昨日の短国3M。 [外部リンク] of the Federal Open Market Committee May 2-3, 2017
・バランスシートに関する議論がありましたな(汗)
昨日は寝起きインスタント読みをしていた訳ですが、最後の所にバランスシートに関する話があったのを華麗に飛ばしてしまっておりましたので(超大汗)そちらをば。最後の最後にある『System Open Market Account Reinvestment Policy』です。
『Participants continued their discussion of issues related to potential changes to the Committee's policy of reinvesting principal payments from securities held in the SOMA.』
というのがありましたな。
『The staff provided a briefing that summarized a possible operational approach to reducing the System's securities holdings in a gradual and predictable manner.』
スタッフからの報告が既に「a gradual and predictable manner」でのバランスシート縮小という話をしている訳で、ドンドンバランスを縮小しようという話にはならないというのはご案内の通り。
『Under the proposed approach, the Committee would announce a set of gradually increasing caps, or limits, on the dollar amounts of Treasury and agency securities that would be allowed to run off each month, and only the amounts of securities repayments that exceeded the caps would be reinvested each month.』
『As the caps increased, reinvestments would decline, and the monthly reductions in the Federal Reserve's securities holdings would become larger. The caps would initially be set at low levels and then be raised every three months, over a set period of time, to their fully phased-in levels. The final values of the caps would then be maintained until the size of the balance sheet was normalized.』
『Policymakers noted that preannouncing a schedule of gradually increasing caps to limit the amounts of securities that could run off in any given month was consistent with the Committee's intention to reduce the Federal Reserve's securities holdings in a gradual and predictable manner as stated in the Committee's Policy Normalization Principles and Plans.』
『Limiting the magnitude of the monthly reductions in the Federal Reserve's securities holdings on an ongoing basis could help mitigate the risk of adverse effects on market functioning or outsized effects on interest rates. The approach would also likely be fairly straightforward to communicate. Moreover, under this approach, the process of reducing the Federal Reserve's securities holdings, once begun, could likely proceed without a need for the Committee to make adjustments as long as there was no material deterioration in the economic outlook.』
『Policymakers agreed that the Committee's Policy Normalization Principles and Plans should be augmented soon to provide additional details about the operational plan to reduce the Federal Reserve's securities holdings over time.』
『Nearly all policymakers indicated that as long as the economy and the path of the federal funds rate evolved as currently expected, it likely would be appropriate to begin reducing the Federal Reserve's securities holdings this year.』
『In light of these developments, participants generally continued to expect that inflation would stabilize around the Committee's 2 percent objective over the medium run as the effects of transitory factors waned and conditions in the labor market and the overall economy improved further.』
『Participants noted that import prices had begun to increase, supporting their expectation that inflation would gradually rise.』
輸入物価が上がってきているので物価が徐々に上昇するという見通しにサポートとな。
『A few participants, however, expressed uncertainty about the reasons for the recent unexpected weakness in inflation measures and about its implications for the inflation outlook.』
『In their discussion of recent developments in financial markets, some participants commented on changes in financial conditions in the wake of the Committee's decision to increase the target range for the federal funds rate in March.』
3月利上げ以降の金融市場動向に関しての指摘が数名(some)からと。
『They noted variously that the decline in longer-term interest rates and the modest depreciation of the dollar over the intermeeting period would provide some stimulus to aggregate demand, that the Committee's recent policy actions had not resulted in a tightening of financial conditions, or that some of the decline in longer-term yields reflected investors' perceptions of diminished odds of significant fiscal stimulus and an increase in some geopolitical and foreign political risks.』
『With regard to financial stability, several participants emphasized that higher requirements for capital and liquidity in the banking system and other prudential standards had contributed to increased resilience in the financial system since the financial crisis. 』
『However, they expressed concerns that a possible easing of regulatory standards could increase risks to financial stability. In addition, it was noted that real estate values were elevated in some sectors of the CRE market, that a sharp decline in such valuations could pose risks to financial stability, and that potential reforms in the housing finance sector could have implications for such valuations.』
『In their consideration of monetary policy, participants judged that it was appropriate to leave the target range for the federal funds rate unchanged at this meeting. Although the data on aggregate spending and inflation received over the intermeeting period were, on balance, weaker than participants expected, they generally saw the outlook for the economy and inflation as little changed and judged that a continued gradual removal of monetary policy accommodation remained appropriate.』
『A couple of participants indicated that increasing the target range for the federal funds rate at the current meeting would be warranted by their economic outlook, but they also noted that maintaining the current stance of policy for now would be consistent with the Committee's gradual approach or that the Committee's recent communications had not pointed to an increase at this meeting.』
『Most participants judged that if economic information came in about in line with their expectations, it would soon be appropriate for the Committee to take another step in removing some policy accommodation.』
どう見てもこれは6月に利上げしますと言ってるようにしか読めません。
『A number of participants pointed out that clarification of prospective fiscal and other policy changes would remove one source of uncertainty for the economic outlook.』
何人か(A number of)の参加者は財政政策の内容が見えてくれば不確実性が下がると言ってまして、これは普通に読むとトランプ財政出たら更にアップサイドに見通しを変えますといっている話。
『Participants generally agreed that the current stance of monetary policy remained accommodative, supporting some additional strengthening in labor market conditions and a sustained return to 2 percent inflation.』
『Participants generally reiterated their support for a continued gradual approach to raising the federal funds rate.』
つーことで概ねの所では徐々に利上げしていくのが適切的なお話になっているのですけど・・・・・・・・・
『Some participants noted that core PCE price inflation had been running below the Committee's objective for overall inflation for the past eight years and that it was important to return inflation to 2 percent, or that the public's longer-term inflation expectations may have fallen somewhat, and that a gradual approach to tightening could help return expectations and inflation to 2 percent.』
