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1、February 5,2022 12:42 AM GMTMatthew.HGuneet.DAndres.JDavid.S.AAndrew.WKelcie.GJames.LEric.OWanting.LGek.Teng.KJohn.KAlina.ZLorenzo.TKoichi.SShoki.OFrancesco.GMORGAN STANLEY&CO.LLCMatthew HornbachSTRATEGIST+1 212 761-1837Guneet Dhingra,CFASTRATEGIST+1 212 761-1445Andres JaimeSTRATEGIST+1 212 296-5570
2、David S.Adams,CFASTRATEGIST+1 212 761-1481Andrew M WatrousSTRATEGIST+1 212 761-5287Kelcie GersonSTRATEGIST+1 212 761-3983MORGAN STANLEY&CO.INTERNATIONAL PLC+James K LordSTRATEGIST+44 20 7677-3254Eric S OynoyanSTRATEGIST+44 20 7425-1945Wanting LowSTRATEGIST+44 20 7425-6841Gek Teng KhooSTRATEGIST+44 2
3、0 7425-3842John KalamarasSTRATEGIST+44 20 7677-2969Alina ZaytsevaSTRATEGIST+44 20 7677-1120Lorenzo TestaSTRATEGIST+44 20 7677-0337MORGAN STANLEY MUFG SECURITIES CO.,LTD.+Koichi SugisakiSTRATEGIST+81 3 6836-8428Shoki OmoriSTRATEGIST+81 3 6836-5466MORGAN STANLEY&CO.LLCFrancesco GrechiSTRATEGIST+1 212
4、761-1009Global Macro StrategistGlobal Macro Strategist|Global GlobalNot in Kansas AnymoreWe think a downside surprise on January US CPI inflation is allthat can save government bonds near term.We still believeinvestors need more term premium to protect against higherinflation,hawkish monetary polici
5、es.Real rates to rise further.Toto,I have a feeling were not in Kansas anymore.Global Macro StrategyWe address the topic of recession and why its still too early to buygovernment bonds.We discuss why higher rates and a smaller balancesheet arent all bad news,as well as when we think G10 central bank
6、 QEholdings will peak(August 2022).Finally,we turn bullish on the EUR.Interest Rate StrategyWe maintain UST 5s30s curve flatteners.We keep our EUR 10y10y swappayer and our long EUR 5y5y inflation.We keep our short EGB trades:short OAT vs Bund and EU,short 5y Bono ASW and our long Sep 22FRA/str basis
7、.We enter a short US 10y notes vs Bund.In the UK,we closeour GBP 1y1y vs EUR 4y1y and GBP 2s10s steepeners.We keep Sep 22 MPCreceivers vs Sep 23 Sonia future.We maintain long 20y JGB ASW vs TONAOIS and receive 1y1y vs pay 5y5y.Currency&Foreign ExchangeWe turn bullish the EUR amid ECB hawkishness,but
8、 stay neutral on theUSD ahead of US CPI.We recommend long EUR versus GBP,JPY,and USD,but stay long USD/JPY too.SEK may gain as hawkish Riksbank expectationsrise.Go short CHF/SEK.Asset sales from the BoC,RBNZ,and BoE may becoming this year.Stay long AUD/NZD.We discuss if JPY could lose itsfunding cur
9、rency status or not.Inflation-Linked BondsWe maintain short 5y TIPS vs long DBRis,and short 5y TIPS vs.EDZ3(Dv01ratio 0.8:1).We look at the prospects for an upside surprise in January CPI,and explore two feedback loops for inflation in the US.We see Japan BEIcontinuing to rise post-Feb re-open aucti
10、on.We maintain long JBI26 BEI.Short-Duration StrategyWe continue to recommend paying H3 SOFR/FF basis and selling 12m T-bills vs OIS.We consider how different paths of Treasury coupon issuanceimpact T-bill issuance,and in turn,how this could affect whether reservesor RRP fall first in QT.Please clic
11、k here if you would like to receive the daily Global Macro Commentary.Morgan Stanley does and seeks to do business withcompanies covered in Morgan Stanley Research.As aresult,investors should be aware that the firm may have aconflict of interest that could affect the objectivity ofMorgan Stanley Res
12、earch.Investors should considerMorgan Stanley Research as only a single factor in makingtheir investment decision.For analyst certification and other important disclosures,refer to the Disclosure Section,located at the end of thisreport.+=Analysts employed by non-U.S.affiliates are notregistered wit
