2017 年 4 月 7 日 亚洲经济分析 研究报告 强劲的“金融脉冲”对区域增长只能带来暂时提振 美国总统大选之后全球股市已上涨了逾 9%，其中发达市场涨幅略低 于 10%、新兴市场涨幅超过 8%。股市大涨难免让人将其视作反映增 长及相关市场情绪的晴雨表，并认定股市走高将对应着经济增速上 行。但是仅仅关注股市可能忽视了潜在的宏观-金融因素变化，它们 能在不同程度上对整个金融状况产生影响。 我们分析了一系列资产，包括全球股市、债市、油价、美元贸易加 权汇率以及国内股市和债市，我们认为它们从亚洲各经济体的角度 归纳了整体金融状况；而且我们评估了这些资产近期的走势对于未 来区域增长的潜在影响。 我们根据这一系列资产的价格变化模式来将整体金融状况拆分为源 自外部和国内宏观-金融因素的影响，即市场对于(1) 全球及国内增长 状况、(2) 全球及国内货币政策变化以及(3) 原油供应状况的看法出 现了怎样的变化，我们认为它们是金融状况的最重要推动因素。这 些宏观-金融因素变化对于区域增长的脉冲可以综合发力，形成对区 域增长的金融状况脉冲。简而言之，不同的宏观-金融因素会以不同 方式对金融状况产生影响，意味着经济活动的未来走势也将有所区 别。 我们的宏观-金融因素研究表明自从美国总统选举以来，虽然围绕全 球经济增速的市场情绪有所好转，但是市场也开始意识到美联储和 区域央行的政策将有所收紧。对于政策收紧的预期已经推动区域利 率走高，并抑制了当地股市走势。 根据我们的估算，目前金融状况脉冲对区域经济增长的推动依然强 劲，但如果市场价格保持在当前水平则今年晚些时候的经济增速将 有所放缓。虽然市场对于增长的看法改善，但对于货币政策的预测 已从宽松转向收紧，整体市场状况显示日后区域增长得到的支撑将 减弱。 Jonathan Sequeira +852-2978-0698 email@example.com 高盛（亚洲）有限责任公司 Andrew Tilton +852-2978-1802 firstname.lastname@example.org 高盛（亚洲）有限责任公司 投资者不应视本报告为作出投资决策的唯一因素。 有关分析师的申明和其他重要信息，见信息披露附录，或参阅 www.gs.com/research/hedge.html。 高盛集团 全球投资研究 Goldman Sachs Fading boost from financial conditions 1. Focus on equity performance overlooks shifts in underlying macro financial factors Since the US presidential election, global equities have risen over 9%, with DM equities returning just under 10%, and EM equities returning over 8%. Asia regional equity markets initially fell as the dollar strengthened but have since rebounded, returning over 10% since the beginning of the year. One temptation when observing this ebullience in global equity markets is to take it to be a barometer for growth and growth sentiment and conclude that better equities imply better growth. However, this overlooks the reality that all moves in the equity market are not equal. A 10% increase in Korean equities on a dovish Fed has different implications for Korean growth than a 10% increase in Korean equities on a dovish BOK or a 10% increase in equities on improving global or domestic growth sentiment. To see why this is the case it is necessary to put the move in equities in the context of moves in other asset classes and ultimately in the context of the market’s changing perceptions of the underlying macro-financial factors at play: (1) For instance, if the move in Korean equities is due to the market coming to expect a dovish change in Fed policy then this has the effect of lifting all assets – increasing prices of equities and bonds, weakening the dollar and easing financial conditions globally. (2) On the other hand, a move in Korean equities on expectations of more dovish policy from other global central banks like the ECB & BOJ pushes global equities and fixed income markets higher, but effects of EUR or JPY currency weakness on global financial conditions would likely be less meaningful than those of dollar weakness on a dovish Fed.1. (3) Similarly, if the move in Korean equities is on an improvement in global growth sentiment then that tends to lift some assets and lower others. Financing for growth-sensitive assets like equities becomes cheaper, but financing in fixed-income markets might be more expensive if improving growth expectations push bond yields higher. (4) Domestically, higher Korean equities on expectations of easier domestic policy or better domestic growth sentiment might ease domestic financial conditions, but without any of the benefits of improving external financial conditions. The inference is that a 10% move in Korean equities on Korean growth could have varying outcomes, depending on the underlying mix of macro-financial factors. Determining what combination of changes in the macro-financial factors caused the 1. The dollar remains the global payments and funding currency of choice and moves in the dollar have very important implications for financial conditions in the rest of the world and emerging markets in particular. See J. Sequeira & A. Tilton (2016), “What a tighter Fed and a stronger dollar mean for Asian growth”, Asia Economics Analyst, 07 November 2016 for more details. 7 April 2017 Page 2 Goldman Sachs 10% increase in equities has implications for growth. It is entirely possible to see a 10% increase in equity prices, and at the same time, see shifts in macro-financial factors – and hence broader financial conditions – that do not support economic growth and activity in future periods. Going back to a regional perspective, since November last year, while global equity markets have gone up, global bond yields have also gone up (Exhibits 1, 2). Global commodity prices have been weaker recently but broadly trended higher as well. In the region, domestic equities rallied while domestic bond yields followed the move higher in global bond yields. Regional currencies initially weakened against the dollar, but have since recovered almost all their initial losses. Exhibit 1: Global stocks and oil prices have risen and the dollar has almost retraced move since November... Index 120 Exhibit 2: ... but global and regional rates have risen as well Index 120 115 115 Global stocks 110 110 Brent oil 105 EM Asia stocks Broad US dollar index 100 95 90 Nov-16 Feb-17 Mar-17 Source: Bloomberg, Goldman Sachs Global Investment Research Apr-17 0.5 0.4 0.3 G3 5-year swap rates 0.2 100 0.5 0.4 0.3 90 Jan-17 Percentage points 0.6 EM Asia 5-year swap rates 105 95 Dec-16 Percentage points 0.6 0.2 0.1 0.1 0 0.0 -0.1 Nov-16 -0.1 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 Source: Bloomberg, Goldman Sachs Global Investment Research Taken together what do market moves across these assets since November tell us about underlying regional growth going forward? This is the problem we set out to address in this piece. 