『One participant cited results of a District survey of businesses indicating that more than one-third of respondents saw the Federal Reserve as more likely to accept inflation below its 2 percent objective than above; that participant interpreted the survey results as suggesting that the Committee's communications about the symmetry of its inflation objective had not completely taken hold, a concern also mentioned by a couple of other participants.』
『Another participant observed that a gradual approach was appropriate because the neutral rate of interest had declined and considerable uncertainty prevailed about its longer-run level.』
均衡中立金利が下がっているのですからグラデュアルなアプローチが重要と他の人も言い出す。
『Several participants, however, pointed to conditions under which the Committee might need to consider a somewhat more rapid removal of monetary accommodation--for instance, if the unemployment rate fell appreciably further than currently projected, if wages increased more rapidly than expected, or if highly stimulative fiscal policy changes were to be enacted.』
『In contrast, a couple of others judged that the Committee could withdraw monetary accommodation even more gradually than reflected in the medians of forecasts in the March Summary of Economic Projections, noting that slack might remain in the labor market or that inflation was not very sensitive to declines in the unemployment rate below its estimated longer-run normal level.』
[外部リンク] by President Robert S. Kaplan Assessment of Current Economic Conditions and Implications for Monetary Policy
『The purpose of this essay is to provide a synopsis of my current views regarding economic conditions in the U.S. and globally, and my thoughts regarding the appropriate stance of U.S. monetary policy.』
『GDP in the U.S. is estimated to have grown at a 0.7 percent rate in the first quarter of 2017. This disappointing level of growth was due to weak growth in consumer spending as well as a significant inventory deceleration.』
1Qの成長鈍化は消費の弱さと在庫の減少によるものだそうで、
『Despite this poor start to the year, our Dallas Fed economists expect GDP growth of approximately 2.25 percent in 2017. The key underpinning of our forecast is our expectation of a strong U.S. consumer. The U.S. consumer has spent the past nine years deleveraging from record levels of debt to GDP and is today in relatively good financial shape and, as a result, has capacity to spend.』
『In addition to a strong consumer, we also expect GDP growth in 2017 to be bolstered by some improvement in the level of nonresidential fixed business investment. We expect that our estimate of GDP growth, while sluggish by historical standards, will be sufficient to remove remaining slack from the labor market.』
『Potential changes in fiscal policy and structural reforms have the potential to provide upside to this forecast.』
ここまでは景気が良い話なのだが、
『However, I am also closely monitoring the potential negative effects of policies that could reduce the affordability of and access to health care, and policies that could negatively influence the spending habits of immigrants who reside in the U.S.』
『Policy uncertainty in these key areas and the rhetoric associated with the public debate regarding these potential policies bear watching as our economists assess the propensity of consumers to spend versus save.』
つーことでこらまた直近政治ネタに直球で触ってくるとは、と思いましたですよ、はい。
・労働者のスキル向上が必要でそこが弱いと成長力も高まらない、という話
『Unemployment』というのが次の小見出しなのですが、特段変な話はしておりませんし、最初のあたりで『As we move forward, I would not be surprised if the average rate of job growth slowed somewhat, consistent with a declining level of labor slack in the economy.』とか言ってますのでNFPが少々減速しても気にしないというお立場。
雇用者とかの話の次が『Tackling the Skills Gap in the U.S.』となっていまして、
『When we look at measures of discouraged workers and those who are working part time for economic reasons, I would note the high correlation between participation rates (as well as unemployment rates) and levels of educational attainment.』
労働参加率と労働者のスキルのレベルとの関係に注目とな。
『The labor force participation rate for prime-age workers is approximately 88 percent for college graduates and 81 percent for those who have attended some college. However, prime-age worker participation is only 76 percent for those with a high school diploma and only 66 percent for those who have less than a high school diploma.』
この辺は現状のデータの話。
『Our economists at the Dallas Fed believe that the skills gap in the U.S. is substantial.』
雇用者の頭数とかの話ではなくてスキルの話となるとギャップが大きなものがあると考えるそうな。
『The National Federation of Independent Business reports that as of April 2017, 48 percent of small businesses indicated that they were unable to find qualified applicants to fill job openings. CEOs report difficulty in hiring workers for middle-class-wage jobs such as nurses, construction workers, truck drivers, oilfield workers, automotive technicians, industrial technicians, heavy equipment operators, computer network support specialists, web developers and insurance specialists.』
『When these types of jobs go unfilled, U.S. businesses expand more slowly and the nation’s growth is impeded.』
『This is why I have been regularly talking about the need for the U.S. to do much more to beef up public/private partnerships that focus on skills training in order to help workers attain the skills needed to find employment in the 21st-century economy.』
『We also need to invest in programs that improve early-childhood literacy and generally enhance the level of educational attainment among our younger population.』
『Both of these types of initiatives have the added benefit of helping to potentially reduce income inequality by creating broader workforce productivity gains and prosperity.』
『Progress toward reaching our 2 percent inflation objective has been slow over the past several years. I believe this has likely been due to a rising dollar and weaker energy prices, as well as a number of persistent secular forces, such as globalization and technology-enabled disruption (see “Broader Secular Trends” below).』
『Twelve-month measures of headline and core inflation fell in March. Inflation readings, to date, for April show further weakness. While I believe that these recent readings are likely not indicative of a weakening trend, I intend to be patient and open minded in assessing upcoming data releases in this regard.』
『In order to analyze inflation trends, our economists look at headline inflation but also track several measures of core inflation. In particular, Dallas Fed economists closely monitor our Dallas Fed Trimmed Mean PCE inflation rate (see chart below). This measure trims out the most extreme upward and downward monthly price movements and, our economists believe, represents a more reliable indicator of the trend of inflation.』