13、h FINRA,may not be associated persons ofthe member and may not be subject to FINRA restrictionson communications with a subject company,publicappearances and trading securities held by a researchanalyst account.1终生学习成长计划立即扫码获取更多报告、方案、文档、模板一切报告均为公开发行版本，一切权力归原作者所有，仅作内部使用！每日分享报告！每周更新报告、方案、文档、模板目录 Globa
14、l Macro StrategyMORGAN STANLEY&CO.LLCMatthew HornbachMatthew.H+1 212 761-1837David S.Adams,CFADavid.S.A+1 212 761-1481Andrew WatrousAndrew.W+1 212 761-5287 Too Early to Talk Recession.The past week saw an uptick in news stories covering inflation and also recession(seeExhibit 1 and Exhibit 2).We fie
15、lded many questions about recession probabilities andwhat our models suggested for them.The US nonfarm payroll report for January mayprevent these concerns from growing further,at least for now.We think its too early to talk about recession when activity data is strong,but especiallywhen many centra
16、l banks have yet to even begin tightening monetary policy.Financialconditions may be tighter than last year,true,but they are only tighter on the margin.They are far from tight when placed into any historical context.So why have investors been asking about recession?First,yields curves have beenflat
17、tening as central banks have turned more hawkish both in rhetoric and in policyaction.As yield curves flatten and eventually invert,models that impute the probabilityof recession from yield curves start flashing red.Exhibit 3 shows the New York Feds probit model output,which relies on the shape ofth
18、e Treasury yield curve.While the Treasury curve is far from inverting,other curves likereds-greens and greens-blues Eurodollar futures curves are almost inverted(Exhibit 4).Exhibit 1:Daily story count on the topic of inflation fromall media sources6,56202,0004,0006,0008,00010,00012,00014,00016,000Fe
19、b-20Aug-20Feb-21Aug-21Feb-22Inflation story count from all sources*1MMADaily story countSource:Morgan Stanley Research,Bloomberg*NT function on BloombergExhibit 2:Daily story count including the word recessionfrom all media sources01,0002,0003,0004,0005,0006,0007,0008,0009,00010,000Feb-20Aug-20Feb-2
20、1Aug-21Feb-22Recession story count from all sources*1MMADaily story countSource:Morgan Stanley Research,Bloomberg*NT function on Bloomberg2We dont think investors should worry about yield curve flattening at least not yet.The yield curve simply tells whether Fed policy is in restrictive territory(an
21、 invertedcurve)or in accommodative territory(a positively sloped curve).And just because policy is restrictive doesnt mean the economy is close to a recession.The intent of restrictive policy is to weigh on demand and economic activity.Whetherthat puts an economy into recession depends on how quickl
22、y the economy is growing.Restrictive policy applied to an economy growing at 4.6%Y/Y in real terms-what oureconomists envision for the US economy in 2022-is different than restrictive policyapplied to an economy growing at 2%Y/Y-the economy that existed pre-pandemic.Second,consumer confidence appear
23、s under stress.Consumers neither have enjoyedhigher prices for goods nor the constant threats posed by COVID-19.Our model for theUS consumer suggests they should be more confident than the indexes indicate.Exhibit 3:Probability of a US recession in 12 months6.00102030405060708090100Feb-02Feb-06Feb-1
24、0Feb-14Feb-18Feb-22RecessionProbability of recession in 12 months%Source:Morgan Stanley Research,FRB New York,BloombergExhibit 4:Reds-Greens and Greens-Blues Eurodollar futurescurves0.130.02-0.20.00.20.40.60.81.01.21.41.6Feb-02Feb-06Feb-10Feb-14Feb-18Feb-22Reds-GreensGreens-Blues%Source:Morgan Stanl
25、ey Research,BloombergExhibit 5:US consumer confidence and 2-factor modelestimate113.8132.2-30-101030507090110130150Jan-97Jan-02Jan-07Jan-12Jan-17Jan-22Conference Board consumer confidence2-Factor ModelIndexSource:Morgan Stanley Research,Conference Board Note:Linear regression model uses U-3 unemploy