1. We start out with this representative set of assets – i.e. global equities, global yields, oil prices, the US dollar trade weighted currency index, domestic equities and domestic yields – that we think summarize broader financial conditions from the point of view of each Asian economy. The Goldman Sachs Global Macro team has long championed a financial conditions perspective on the economy. From the late 1990s when Goldman Sachs first introduced one of the first financial conditions indices (FCI) for the US,2. we have relied extensively on financial conditions to characterize the economic outlook for the economies that we cover. 2. We then rely on the patterns of price comovement across this set of assets to break broader financial conditions down into the contribution from the set of external and domestic macro-financial factors that we think are the most important drivers of financial conditions. The four external macro-financial factors we consider are: changes in the market’s views on (1) global growth, (2) Fed policy, (3) monetary policy at other global central banks like the ECB and BOJ, (4) oil supply conditions. 2. W. Dudley and J. Hatzius (2000), “The Goldman Sachs Financial Conditions Index: The Right Tool for a New Monetary Policy Regime, “Global Economics Paper No. 44. 7 April 2017 Page 3 Goldman Sachs For each regional economy, the two domestic macro-financial factors are changes in the market’s views on (1) domestic growth or (2) domestic policy (as reflected in domestic asset prices). 3. Finally, we relate these six macro-financial factors, and the change in broader financial conditions that they imply, to regional economic activity. The impulse to growth from each of the six macro-financial factors can be combined to give the aggregate financial conditions impulse to regional economic activity. To put it simply, different price patterns across assets imply different macro-financial factors and different macro-financial factors impact broader financial conditions in different ways, implying different future paths for economic activity. To anticipate our results, we find that n Our estimates of the macro-financial factors have significant predictive power on subsequent economic performance in each regional economy. Better global or domestic growth sentiment is associated with faster growth in the future, perceptions of tighter global or domestic policy are associated with slower growth, while positive oil supply shocks are associated with better actual growth in the future. n n n We also find that changes in the external macro-financial factors (the market’s perception of global growth, Fed policy, ECB/BOJ policy and oil supply) tend to have much larger impacts on domestic growth than changes in the domestic macro-financial factors (the market’s sentiment on domestic growth and domestic policy). Since the US presidential election, while global growth sentiment has improved, the market has also come to expect tighter policy from the Fed and regional central banks. These expectations of tighter policy have contributed to the move higher in regional rates and weighed on the move in regional equities. According to our estimates, the aggregate financial conditions impulse to regional growth from our estimated macro-financial factors is still strong currently, but suggests a deceleration in growth later in 2017 should market prices stay at current levels. While the market’s sentiment on growth has improved, its assessment of policy has been shifting from easy to tight, with overall market conditions suggesting less support for regional growth going forward. Of course, in reality there are a number of other factors that can affect the real economy in addition to the macro-financial factors assessed here. There is also significant model and estimation uncertainty around these estimates and we emphasize the qualitative and directional implications of the analysis rather than the magnitude of the point estimates. 