『This measure gradually increased from 1.7 to 1.8 percent through most of 2016 and ran at approximately 1.6 percent in 2015. Through March, it is running at approximately 1.8 percent on a 12-month basis after having touched 1.9 percent in January and February.』
順調順調。
『The gradual upward trend of this measure has given me confidence that, as slack continues to be removed from the labor market, headline inflation should reach, or exceed, the Fed’s 2 percent longer-run objective in the medium term. I will be closely watching this measure in the months ahead in order to confirm that we are continuing to make progress in reaching our inflation objective.』
とありまして、刈込平均で見たトレンド自体は順調という話をしていて、そちらの方は「The gradual upward trend of this measure has given me confidence」と威勢の良い話をしています。
『In addition to monitoring cyclical trends, my economic research team carefully considers and works to understand several key secular drivers. As I have emphasized over the past year, these drivers are likely having a powerful influence on unfolding economic conditions.』
『I have particularly focused on four key secular drivers:』
ということで長期的な経済のトレンドに関して4点。
『Aging-workforce demographics in the U.S. and across major economies. As discussed earlier, aging-population trends, on balance, reduce labor force participation rates and ultimately create headwinds for potential GDP growth. These demographic trends are also likely to impact the “dependency ratio”[8]-that is, they are likely to lead to a situation in which an increasing share of the population is depending on those of working age to pay for future medical and retirement benefits. These trends are likely to exacerbate the issues regarding the sustainability of U.S. government fiscal obligations (discussed further below).』
ああだこうだ書いているが要するに人口動態が成長力を下げるという話が最初。
『Limits to the sustainability of the so-called global debt super cycle. Historically, the U.S. and other countries have used increasing debt-often through tax cuts and increased government spending-to boost economic growth. At this point, there are likely limits to the ability of countries, including the U.S., to further increase debt to GDP in order to generate higher levels of economic growth.』
『As I discussed earlier in this essay, we have seen a deleveraging of the U.S. household sector since 2008. This has likely created some headwinds for economic growth over the past several years. The good news is that the household sector is in much better shape today.』
『However, while household balance sheets have improved since the Great Recession, government debt held by the public stands at approximately 76 percent of GDP (see chart below), and the present value of future unfunded entitlements is now estimated at $46 trillion.[9] These obligations will increasingly work their way into U.S. budget deficits over the next five to 10 years-raising questions regarding fiscal sustainability which, if not addressed, could negatively impact longer-run economic growth.』
「global debt super cycle」と言われている話だそうですが、特に政府部門での債務拡大による(家計はデレバレッジが進んでいる)先行き成長力への制約とな。
『Globalization. Economies, financial markets and companies are more closely intertwined than ever before. For example, regarding trade, estimates indicate that approximately 40 percent of the content of U.S. imports from Mexico is of U.S. origin.[10] This is because much of this trade is related to integrated supply chains and logistical arrangements between U.S. and Mexican companies.』
『As mentioned earlier, it is our view at the Dallas Fed that these arrangements have helped improve U.S. competitiveness and created jobs in the U.S. Without these arrangements, these jobs might have otherwise been lost to other areas of the world, particularly Asia.』
『While trade and globalization have yielded net economic benefits for the U.S. economy, they have also created severe local hardships that the U.S. and other advanced economies have struggled to address. The challenge is how to reap the benefits of globalization while addressing the disruptions it creates-failing to do so is likely to have negative implications for trade and the pace of economic growth in the U.S. and globally.』
『Technology-enabled disruption. In order to improve their competiveness, many companies are actively investing in technology, which is leading to a significant reduction in the number of workers needed to produce goods and services. The result is that U.S. workers across a range of industries are finding their jobs being eliminated.』
ということで最後の『The Current Stance of Monetary Policy』である(手抜きの場合はここだけ読む訳ですが)。
『As I mentioned earlier in this essay, I believe that we are making good progress in accomplishing our dual-mandate objectives of full employment and price stability.』
は良いとしまして、
『 However, I am cognizant that progress toward our 2 percent inflation goal has been slow and, at times, uneven. I intend to be patient in critically assessing upcoming data to evaluate whether we are continuing to make progress in reaching our inflation objective.』
ということでして、さっきの物価の所でもありましたように、「I intend to be patient in critically assessing upcoming data to evaluate」ということでやや慎重スタンスのようです。
『I have consistently stated that I believe there is a cost to excessive accommodation in terms of limiting returns to savers, as well as creating distortions and imbalances in investing, hiring and other business decisions. Monetary policy accommodation is not costless. It has been my experience that significant imbalances are often easier to recognize in hindsight and can be very painful to address.』
『However, I also believe that the key secular drivers discussed earlier in this essay will continue to pose challenges for economic growth. As a result, my view is that the neutral rate, the rate at which we are neither accommodative nor restrictive, is likely to be much lower than we are historically accustomed.』
長期トレンドの面では慎重で中立金利は以前よりも低い所にあると。
『Based on these considerations, I have argued that future removals of accommodation should be done in a gradual and patient manner. In that regard, I continue to believe that three rate increases for 2017, including the March increase, is an appropriate baseline case for the near-term path of the federal funds rate.』
ということで結局結論としては年内3回(なので残り2回)が適切とな。
『“Gradual and patient” means to me that I need to be open to assessing incoming economic information in order to update my analysis regarding the appropriate stance of economic policy. I will avoid being rigid or unduly predetermined in my views. If I see information that suggests the economy is developing more slowly than I expect, then the pace of rate increases could be slower than my baseline path, and if economic growth is stronger than I expect, the pace of increases could be faster.』
『In addition, as we make further progress in removing accommodation, I believe we should begin the process of gradually reducing the size of the Federal Reserve balance sheet. I think it will likely be appropriate to begin this process sometime later this year.』
