervention may rise


在评估干预的可能性时,我们会考虑几个因素。 如果政府认为贸易谈判没有取得足够进展,人们对国外竞争性贬值的看法有所增加,美联储感到不够温和,或者如果实现的数据和经济前景都趋于疲软,那么干预的风险可能会上升

The market may be underestimating the ease with which the US can intervene unilaterally. The Secretary of the Treasury, with the approval of the President, can intervene in the FX market without prior Congressional authorization through its Exchange Stabilization Fund (ESF). While US FX policy since 1995 has been passive, with the three subsequent interventions taking place since then (1998, 2000, 2011) being done at the behest of foreign partners and in token amounts, this and the US’ ‘strong dollar’ policy can both be changed unilaterally.

市场可能低估了美国单方面干预的难易程度。 经总统批准,财政部长可以通过其交易稳定基金(ESF)在未经国会授权的情况下干预外汇市场。 虽然自1995年以来的美国外汇政策一直处于被动状态,但随后的三次干预(1998年,2000年,2011年)都是在外国合作伙伴的要求下进行的,并且需要额外的金额,这和美国的“强势美元”政策可以 两者都是单方面改变的。

We estimate that the ESF has US$67.8 billion in assets which can be sold to weaken USD entirely unilaterally. Funding beyond this can be obtained but this requires the assent of the Federal Reserve System, Congress and/or foreign partners. The ESF is fairly unconstrained in the currencies in which it could intervene.

我们估计ESF拥有678亿美元的资产,可以出售以完全单方面削弱美元。 可以获得超出此范围的资金,但这需要得到联邦储备系统,国会和/或外国合作伙伴的同意。 ESF在其可以干预的货币中相当不受限制。

Would an intervention successfully weaken USD?

Not necessarily. We judge the effectiveness of an intervention as driven by three key criteria – the operational parameters of the intervention, the perceived credibility and effectiveness of future US policy action and the response of foreign partners. A USD-weakening intervention is likely to be more successful if it is coordinated (with the Fed and/or with foreign partners), signalled and unsterilized (the Fed’s balance sheet increases).


不必要。 我们判断干预的有效性是由三个关键标准驱动的 – 干预的操作参数,未来美国政策行动的可信度和有效性以及外国合作伙伴的反应。 如果协调(与美联储和/或外国合作伙伴),信号和未消化(美联储的资产负债表增加),美元走弱的干预可能会更成功。

However, for an intervention to weaken USD sustainably, investors would need to view additional policy actions by the US as both more probable and effective in weakening USD, and price this in accordingly. If the intervention is viewed as a ‘one-and-done’, price action would likely be limited.

然而,对于可持续削弱美元的干预措施,投资者需要将美国的其他政策行动视为削弱美元的可能性和有效性,并相应地对此进行定价。 如果干预被视为“一劳永逸”,价格行动可能会受到限制。

The Fed’s response here is critical, and we argue there are good reasons to think the Fed would be reticent to cooperate with the Treasury in a USD-weakening intervention given the potential risks to its credibility in the eyes of the market as an independent body and given that FX is not a formal part of its Congressionally mandated objectives (maximum employment, stable prices and moderate long-term interest rates). To this end, any impact on the Fed’s balance sheet would likely be sterilized. Rhetoric from Congress in response to intervention should also be watched.

美联储在这方面的回应至关重要,我们认为有充分的理由认为美联储在美元削弱干预方面会不愿与美国财政部合作,因为作为一个独立机构,市场可能存在风险。 鉴于外汇不是其国会授权目标的正式部分(最大就业,稳定的价格和适度的长期利率)。 为此,对美联储资产负债表的任何影响都可能会被消毒。 还应该关注国会对干预的回应。