2. Improved global growth sentiment, in a tighter policy environment To disentangle the macro-financial factors behind regional asset moves we use our set of regional asset price decomposition models. To briefly outline the key features of this model: Financial conditions are summarized by a set of global asset prices – global 7 April 2017 Page 4 Goldman Sachs equities, global yields, oil prices, the US dollar trade weighted currency index and domestic asset prices – domestic equities and domestic yields. Moves in financial conditions are split into the set of six underlying macro-financial factors outlined in the previous section. Our empirical method for distinguishing between which macro-financial factors are driving asset prices at each point in time is a formalization of the simple asset price correlation framework that market participants use every day to pinpoint which macro forces are driving underlying price action across global assets. For example, underperformance of equities and other growth sensitive assets like commodities, and simultaneous outperformance of safe haven assets like gold and G3 bonds likely indicates negative global growth sentiment. A good run for global equities and bonds alongside broad dollar weakness could signal a dovish change in the market’s interpretation of the Fed’s policy stance. Broad equity underperformance, alongside a surge in commodity prices and outperformance of commodity currencies might point to commodity-market specific drivers. Our framework uses the simple insight that the different kinds of macro-financial factors drive different patterns of price action across assets. The specifics of the model methodology and key limitations are outlined in the box at the end of this piece. Exhibit 3 & 4 give this model’s decomposition of average regional swap rate and equity moves since November 2016 into the four external macro-financial factors (global growth, Fed policy, other global policy and oil supply factors and the two domestic macro-financial factors (domestic growth, domestic policy). An improvement in global growth sentiment has been one of the primary macro-financial factors. This improvement has pushed both regional rates and regional equities higher since November 2016. However, the market also appears to have priced in tighter policy both from the Fed and from regional central banks. This perception of tighter policy contributed meaningfully to the move higher in regional swap rates and has weighed on regional equity performance since November. Exhibit 3: Tighter Fed and regional policy expectations were important drivers of higher regional rates Exhibit 4: ... and also weighed on move in regional stocks Contribution of macro-financial factors to move in regional stocks Contribution of macro-financial factors to regional 5-year rate move Percentage points 1.0 Percentage points 1.0 Oil supply ECB/BOJ policy Domestic policy 0.8 Fed policy Domestic growth 0.6 Global growth 0.8 0.6 Percent change 20 Percent change 20 Oil supply Domestic policy ECB/BOJ policy 15 Fed policy Domestic growth 10 Global growth 15 10 0.4 0.4 5 5 0.2 0.2 0 0 0.0 0.0 -5 -5 -0.2 -0.2 -10 -10 -0.4 -0.4 -15 -15 -0.6 -0.6 -20 Nov-16 Dec-16 Jan-17 Jan-17 Source: Bloomberg, Goldman Sachs Global Investment Research 7 April 2017 Feb-17 Mar-17 -20 Nov-16 Dec-16 Jan-17 Jan-17 Feb-17 Mar-17 Source: Bloomberg, Goldman Sachs Global Investment Research Page 5 Goldman Sachs 3. Financial conditions to turn less supportive on fading growth, tighter policy impulse To estimate the predictive content of the changes in financial conditions implied by our estimates of the macro-financial factors, we estimate a simple single-equation model that explains changes in annualized real GDP growth since 2001 in each regional economy as a function of past and present changes in the six macro-financial factors that were estimated in the previous step. The fit of each of these models is relatively good considering that this approach only uses asset price data – and no other information or actual economic data – to identify the shocks. The key conclusions of our analysis are as follows: (1) Regional growth more sensitive to changes in external macro-financial factors... The estimated impacts of changes in macro-financial factors on future growth are (statistically) significant and in the expected direction. Our model suggests that a 100bp increase in domestic swap rates due to an improvement in global and domestic growth sentiment is associated with a cumulative increase of around 2pp and 0.6pp respectively for median regional real GDP growth over the year following the increase. On the other hand, a 100bp increase in domestic swap rates on a hawkish shift in the market’s perception of Fed policy, ECB/BOJ policy or domestic monetary policy tends to shave around 1.8pp, 1.3pp or 0.3pp, respectively from median real GDP growth rates across the region over the year after the shift (Exhibit 5). The chart also indicates that changes in domestic rates driven by changes in the external macro-financial factors (the market’s perception of global growth, Fed policy, ECB/BOJ policy and oil supply) tend to have more significant impacts than changes in the domestic macro-financial factors. This is because a 100-bp increase in domestic rates on better global growth sentiment is accompanied by a corresponding increase in the price of growth-sensitive assets globally (global and domestic equities, for instance, both go up), whereas a 100-bp increase in domestic rates on an improvement in domestic growth sentiment only affects domestic assets. Similarly, a 100-bp increase in swap rates on tighter Fed policy would be accompanied by a much broader tightening in financial conditions (global equities ↓, global rates ↑, oil prices ↓, domestic equities ↓ and domestic rates ↑) than a 100-bp increase in rates on tighter domestic policy (domestic equities ↓, domestic rates ↑). 