[外部リンク] Review of financial, economic and monetary developments and policy options』のところですけれども、最後の『Monetary policy considerations and policy options』の部分から。
『As the evidence continued to indicate insufficient progress towards a durable and self-sustaining convergence of inflation towards the Governing Council’s medium-term aim, it was important for the time being to confirm the present monetary policy stance, including the forward guidance. Accordingly, it needed to be emphasised that the economic recovery was increasingly solid, that the risks to the growth outlook had further diminished, while being still tilted to the downside, and that underlying price pressures remained subdued and the inflation path conditional on the very substantial degree of monetary accommodation.』(4月議事要旨)
『Finally, Mr Praet considered that, at the current juncture, the Governing Council had to be particularly cautious regarding the future evolution of its policy communication. 』(4月議事要旨)
どう慎重にすべきというかというと、
『After a prolonged period of exceptional monetary policy accommodation, financial market participants were particularly sensitive to any perceived change in the future course of monetary policy. Any substantial change in communication needed to be motivated by some more evidence that the present indications of acceleration in activity found confirmation in hard data and fed through to a sustainable adjustment in inflation.』(4月議事要旨)
『Looking ahead to the Governing Council’s 7-8 June monetary policy meeting, a new round of Eurosystem staff macroeconomic projections and a new assessment of the risks to the outlook would become available to inform discussions on the way forward.』(4月議事要旨)
『In terms of communication, Mr Praet considered it important to acknowledge the steady firming of the economic recovery, while stressing that the risks, although becoming less pronounced, remained tilted to the downside and that the staff projections were conditional on the full implementation of the Governing Council’s monetary policy measures.』(3月議事要旨)
『It was likewise important to clarify that, in view of the upward revision to inflation for 2017, the Governing Council would look through changes in HICP inflation, to the extent they were judged to be transient and to have no implication for the medium-term outlook for price stability.』(3月議事要旨)
『Finally, it was important to confirm both the intended pace and horizon of the asset purchases and to reassert the forward guidance on policy rates and on the asset purchase programme (APP), as previously communicated. It was furthermore appropriate to de-emphasise the sense of urgency towards taking further actions that had been communicated in the past.』(3月議事要旨)
『2. Governing Council’s discussion and monetary policy decisions』の所のこれまた手抜きマンで『Monetary policy stance and policy considerations』の所ですけど(ちなみに念のため申し上げるとこの超手抜き読みだと4分の1も読まないことになるのであまり良い読み方とは思わんです、汗)、
『With regard to the monetary policy stance, members widely shared the assessment provided by Mr Praet in his introduction that, while the cyclical recovery of the euro area was becoming increasingly solid and downside risks had further diminished, underlying inflation pressures had remained subdued and had yet to show a convincing upward trend.』(4月議事要旨)
『There was also broad agreement with the assessment provided by Mr Praet that the ECB’s monetary policy measures were making a crucial contribution to preserving very favourable financing conditions, which were seen as a key factor behind the ongoing cyclical recovery, supporting its resilience to adverse shocks and, over time, a rise in inflation towards the Governing Council’s inflation aim.』(4月議事要旨)
『At the forthcoming policy meeting in June, new staff projections, alongside further data and analyses, would become available, putting the Governing Council in a better position to take stock and reassess the sustainability of the recovery and the outlook for inflation.』(4月議事要旨)
『As inflation proceeded further on its path towards the Governing Council’s inflation aim in a self-sustaining manner, a more encompassing discussion on devising an appropriate strategy for policy normalisation would become warranted further in the future.』(4月議事要旨)
さらに次の『Monetary policy decisions and communication』ですけれども、最初にさっきと同じ話で、
『As regards communication, members broadly agreed with the proposals made by Mr Praet in his introduction to keep the communication on the Governing Council’s monetary policy stance and its forward guidance unchanged, while conveying a more positive tone on the state of the euro area economy and highlighting the increasing solidity of the cyclical recovery and that downside risks had further diminished. Similarly, the Governing Council needed to reiterate its confidence in the effectiveness of its monetary policy measures in supporting growth and inflation.』(4月議事要旨)
『At the same time, it was felt that the Governing Council’s communication should be adjusted in a very gradual and cautious manner as, at the current juncture, monetary and financial conditions were particularly sensitive to changes in communication. After a long period of very accommodative monetary conditions, even small and incremental changes in communication could have strong signalling effects when interpreted as heralding a change in the monetary policy stance.』(4月議事要旨)
『A premature and unwarranted tightening of financial conditions could put the prospects of a sustained adjustment in inflation towards the Governing Council’s inflation aim at risk, particularly in an environment of persisting uncertainty. It was, however, also highlighted that a gradual adjustment in communication, in step with the evolution of the Governing Council’s assessment of the economic outlook and the balance of risks, would underpin the consistency and credibility of the Governing Council’s guidance.』(4月議事要旨)
『Considering the earlier exchange of views on the balance of risks to euro area activity, there was agreement among all members to emphasise in the communication that the risks to the euro area growth outlook were moving towards a more balanced configuration, while still remaining tilted to the downside. Prevailing uncertainties, notably related to the external environment, continued to call for caution. It was also agreed that the communication regarding the inflation outlook should be left unchanged.』(4月議事要旨)
リスクは依然としてダウンサイド、海外情勢に注意、物価に関する考え方も変わらない。
でもってあとは政策決定です。
『Taking into account the foregoing discussion among the members, on a proposal from the President, the Governing Council decided to keep the interest rates on the Eurosystem’s main refinancing operations, the marginal lending facility and the deposit facility unchanged at 0.00%, 0.25% and -0.40% respectively. The Governing Council continued to expect the key ECB interest rates to remain at present or lower levels for an extended period of time, and well past the horizon of the net asset purchases.』(4月議事要旨)