26、ment rate,2y return of the S&P 500 indexExhibit 6:US consumer confidence residual from 2-factormodel estimate-18.4-60-40-200204060Jan-97Jan-02Jan-07Jan-12Jan-17Jan-22Residual+/-1 StdevResidual,consumer confidence points0=confidence higherthan model estimate 1.23m4m5m6mAverage Gilt yield change-0.09-
27、0.12-0.21-0.16Percentage of rally80%80%80%60%Mar-21-0.13-0.28-0.130.18Feb-21-0.02-0.10-0.26-0.11May-200.130.050.080.12Nov-16-0.27-0.28-0.33-0.37Aug-15-0.140.00-0.40-0.63HorizonSource:Bloomberg,Morgan Stanley Research27Seasonality:from bearish to bullish on next Thursdays closingAs mentioned in our h
28、andbook“Investigating Rates Seasonality Patterns”published on21 January,the month of February has been characterized by two patterns in UKduration(see Exhibit 3).An initial sell-off in the first seven days of the month wasfollowed 73%of the time by a rally from the end of the second week of February
29、 untillate March during the period 2007-2021.Interestingly,there is also a similar strongbullish pattern on Bunds from the same dateGilts entered their bearish seasonal period on Mondays closing,a pattern observed 73%of the time in the 2007-2021 period with an average 11bp sell-off.The period should
30、 endat next Wednesdays closing.It should,if the pattern is similar,be followed by bullishseasonality on Thursday 10ths closing(with a similar pattern for the Bund)for almost 3weeks.This pattern is observed 73%of the time for the Gilt and 87%for the Bund.Technical analysis:oversold:The weekly stochas
31、tics are very low and have started to rise indicating some bullishdivergences,something also observed before mid-October lows on the Gilt future.CTA positioning:shortCTA exposure on Gilts should be now very short according to our futures desks weeklyindicator(August 2013 to January 2022).Short-end:t
32、oo many hikes priced inThe short-end is now consistent with expectations of 3 hikes by June(3 hikes for 4meetings),4 by August and 5 by December,ie slightly more than the Fed funds curve.We think that the BoE will only deliver three 25bp hikes in 2022:ie tomorrow,in Mayand in August.Some tightening
33、will also come through QT.Exhibit 43:Bearish pattern should end soon,and could be followed by the bullish one on Thursday10thGilt 10y:Seasonal rally patternsPeriodLengthAverage moveAv.RallyObs.ProbMaxMinSt.dev.Av.move/St.Dev.February from d813-6.3-14.273%29.5-23.015.60.4March21-7.9-14.073%17.4-40.51
34、4.70.5April from d176-2.9-8.567%14.3-25.910.20.3June from d1518-9.8-14.087%19.4-48.916.00.6August14-11.3-19.580%29.8-53.220.40.6November from d912-8.3-17.260%8.5-54.616.30.5Gilt 10y:Seasonal sell-off patternsPeriodLengthAverage moveAv.Sell-offObs.ProbMaxMinSt.dev.Av.move/St.Dev.January165.016.566.7%
35、35.2-25.718.90.3February75.410.973.3%29.9-16.813.30.4May85.110.773.3%34.7-17.813.40.4June66.413.566.7%25.4-17.812.20.5September1510.317.480.0%35.0-35.517.50.6October157.512.780.0%32.1-25.915.00.5Source:Bloomberg,Morgan Stanley Research28All in all,given the cheap valuation versus our long term model
36、,the rise in the Gilt yieldfrom here should be limited in the near-term,with the price action remaining heavy untilthe new 50y Gilt syndication,then there should be some potential for a recovery closeto mid-February.We think that a retracement towards 1.10/1.15%is a credible scenarioproviding good l
37、evels to reenter short duration.It could also mean more inversion ofthe GBP swap curve which leads us to close the GBP 2s10s steepeners which did notwork in the sell-off.Trade idea:Enter Maintain Sep-2022 MPC OIS versus selling Sep-2023 SFI at34bpTrade idea:Close GBP 1y1y receivers vs.beta-weighted