7 April 2017 Page 6 Goldman Sachs Exhibit 5: Regional growth more sensitive to changes in external macro-financial factors Exhibit 6: External macro-financial factors the dominant driver of regional financing conditions and activity Median impact on regional growth from macro-financial factors that raise regional 5-year swap rates by 100bp* Contribution of external and domestic macro-financial factors to total financial conditions impulse to regional growth Percentage points 2.5 Percentage points 2.5 Better Global Growth 2.0 1.5 1.0 Better Domestic Growth 2.0 8 8 1.5 6 6 1.0 4 4 2 2 0 0 -2 -2 0.5 0.5 0.0 0.0 -0.5 Tighter Domestic Policy -1.0 Tighter ECB/BOJ policy -1.5 -0.5 -1.0 -1.5 Tighter Fed policy -2.0 -2.0 -2.5 -2.5 0 1 2 Quarters after shock 3 Percentage points 10 Percentage points 10 4 Source: Goldman Sachs Global Investment Research, *We choose to calibrate growth impacts to moves in regional 5-year swap rates but each macro-financial factor implies differential moves in broader financial conditions -4 -4 Net domestic financial impulse Net external financial impulse Aggregate financial conditions impulse Average regional real GDP growth less trend^ -6 -8 -10 2008 2009 2010 2011 2012 2013 2014 2015 2016 -6 -8 -10 2017 Source: Bloomberg, Haver Analytics, ^The fixed time trend is determined by the constant in our linear regression model (2) ... and these factors are the dominant drivers of historical variations in regional real GDP growth. Using the estimated sensitivities we calculate the aggregate financial conditions impulse to regional growth from changes in the six macro-financial factors. This aggregate financial conditions impulse has explained a meaningful proportion of the variation in real GDP growth across the region over the past decade (Dark black line in Exhibit 6). Changes in external macro-financial factors in particular, have been the dominant driver of changes in the aggregate financial conditions impulse (Light blue bars in Exhibit 6). This is likely the case because (1) with the exception of China, our model suggests that external macro-financial factors typically explain a very significant chunk of the total variation in regional asset prices (2) as discussed above, regional growth is more sensitive to changes in financial conditions driven by external macro-financial factors relative to changes in domestic macro-financial factors (Exhibit 5). (3) Tighter financial conditions shaved a modest chunk off regional growth in 2014/15… Exhibit 7 zooms in on the drivers of the net financial conditions impulse (the dark black line in Exhibit 6) over the last three years. The model suggests that financial conditions were a net drag on the region from mid-2014 though early 2016, shaving about 1.2pp off quarterly growth over that period. The beneficial cost deflation story on the commodities supply side and the easing impulse via global central banks like the ECB and the BOJ and domestic central banks were a net positive for the region, cumulatively contributing 0.6pp to quarterly growth across the region. However, global growth fears generated by China policy uncertainty from mid-2015 and the building in of more hawkish Fed policy expectations that pushed the dollar considerably stronger over that period, each shaved 0.9pp off the quarterly path for regional growth, over this period. (4) ... but eased in 2016, boosting regional growth. The drag from financial conditions began to reverse in early 2016 as markets grew more sanguine about China related risks and also crucially, as expectations for Fed policy and other global policy turned 7 April 2017 Page 7 Goldman Sachs significantly more dovish. More recently, the optimism on global growth and ‘reflation’ has taken over from where the easier policy impulse left off to continue to drive a material loosening in regional financial conditions, pushing growth even higher above trend. Exhibit 7: Financial conditions turn less supportive on fading growth, tighter policy impulse Contribution of external and domestic macro-financial factors to total financial conditions impulse to regional growth Percentage points Percentage points 4.0 Global growth Fed policy ECB/BOJ policy Net financial impulse 3.0 2.0 4.0 Domestic growth Domestic policy Oil supply 3.0 2.0 1.0 1.0 0.0 0.0 -1.0 -1.0 -2.0 -2.0 -3.0 -3.0 -4.0 -4.0 Q1 Q2 Q3 2014 Q4 Q1 Q2 Q3 2015 Q4 Q1 Q2 Q3 2016 Q4 Q1 Q2 Q3 2017 Source: Source: Goldman Sachs Global Investment Research (5) Fading growth, tighter policy impulse suggests less support for regional growth going forward. What do current financial conditions suggest for Asian growth going forward? We project the net financial impulse for the year ahead assuming