『Regarding non-standard monetary policy measures, the Governing Council confirmed that the net asset purchases, at the new monthly pace of ユーロ60 billion, were intended to run until the end of December 2017, or beyond, if necessary, and in any case until the Governing Council saw a sustained adjustment in the path of inflation consistent with its inflation aim. The net purchases would be made alongside reinvestments of the principal payments from maturing securities purchased under the asset purchase programme. If the outlook became less favourable, or if financial conditions became inconsistent with further progress towards a sustained adjustment in the path of inflation, the Governing Council stood ready to increase the programme in terms of size and/or duration.』(4月議事要旨)
この辺の話は、
『The members of the Governing Council subsequently finalised the introductory statement, which the President and the Vice-President would, as usual, deliver at the press conference following the end of the current Governing Council meeting.』(4月議事要旨)
『もうひとつは、ベイジアン・ネットワークと呼ばれる手法である。経済学では、グレンジャー因果性テストや DID 推定 (difference in differences) などの手法を用いて変数間の因果構造を明らかにしようとすることが多い。これらの手法は、時系列方向に十分に長い期間のデータが必要であったり、データが一定の前提条件を満たすことを要求する。もっとも、多くの場合、そうした理想的な環境は整っていない。ベイジアン ・ ネットワークは、時間に関する情報を用いることなく、また、変数間に強い仮定を設けることもなく、変数間の相関構造から因果構造を推定することができる。』
[外部リンク] Economic Outlook and Some Longer-Run Issues 05.18.17 Loretta J. Mester Economic Club of Minnesota, Minneapolis, MN
『Longer-Run Issues』の所を少々。
『Astute listeners will have noticed that I didn’t tell you how large the balance sheet will be or how high the fed funds rate will be once we complete normalization. That is, I haven’t told you the end points. To answer those questions, we need to consider some longer-run issues.』
『Regarding the ultimate size of the balance sheet, we do know it will be larger than it was prior to the financial crisis for the simple reason that the public’s demand for currency is rising over time. But the balance sheet will also likely be considerably smaller than it is today. Just how much smaller depends on how the FOMC implements monetary policy in the future.6』
『Before the crisis, the FOMC kept the supply of bank reserves scarce. Making small changes in that supply by buying or selling short-term Treasuries, allowed the FOMC to ensure that the market-clearing interest rate at which banks lend reserves to each other overnight, the fed funds rate, was maintained at the FOMC’s target.』
『But now, as a result of the Fed’s large-scale asset purchases, reserves are very abundant: indeed, banks are holding around $2.3 trillion in reserves, and more than $2.1 trillion of this amount is in excess of what is required by regulation. At these levels, small changes in the supply of reserves have little effect on the fed funds rate, and the FOMC brings the fed funds rate into its target range by adjusting the rate it pays on excess reserves.』
『Each of these systems has its strengths, and the FOMC has not yet decided which framework it will use in the long run and, therefore, what the size of the balance sheet will be at the end of the normalization process.7』
まあ誠実に答えるとこうなるわなということで、今の時点でどういう形になるか分からんと。
『However, because it will take several years to reduce the size of the balance sheet through asset run-off, the FOMC can end reinvestments before we have decided on the balance sheet’s ultimate size.』
『In terms of where the fed funds rate will be in the longer run, one needs to consider what policy rate is consistent with maximum employment and stable inflation over the longer run. There is reason to believe that this equilibrium rate is lower now than it used to be.』
均衡金利が低下している、というのはハトタカ問わずFOMCの全員が言う話ですね。
『In fact, FOMC participants have been lowering their estimates of the longer-run fed funds rate over time. For example, in March 2014, the median estimate was 4 percent. Now it is 3 percent. The equilibrium rate is determined by the long-run rate of the growth of consumption and, therefore, of output. So where the fed funds rate will be after normalization depends on the longer-run potential growth rate of the economy.』
その水準はロンガーランの潜在成長率に依存する、ということで次の小見出しが『Potential growth and productivity growth』である。
『The key determinants of the economy’s longer-run growth rate are structural productivity growth - how effectively the economy combines its labor and capital inputs to create output - and labor force growth. Over the past five years, labor productivity, measured by output per hour worked in the nonfarm business sector, has grown at an annual rate of only about a half of a percent; over the entire expansion it has averaged 1 percent. This is a step down from the 2-1/4 to 2-1/2 percent pace seen over the prior two expansions. Some of the slowdown in productivity growth likely reflects the difficulty in measuring productivity in the service sector.』
労働生産性が低下していると。
『Some of the slowdown is likely cyclical, reflecting persistent effects of the Great Recession, which has retarded investment spending. As the expansion continues and investment expands, it is reasonable to assume that the cyclical impediments will abate and we’ll see somewhat stronger productivity growth. But structural factors are likely weighing on productivity growth, as well.』
循環的な要因で下がっているのもあるが構造要因もあります。
『One such factor is a reduced level of economic dynamism. An enviable aspect of the U.S. economy around the globe is our spirit of innovation, entrepreneurship, ease of business entry and exit, and labor market flexibility. This dynamism has contributed to economic growth and well-being in the U.S. by allowing resources to be reallocated from less-productive to more-productive businesses and allowing workers to move up the career ladder.』
『But the degree of dynamism in the U.S. economy has been declining for some time. On average, over the 1990s and until the Great Recession, business start-ups accounted for about 3 percent of total employment per year.8 Since then, this share has fallen to around 2 percent.9 Since 2000, key innovative sectors like high-tech have seen a sharp slowing in the rate of start-ups.10 The decline in business and labor market dynamism is a structural factor that may be contributing to the slowdown we’ve seen in productivity growth.11』
『Labor force growth, the other key determinant of long-run economic growth, is projected to be considerably slower than it has been in recent decades. In the 1970s, the labor force grew about 2 1/2 percent per year, on average, as baby boomers and women entered the work force. Labor force growth has slowed since then, rising at slightly more than 1/2 percent per year over 2010-2016. Demographic factors, including the aging of the population and a lower birth rate, suggest slow growth at about that pace will continue.12 So, longer-run output growth will likely remain below the 3 to 3-1/2 percent rate seen over the 1980s and 1990s.13』