38、EUR 4y1y payersTrade idea:we prefer closing our 2s10s GBP swap steepeners Japan|BoJ speaks;why wont markets listen?MORGAN STANLEY MUFG SECURITIES CO.,LTD.Koichi SugisakiKoichi.S+81 3 6836-8428Shoki OmoriShoki.O+81 3 6836-5466BoJ remains dovish but.The JGB market has continued to face resistance even
39、 as key BoJ officials repeatedlyreject suggestions that a tightening of domestic monetary policy might be imminent.Interest rates have notably been rising even at the short end of the curve(i.e.,not onlyin the long and super-long sectors),with the 2y JGB yield now at its highest level sincethe negat
40、ive interest rate policy was introduced back in January 2016(see Exhibit 44).As we discussed in BoJ Walking Its Own Path,BoJ Governor Haruhiko Kuroda went tosome lengths to quash talk of near-term monetary tightening at his January 18 newsconference,and the Summary of Opinions for the January 1718 m
41、onetary policymeeting also featured a number of comments stressing the importance of the centralbank communicating its intention to persist with monetary easing until the+2%“pricestability target”can be achieved.BoJ Deputy Governor Masazumi Wakatabe effectivelyreiterated this position in his Februar
42、y 3 speech on“Japans Economy and MonetaryPolicy”:29As central banks abroad have started taking steps toward reducing monetaryaccommodation with inflation rates exceeding targets,some have been arguing thatthe Bank should also adjust its monetary easing,and there has been speculationthat the Bank is
43、actually discussing making adjustments.()Given the current situation where Japans economy has finally started to pick upfrom the pandemic,it is definitely too early for the Bank to start tightening monetarypolicy when the target has not yet been achieved as this could hinder the economicrecovery.Wak
44、atabe also addressed the perceived need for better communication by offering anexplanation as to what achieving the“price stability target”(as mentioned in the BoJsforward guidance)might mean in practice:Having the year-on-year rate of change in the CPI simply reach 2 percent and remainat that level
45、 merely for one month or a few months is not what is meant bymaintaining the 2 percent target in a stable manner.It also matters whethermedium-to long-term inflation expectations will be anchored.Wakatabe then explained the importance of seeing prices rise due to non-transitoryfactors such as streng
46、thening demand and positive wage growth:How can inflation expectations become anchored at 2 percent?Current price rises inJapan are due to a combination of factors:not only an import factor,an increase incommodity prices that reflects the recovery in overseas economies,but also adomestic factor,a re
47、sumption of domestic economic activity.()Monetary policy cannot directly affect crude oil prices.Hence,facing price risesdriven by the import factor,central banks should in general tighten theirmonetary policy only if the impact of this factor feeds through to the economyand in turn produces spillov
48、er effects,whereby wage inflation and inflationexpectations spiral upward and inflation consequently exceeds the target level.This position is similar to that of the RBA,which has signaled that it wants to see morethan just cost-push inflation and will persist with its monetary easing until it hasco
49、nfirmation of faster demand-pull inflation(wage growth).But the BoJ has even betterjustification for such a stance given that Japans headline inflation rate remains wellshort of+2%(see Exhibit 45).30Overseas investors drive markets pricing of possible BoJ actionDomestic investors appear to recognize
50、 and understand this,so why does JGB marketpricing still point to expectations that the BoJ might in fact start tightening sooner ratherthan later?We basically see two reasons:persistent optimism among overseasinvestors that a shift in the BoJs stance might be imminent and a decline in risktolerance