that all macro-financial factors are unchanged from their current state. The projected impulse is a reflection of how much changes in external and domestic financial conditions to date would affect regional growth over the course of the coming year. Under this baseline scenario we see a diminishing boost from financial conditions to regional growth later in 2017 should market prices stay at current levels (Exhibit 7). In particular, with all the focus on global ‘reflation’ impulse and the ebullience in global markets what has silently changed under the surface and appears to be increasingly weighing the scales in the other direction, is the “policy” impulse that kicked off the easing in financial conditions last year. This policy impulse is slowly mutating from “easy” last year to “tight” this year. Given this shift in the market’s assessment of monetary policy, should its sentiment on growth stabilize at current levels then financial conditions suggest less support for regional growth going forward. Of course, these projections could shift, depending on how markets evolve going forward.3. In addition, there is significant model and estimation uncertainty around the 3. On our estimates, it would take significant continued positive global growth or domestic growth sentiment shocks (which imply a big equity market rally and increase in long-dated rates) or a major reversal of the market’s perception of global and domestic central bank policy (which implies a big equity market rally and 7 April 2017 Page 8 Goldman Sachs point estimates and we emphasize the qualitative and directional implications of the analysis rather than the magnitude of the point estimates. The technical box at the end of the piece explores the limitations and caveats around the model-based analysis in more detail. Overall, the results broadly support our view that regional growth is tracking at a healthy rate for Q1, but downside risks could be more relevant later in the year. We will continue to keep a close watch on incoming regional data to update our views on regional growth going forward. Estimating the impact of financial conditions on regional growth 1. Identify contribution of external macro-financial factors – the market’s perception of global growth, Fed policy, other global central bank policy, oil supply – to changes in external financial conditions In the first step of our modeling approach, we start with a portfolio of global asset prices – global equities (Global MSCI ex-energy), global yields (G3 5-year swap rates), Brent oil prices and the US dollar trade weighted currency index – that summarize external financial conditions. We then use a set of ‘sign-restrictions’ to decompose weekly changes in this set of global asset prices since January 2000 into a set of four external macro-financial shocks – changes in the market’s views on global growth, Fed policy, policy by other global central banks like the ECB and the BOJ, and oil supply factors – that typically drive external financial conditions. Essentially, as market participants receive new information, they use the extent to which the content of that information is a “surprise” relative to the prevailing narrative and update their views on the underlying macro drivers – over time these surprises cumulatively explain a given move in global asset prices and hence global financial conditions. The “sign-restrictions” that we use are akin to a very simple set of rules that market participants use each-day when trying to decipher between which global macro factors are driving global markets. For example, when global equities, global yields and oil prices move up during a certain week and the dollar depreciates, that might be attributed to an improvement in the market’s perception of global growth or a reduction in global risk aversion. In contrast, if during a certain week, global yields move up and the dollar appreciates while commodities and global equities sell off, that might indicate a hawkish shift in the market’s perception of the Fed’s reaction function. A fall in global equities, alongside a surge in oil prices and dollar weakness might hint at commodity-market specific drivers. Our model exploits the fact that global asset prices react to news related to different global macro factors in different ways to distinguish between the global macro-financial shocks that are driving global asset prices. More specifically, our model labels any positive comovement between global equities, global yields and oil prices as “global growth” shocks. A fall in global equities and the dollar alongside an increase in oil prices, or vice-versa, are labelled “oil-supply” related shocks. If global equities and commodity prices fall in lockstep with an increase in the dollar and global yields, or global equities and commodity prices rise as the dollar and global yields fall then those movements are labelled “Fed policy” shocks. If the dollar reduction in long-dated rates) to sustain the current favourable level of the growth impulse into the next few quarters. 