でまあ構造的にこれらのダイナミズムが低下している、という説明がありまして・・・・・・・
『My own estimate is that longer-run growth will be about 2 percent, but I acknowledge that such estimates have wide confidence bands around them and economists hold different views about the future growth prospects of the U.S. economy.14,15 The difference in views largely stems from different assessments of the prospects for investments in technology and human capital.』
ちなみにレートに関しては [外部リンク] the yield curve: a central bank perspective
昨日の続きです。後半の『An assessment of recent long-term yield dynamics』から。
『So, you can now easily see that the increased use of non-standard measures also meant that there was a pressing need to upgrade our internal analytical toolkit. Standard term structure models alone were no longer sufficient.』
イールドカーブの従来の分析だけでは不十分なんですと。
『We needed to broaden our set of models to also capture the effects that changes in the amount of bonds available for private investors would have on the term premium. And we needed to refine our event study methodologies and make use of other models and tools, with a view to developing our understanding of the extent to which our actions are reflected in yield movements.[7]』
『Put differently, these efforts were necessary in order to map (expected) purchases in billions of euro into long-term yields in basis points that would help the Governing Council calibrate the pace and size of our purchases.』
『The residual movement in rates - subject of course to the general large uncertainty one faces when relying on model-based analysis - would then be due to other forces largely outside our direct control. These include, for instance, spillovers from other major economies, flight-to-quality related movements into safe assets, or changes in investors’ outlook for growth and inflation.』
『And as central bankers we also need to carefully disentangle those residual driving forces to help us understand the possible implications for our policy stance.』
『Let me give you a simple example: an unexpected increase in long-term rates. This is neither good nor bad, per se, from a monetary policy perspective. The implications for monetary policy depend, crucially, on the sources of this movement.』
『For example, if the increase reflects a re-pricing based on better current or prospective economic conditions, this would not be a source of concern for policy makers. However, if it were induced by markets overreacting to news or misunderstanding our policy intentions, this increase would be undesirable from a policy perspective.』
『Let me illustrate this by focusing on the repricing in bond markets that started around the end of September last year.』
でもって材料は去年秋の金利上昇ね。
『By that time, the ten-year OIS rate had reached a low point of slightly below zero. Since then - and looking through the occasional ups and downs - it has risen by about 65 basis points.』
10年OIS金利が0近辺から65位まで上がった時の話。
『At face value, such tightening of financial conditions looks inconsistent with the stance required to bring inflation back to levels closer to 2%.』
『But the set of models currently in use by ECB staff generally tell one consistent story: for the most part, the steepening of yield curves over the past few months reflects an overall benign increase in the term premium - only around a quarter of the change in yields reflect changes in the expected future policy path. By and large this is also what we have seen in other major economies, in particular in the US.』
『We think two factors can mainly account for this. First, a decomposition of euro-based inflation-linked swap rates points to a measurable increase in the compensation for inflation risk from historically low and probably negative levels. So, from this angle, the increase in the term premium is likely to reflect a pricing out of deflationary tail risks. This in itself is certainly good news.』
『The second factor that is likely to have added to the increase in the term premium is uncertainty, mainly coming from outside the euro area. One reason might be that although markets have generally become more optimistic about global growth prospects - buttressed by the undeniable upswing in the global business cycle - they may have also become less certain about the future course of fiscal policy in some jurisdictions as well as about other policies, including trade and regulation. This, in turn, may increase uncertainty about future duration supply, impacting the term premium.』
『Uncertainty, by and of itself, is undesirable. But to the extent that the increase in the term premium likely reflected a reassessment of global economic conditions after a long period of subdued macroeconomic expectations - as also reflected in the adjustment of inflation risk premia - it may not constitute an unwarranted tightening.』
『The role of foreign factors in driving euro area yields becomes clearer when considering the indications from another class of models: researchers at the IMF have developed a simple yet powerful methodology to identify yield curve drivers using cross-asset correlations involving stock, bond and exchange markets.[9]』
別のモデルを使うと更に「海外要因です」ということらしい。ナンジャソラという感じですが。
『And these models confirm - as you can see from the chart in front of you - that the bulk of the increase in euro area long-term yields initially came from shocks originating from outside the euro area - the green part.』
『You can also see, however, that after the first initial sharp upward movement in yields following the US presidential elections, it was increasingly an improvement in euro area domestic growth prospects that contributed to upward pressure on yields. You can see this reflected in the increasing contribution of the yellow component in the chart.』
『But what is even more important is that during this period, and despite stronger global and domestic growth prospects, expectations regarding our monetary policy have, on balance, had a stabilising effect on yields, according to our analysis. This is the blue part in the chart, which you can see shifted into negative territory after our decision in early December to extend the intended horizon of the APP by another nine months.』
『In other words, market participants understood our reaction function and agreed with our assessment in December last year that the absence of a sustained adjustment in the path of inflation warranted continued monetary accommodation.』
[外部リンク] the yield curve: a central bank perspective
Welcome remarks by Benoit Coure, Member of the Executive Board of the ECB, at the annual meeting of the ECB’s Bond Market Contact Group, Frankfurt am Main, 16 May 2017
イールドカーブを解剖するとかいうECBクーレ理事の講演だが題名に釣られて読んでみた。
『Policy actions and the yield curve』という小見出しの部分だが。
『Let me start by clarifying what I mean by “yield curve”.