7 April 2017 Page 9 Goldman Sachs instead falls when global yields rise and global equities fall or if the dollar rises when global yields fall and global equities rise, then the model labels those surprises “other global policy” shocks. Exhibit 8 summarizes these “sign restrictions” that are a key building block of our analysis. Exhibit 8: Variations in asset price comovement help distinguish between the four global macro shocks Asset price / Surprise Global Growth Fed policy Other global policy Oil supply Global MSCI ex-energy + - - - G3 5-yr swap rates + + + n.a. USD Trade Weighted Index - + - - Brent + - n.a. + Note: We use +/- to indicate when the impact of a given factor or surprise on a certain asset price is expected to be postive or negative. We use n.a. when we do not impose any priors on the sign of an asset's price response to an underlying surprise. Source: Goldman Sachs Global Investment Research 2. Identify contribution of domestic macro-financial factors – the market’s perception of domestic growth and the domestic policy stance – to changes in domestic financial conditions In this next stage, we decompose changes in domestic equities and domestic 5-year swap rates into contributions from two domestic macro-financial factors —domestic growth sentiment and the market’s perception of the domestic monetary policy stance —as well as the four external macro-financial factors —global growth, Fed policy, other global monetary policy and oil supply. The intuition of our method is straightforward. First, we strip out the effects of the external macro-financial factors that we identified in the previous step from weekly changes in domestic equities and domestic rates. Second, assuming that the residual changes in domestic assets are on account of domestic macro-financial factors, we reapply the logic of the simple asset price correlation framework to decompose the residual changes into contributions from domestic growth and domestic monetary policy shocks. Essentially, after fully taking into account the impact of the main external financial factors that impact local markets, if domestic equities and domestic rates move up together in a certain week that could indicate an improvement in the market’s outlook for domestic growth in that economy. Similarly, after accounting for the main external financial factors, if domestic equities move up while domestic rates fall during a certain week then that could indicate a dovish shift in the market’s interpretation of the domestic central bank’s reaction function. We therefore label any positive co-movement between the domestic swap rate and domestic equity residuals as “domestic growth” shocks and the negative co-movement between the domestic swap rate and domestic equity residuals as “domestic monetary policy” shocks. A more detailed technical description of the empirical approach is outlined in the technical box at the end of this piece. Exhibits 3 and 4, plot the final decomposition of regional asset prices into this set of external and domestic macro-financial factors. 3. Estimate impact of changes in external and domestic financial conditions on regional growth In the second step, we build a simple single equation model that explains annualized real GDP growth in each regional economy as a function of the four external macro-financial factors and two domestic macro-financial factors that were identified in the previous step. We regress quarterly real GDP growth in each economy since Q1 2000 on present and lagged changes in the six global macro-financial factors, calibrated in terms of their impact on the domestic rates. We could equivalently calibrate the 7 April 2017 Page 10 Goldman Sachs macro-financial factors in terms of their impact on domestic equities without changing any of the material implications of the model for regional growth. Exhibit 7 plots the individual contributions of the six global macro-financial shocks to the aggregate financial conditions impulse to regional growth. We have used similar techniques in a number of our previous pieces. See J. Sequeira & A. Tilton (2016), “What a tighter Fed and a stronger dollar mean for Asian growth”, Asia Economics Analyst, 07 November 2016, J. Sequeira & A. Tilton (2016), “Lower oil prices not all good news for regional growth”, Asia Economics Analyst, 09 May 2016, and also the technical box in J. Sequeira & A. Tilton (2016), “Deciphering what markets say about growth”, Asia Economics Analyst, 22 July 2016, for more detail on the technical model specifications and routines used. Our global economics team has also used similar techniques in a number of their global publications (see for instance, J. Hatzius and J. Stehn (2016), “Macro Shocks and Financial Conditions”, Global Economics Analyst, 14 May 2016). 4. Caveats, considerations and avenues for future work There are a number of considerations to keep in mind when interpreting these model implied estimates. n n n First, our “sign-identification” schemes for global macro-financial shocks sometimes also capture broader influences than just global growth, global monetary policy or oil supply factors. For instance, a supply-side shock that pushes inflation expectations up and growth expectations lower, could be interpreted as either a monetary policy shock or a global growth shock in our framework depending on whether global nominal yields rise or fall in response to that shock. A possible extension of our framework, to address this specific issue, would be to capture global “supply-side” shocks by using breakeven inflation markets in the G3 economies. Second, we emphasize the model-dependent nature of these estimates. Any implications are usually only as good as the underlying models. To test the sensitivity of our conclusions to model choice, we replicated our analysis—particularly for the step where we relate global macro-financial shocks to real GDP growth in each economy—using a more sophisticated vector-autoregression (VAR) methodology. While the main thrust and directional implications of our conclusions are unchanged, there are modest differences in the point estimates and contributions from the various macro-financial shocks to the implied impulse to growth depending on the model chosen. Given these model sensitivities, we emphasize the qualitative and directional implications of our analysis as opposed to focusing on the implications of each point estimate, taken by itself. Third, while the underlying structure of the economy is always changing, our model parameters are fixed and estimated over a sample period of over 15 years. This parameter invariance implies that the model is usually more representative of the behavior of the macro economy structured as it was in the past and less representative of how it is now, given underlying changes in its economic structure. It also means that estimates of the financial impulse to regional growth are revised when the model and model parameters are updated as new market and GDP growth data becomes available. Some preliminary analysis suggests that while these revisions are not large from week-to-week or quarter-to-quarter, they can be more meaningful over longer timeframes. A possible extension of our framework could be to look at alternate models that allow structural parameter estimates to change gradually over time. n 7 April 2017 Page 11 Goldman Sachs n Finally, one of the key assumptions of our analysis is that there is no bidirectional causality – i.e., the external macro-financial factors can influence domestic growth in the Asian economies but not the other way around. The assumption is perfectly reasonable for most economies in the region, with the exception of China, where domestic developments now appear to have a significant impact on global developments. The long estimation horizon of 15 years works in our favor here given China was arguably too small to matter for the global picture until more recently, and as a result we still have a degree of confidence in the identification scheme and model-based implications for China. 7 April 2017 Page 12 Goldman Sachs Forecast Tables Real GDP Growth (year-over-year) 2016 Asia ex-Japan China India South Korea Hong Kong Taiwan ASEAN Singapore Malaysia Thailand Indonesia Philippines USA Euro area Japan 6.2 6.7 7.1* 2.7 1.9 1.5 4.6 2.0 4.2 3.2 5.0 6.8 1.6 1.7 1.0 GS 6.1 6.6 7.5* 2.4 2.2 1.8 4.7 3.2 4.3 3.0 5.3 6.6 2.2 1.6 1.4 2017 Consensus 6.0 6.5 7.3* 2.5 2.0 1.8 2.1 4.3 3.3 5.2 6.4 2.2 1.6 1.2 GS 6.1 6.3 7.8* 2.5 2.0 2.2 4.9 2.0 4.8 3.0 5.8 6.4 2.2 1.4 1.1 2018 Consensus 6.0 6.2 7.7* 2.5 2.1 1.9 2.1 4.4 3.2 5.4 6.3 2.4 1.5 1.0 Potential Growth^ 6.0 7.6 3.1 2.4 2.6 3.2 5.2 4.0 6.3 6.5 1.8 1.0 0.5 ^GS estimates for annualized growth rate of potential output from 2016-20 *Fiscal year basis (forecast), 2016 is India FY17 (April 2016-Mar 2017). Source: Consensus Economics, Goldman Sachs Global Investment Research Consumer Prices (year-over-year) 2016 Asia ex-Japan China India South Korea Hong Kong Taiwan ASEAN Singapore Malaysia Thailand Indonesia Philippines USA Euro area Japan 2.6 2.0 4.6* 1.0 2.4 1.4 2.2 -0.5 2.1 0.2 3.5 1.8 0.9 0.2 -0.1 GS 2.9 2.3 5.1* 1.8 2.5 1.4 3.0 1.0 2.5 1.4 4.1 3.3 2.7 1.4 0.4 2017 Consensus 2.9 2.3 4.7* 1.8 1.9 1.5 1.0 3.3 1.6 4.4 3.2 2.5 1.7 0.7 GS 3.2 2.6 5.4* 1.7 2.7 1.8 3.3 1.5 2.7 1.5 4.6 3.1 2.1 1.1 0.6 2018 Consensus 3.0 2.3 5.1* 1.8 2.1 1.4 1.3 2.5 1.9 4.3 3.3 2.3 1.4 1.0 Inflation Target/Range 3.0^ 2.0-6.0 2.0 1.0-4.0 3.0-5.0 2.0-4.0^^ 2.0 1.9** 2.0 *India: Fiscal year basis (forecast). **ECB aims to maintain inflation rates "below, but close to, 2% over the medium term" ^We see the "target" as the upper band of the desirable range. ^^ BSP inflation target 3% +/- 1% for 2016-2017. Source: Central Banks, Consensus Economics, Goldman Sachs Global Investment Research 7 April 2017 Page 13 Goldman Sachs Forecast Tables (continued) Policy Interest Rates (percent) Current 6-Apr 1QF 2017 2QF 3QF 4QF 1QF 2018 2QF 3QF 4QF Asia ex-Japan China 2.80 2.70 3.00 3.00 3.00 3.00 3.00 3.00 3.00 India 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 6.25 South Korea 1.25 1.25 