This is not a trivial discussion in a currency union with 19 different yield curves. Among these, we generally consider that two curves in particular provide us with insight and inform our policy decisions: the overnight index swaps (OIS) curve and the Bund curve, as these have become widely accepted proxies for risk-free yields in the euro area.[3]』
『As such, they serve as the bedrock for pricing virtually all credit products and related derivatives. These curves are vital for the transmission of monetary policy, as they have a significant influence on broad asset valuations and the pricing of bank loans and, ultimately, they affect the investment and saving decisions of households and firms.』
『This means that we need to understand - as much as you do - what drives changes in these curves, so we can draw correct inferences regarding the appropriateness of our monetary policy stance. This has become all the more important in an environment where central banks no longer only control very short-term policy rates but also influence long-term yields through asset purchases.』
『In other words, we need to make a quantitative distinction as to what part of a given change in the yield curve is likely due to policy itself - our actions and often also our words - and what part is due to other factors, such as spillovers from abroad or improved growth expectations.』
普通の中銀だとこういう話になるのですが、どこぞの中銀は10年金利0%(以下同文)。
『A natural starting point for such an analysis is the use of dynamic term structure models that divide yields into two key components - an expectations component and a term premium.』
『The expectations component reflects the average of current and future expected short-term rates over the maturity of the bond. If the pure expectations hypothesis of the term structure were to hold, this would be all that mattered in terms of explaining movements in long-term rates.』
期待の部分は将来の政策金利の動向という教科書的なお話。
『But broad empirical evidence suggests that the pure expectations hypothesis fails to hold true in practice, and that there is indeed a time-varying premium that investors require in order to hold a long-term bond instead of simply rolling over a series of short-term bonds.[4]』
『Monetary policy - and there we are increasingly certain - cannot only influence the expectations component, but also the term premium.』
でもって金融政策でタームプレミアムにも影響与えるそうな。
『Three examples demonstrate this more clearly.』
ほほう。
『First, by changing our key policy rates, we can directly impact the short end of the curve - the footing of the expectations component. In normal times, medium to long-term rates would adjust to the extent that market participants would see a change in policy rates as the beginning of an incremental series of changes.』
『But with short-term policy rates approaching levels closer to zero during the early phases of the most recent easing cycle, this channel had become less effective. Markets - in the belief that rates could not enter negative territory - stopped short of pricing in the degree of accommodation they would normally have expected in the face of downside risks to our price stability mandate.』
『Our decision in June 2014 to introduce negative deposit facility rates restored our ability to steer market expectations and thereby also medium to long-term rates. Indeed, by signalling to the market that policy rates could go below zero, we ultimately succeeded in shifting downwards the entire distribution of future expected short-term rates, thereby providing important additional accommodation.[5]』
『Second, and related, by communicating about where we see the economy heading, and by clarifying our ‘reaction function’ - that is, by providing forward guidance - we can directly influence expectations regarding future short-term rates.』
『Forward guidance has served us well and has contributed to keeping the short to medium end of the yield curve well anchored at times when external shocks were threatening to unduly tighten financial conditions.』
『I will come back to this in a minute. But to the extent that forward guidance reduced uncertainty about the future path of interest rates, it has not only affected the expectations component but also the term premium.』
でもってフォワードガイダンスはタームプレミアムも引き下げるそうな。
『Yet, the main channel through which we - and other major central banks - have recently exerted measurable downward pressure on the term premium, and this is my third example, is through asset purchases. We now have a growing body of evidence that suggests that central banks can lower long-term rates by removing duration risk from the market.』
『For example, according to ECB estimates, our monetary policy measures have contributed to reducing euro-area long-term risk-free rates by around 80 basis points since June 2014.[6] Asset purchases have contributed significantly to this drop and have therefore been an indispensable tool to create the financial conditions necessary for inflation to move back towards levels consistent with price stability.』
『最初に、経営の安定性指標として、各金融機関の Z スコアを計算する(図表B6-1)。Z スコアとは、収益の変動に対する金融機関の損失吸収力を指標化したものであり、スコアが低いほど、経営安定性が低いことを表す57。計測した Z スコアの推移をみると、近年は、景気回復による信用コストの低下や益出しなどを受け、Z スコアは改善しているが、長期的にみると、スコアの低下した地域金融機関が増えている。』
金曜の続きで『Price-Level Targeting and Low R-star』という小見出しの所から。
『If you look at natural interest rates across the globe, you’ll find something they have in common: In country after country they’re at historic lows. What’s more, they appear poised to stay that way as trends pushing the natural rate lower are unlikely to reverse anytime soon.7 To put this in perspective, the weighted average of natural rates in Canada, the United Kingdom, the United States, and the euro area currently stands around 1/4 percent. That’s more than 2 percentage points below the average natural rate that prevailed in the two decades before the financial crisis (Figure 4).8』
金融危機以降自然利子率が下がってきたというお話はまあこれは誰もが指摘する話なのでここまでは分かる。
『Why is price-level targeting well adapted to a low r-star world? If price growth is a little lower than target, say, during a downturn, the central bank aims to get the price level back up in the years ahead-and vice-versa. Baked into its very design is a “lower for longer” policy prescription in response to sustained low inflation.9』
『This helps support the return of the price level to the desired level and anchor inflation expectations even when interest rates are constrained at the lower bound.10』
『This aspect of price-level targeting can be seen by comparing the prescriptions of a standard Taylor (1993) rule to one adapted to a price-level framework.11 Figure 5 shows the prescriptions for these two policy strategies for the years 2005?2016, where 2005 is chosen as a starting point because this is generally viewed as a year that the economy was close to its goals in terms of inflation and the unemployment rate. For comparison, the actual federal funds rate is shown by the black line.』
『Under this price-level strategy, the federal funds rate responds one-for-one with movements in: the inflation rate, the percent deviation of the price level from the target level, and the negative of the percentage point deviation of the unemployment rate from its natural rate. For these calculations, I have assumed a constant natural rate of interest of 2 percent and a constant natural rate of unemployment of 5 percent, consistent with standard views on these natural rates at the start of this sample.』
次の小見出し『Price-Level Targeting and Accessibility and Accountability』ですが。
『So there are clear benefits to this framework when it comes to adaptability. How about accessibility and accountability?』
ってそもそもadaptabilityがホンマカイナという感じですが。
『In terms of accessibility, a price-level goal is easy to explain and is in some ways a more natural way for the public to think of price stability than an inflation target.』
と、思いっきり説明しやすいし分かりやすい、と断言の巻。
『A price-level target provides greater clarity on where prices will be 5, 10, and 30 years into the future, time horizons that people think about when buying a car, a home, or planning for retirement. This should lend itself to greater transparency and clarity for the public-especially when interest rates are constrained by the lower bound.』
『The same logic holds true for accountability. A price-level regime would provide a clear and accessible metric by which to judge whether the central bank is successfully delivering on its price stability mandate by looking at whether the price level is near its stipulated goal.』
『And as the examples I discussed attest, this is not a “dove” or “hawk” issue: a flexible price-level framework is well suited for achieving both price stability and employment goals. In the 1960s and early 1970s, a price-level framework would have called for tighter monetary policy, and thereby avoided the stagflation of the late 1970s. In recent years, it called for easier monetary policy than a standard Taylor rule.』
講演の方は [外部リンク] and Challenges from Globalization May 11, 2017 William C. Dudley, President and Chief Executive Officer Remarks at the Bombay Stock Exchange, Mumbai, India
『Underlying constants like potential GDP, the natural rate of unemployment, and the natural rate of interest are not really constant: They change over time in unpredictable ways. Monetary policy has proven most successful when it has been able to account for these changes. 』
ってことで、潜在成長率や自然利子率が低下している中では金融政策運営の枠組みにもそれに応じた変化が必要、ってな話をしていまして、その次が『Price-Level Targeting and Anchoring Inflation Expectations』って小見出しなのよ。
『Although the natural rate of interest is the topic du jour, the challenges for monetary policy to adapt to uncertain and changing natural rates is not new. In a series of research papers, Athanasios Orphanides and I investigated the design of robust monetary policy strategies that can succeed in the face of real-world uncertainties, including about the natural rates of interest and unemployment.』
『Without going into the details-I invite you to read the paper at your leisure-according to our model simulations, such a robust price-level strategy could have delivered fairly stable inflation throughout the 1960s and 1970s and beyond.』
『This result is seen in Figure 1, where the black line shows the actual inflation rate, which twice reaches double digits. The blue line shows the simulated inflation rate that would have occurred if the Fed followed a policy strategy that aims for a constant 2 percent increase in the price level starting in 1966 (the simulation ends in 2003).』
『Under the price-level strategy, monetary policy would have avoided the mistake of the late 1960s of allowing the unemployment rate to remain very low for a long time, which contributed to the run-up in inflation during that period. As a result, the Great Inflation never materializes.』
『A key to this strategy’s success is the rock-solid anchoring of inflation expectations. Figure 2 compares a real-world measure of one-year-ahead inflation expectations from the Survey of Professional Forecasters (the black line) to the model’s predictions of what inflation expectations would have been if the Fed had followed the price-level targeting strategy (the blue line). An important aspect of this strategy is that it does not allow inflation to stray too far from 2 percent for long. This “walking the talk” of price stability reinforces the public’s understanding of the policy strategy and creates a positive feedback loop where stable inflation anchors inflation expectations, which in turn fosters stable inflation, which reinforces the anchoring of expectations, and so on.』
『The price-level policy is not only effective in terms of price stability, but also helps stabilize the unemployment rate by avoiding swings in unemployment resulting from the Fed trying to get inflation back on track (Figure 3).』
『With the Great Inflation avoided, the economic slowdown needed to bring inflation down in the early 1980s doesn’t occur. Interestingly, the policy strategy followed in this model simulation implicitly assumes a constant natural rate of unemployment. Nonetheless, the policy does a reasonably good job of tracking the natural rate of unemployment, which is assumed to be equal to the Congressional Budget Office’s estimate shown by the dashed red line in the figure.』
ボストン連銀のページから。 [外部リンク] in Commercial Real Estate By Eric S. Rosengren May 9, 2017
概要の方から少々。
『Speaking in New York on Tuesday, Boston Fed President Eric Rosengren discussed commercial real estate valuations. While a variety of favorable conditions account for some of the elevated valuations, he noted that at such times it is worth asking what could go wrong and cause a reversal.』
ということで講演そのものは商業用不動産市場に関するお話ですな。
『"While I do not expect that a downturn in commercial real estate prices would by itself cause a significant problem for the economy, in some past recessions such an occurrence has propagated an initial adverse shock - and by constraining financial intermediaries, made the extent of the subsequent economic downturn more severe for a wide range of households and businesses that depend on intermediaries for credit," Rosengren said, echoing themes he has stressed in prior analysis.』
『He acknowledged a number of favorable "tailwinds" accompanying rising commercial real estate valuations, including low and stable inflation, accommodative monetary policy, and the relative economic strength in the U.S. compared with the rest of the world. Rosengren also said that greater urbanization, later marriage age, and preferences among the large cohort of millennials are additional favorable trends for multifamily commercial real estate.』
『However, Rosengren cautioned that it is harder to know if these conditions warrant the extent of price increase we have seen to date.』
『"For almost any asset category, positive trends can sometimes evolve into prices that increase more than fundamentals justify," Rosengren said. "It is very hard to distinguish how much of the price gain is the result of the favorable fundamentals, and how much reflects an abundance of optimism by investors."』
『Rosengren noted that government‐sponsored enterprises (or "GSEs") have significant holdings or guarantees of multifamily loans outstanding. If future reform proposals required the GSEs to reduce their holdings of multifamily loans "a potential and significant shock to this sector of the commercial real estate market could occur."』
『Rosengren concluded by noting that leveraged institutions and GSEs have significant exposures to commercial real estate. In the event of an adverse scenario such as a recession, these exposures could pose significant risks to these institutions.』
『"While I am certainly not expecting such a scenario to occur, central bankers are charged with thinking about adverse risks to the economy. So current valuations in real estate are one such risk that I will continue to watch carefully," Rosengren said.』