1.00 1.00 1.00 1.00 1.00 1.25 1.50 Hong Kong - - - - - - - - - 1.38 1.38 1.38 1.38 1.50 1.63 1.75 1.75 1.88 - - - - - - - - - Malaysia 3.00 3.00 3.00 3.00 3.00 3.25 3.25 3.25 3.25 Thailand 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 Indonesia 4.75 4.75 4.75 4.75 4.75 4.75 4.75 5.00 5.25 Philippines^ 3.00 3.00 3.25 3.25 3.50 3.50 3.75 3.75 4.00 USA 0.82 0.79 1.13 1.38 1.38 1.63 1.88 2.13 2.38 Euro area 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Japan -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 Taiwan ASEAN Singapore Policy interest rates: China: 7-day repo (intraday), India: repo rate; Korea: 7-day repo; Malaysia: overnight policy rate; Thailand: 1-day repo, Philippines: repo rate, Indonesia: Bank Indonesia policy rate, Taiwan: rediscount rate; USA: Fed funds effective rate; Euro Area: Main refinancing operations: fixed rate; Japan: Overnight call rate. ^Starting from 2016 Q2, we forecast the overnight reverse repurchase facility (RRP) rate after BSP shifted to the IRC system. We interpret this change as a purely operational change, not as a change in policy stance Source: Haver Analytics, Bloomberg, Goldman Sachs Global Investment Research Exchange Rates (local currency units per USD) Current 5-Apr 3-Month Horizon 6-Month Horizon 12-Month Horizon Forward Forecast Forward Forecast Forward Forecast Asia ex-Japan China^ 6.89 6.95 7.00 7.00 7.15 7.09 7.30 India 64.9 65.6 66.5 66.4 67.0 67.8 68.0 South Korea 1127 1127 1220 1125 1250 1121 1280 Hong Kong 7.77 7.76 7.85 7.75 7.85 7.74 7.85 Taiwan 30.4 30.3 32.0 30.2 32.5 30.1 33.0 Singapore 1.40 1.40 1.44 1.40 1.46 1.40 1.48 Malaysia 4.43 4.46 4.45 4.48 4.50 4.52 4.50 Thailand 34.6 34.6 35.0 34.6 36.0 34.7 36.5 Indonesia 13326 13450 13250 13615 13500 13965 13750 Philippines 50.2 50.5 49.5 50.8 50.0 51.4 50.5 ASEAN Euro area* 1.07 1.07 1.08 1.08 1.04 1.09 1.00 Japan 111.2 110.5 118.0 110.0 120.0 108.9 125.0 * USD per Euro ^We forecast $/CNY fix rate. Forward rates are actual market prices. Source: Goldman Sachs Global Investment Research 7 April 2017 Page 14 Goldman Sachs Highlights of Recent Goldman Sachs Global Macro Research Asia ex-Japan GS real money EM fund positioning survey update and Asian rates view Mar 17, 2017 Trade shocks and currency shields Feb 20, 2017 Implications of possible US trade protectionism on production in Asia Jan 20, 2017 Questions for 2017 Jan 9,2017 EM Asia outlook: Global reflation meets China’s “bumpy deceleration” Nov 21, 2016 The US election and its implications for Asian economies Nov 14, 2016 What a tighter Fed and a stronger dollar mean for Asian growth Nov 7, 2016 Three factors behind summer strength in Asia exports—not all will last through winter Oct 28, 2016 Greater China Setting the table at Mar-a-Lago: Agenda for the first Trump-Xi meeting Apr 5, 2017 A ‘real’ity check on China’s reflation Apr 2, 2017 China: Top-line growth peaking, but should remain strong in 2017 Mar 10, 2017 China: When markets’ constructive growth view meets tightening policy bias Mar 3, 2017 What China’s inclusion into global bond indices would mean for capital flows Feb 22, 2017 Risks to China’s growth in the Year of the Rooster Feb 15, 2017 What are markets telling us about Chinese growth? Jan 22, 2017 Rebound in PPI poses limited risk to China’s CPI inflation Jan 15, 2017 HKD defying gravity? Smooth rates catch-up vs. risk of sharper move down the road Dec 13, 2016 Lessons for China from Japan (part 3): Learning from Japan Inc’s speculative ‘zaitech’ activity Dec 12, 2016 The enigma of 007—key interbank interest rate likely to stay fairly volatile for now Nov 29, 2016 China 2017 outlook: Reflation, deceleration, and depreciation Nov 29, 2016 What’s driving the improvement in China’s industrial profit growth? Oct 18, 2016 Headline PPI deflation is likely to end soon, but sustainability hinges on demand recovery Oct 7, 2016 Korea/Taiwan Korea Views: Early presidential election might be ahead Mar 9, 2017 Current account outlook for Korea: Gains from strong chip exports to be largely offset by falling tourism revenues Mar 7, 2017 Oil and ships—Weaker current accounts and weaker KRW Jan 5, 2017 Korea Views: Rising risk of tax hikes in a stagnating economy Nov 30, 2016 2017 Outlook: Small open manufacturing economies in Asia still face structural headwinds Nov 25, 2016 Korea Views: Reported moves to impeach South Korea’s President—outlook and implications Nov 23, 2016 Korea Views: New head of the economic team signals micro tightening and macro easing Nov 3, 2016 Fallout from the global trade slump; Korea to cut over-capacity Jun 17, 2016 Korea Views: Further monetary easing of 50bp ahead, with a more proactive stance of the central bank May 13, 2016 Assessing the current Asian exports cycle—Evidence from Korean exports Apr 7, 2016 7 April 2017 Page 15 Goldman Sachs India Staying in range — our new India inflation model Mar 24, 2017 India: The aftermath of demonetization Mar 13, 2017 India: ‘De-monetization Dashboard’ - update 10 (the recovery process) Feb 18, 2017 Demystifying India’s growth data: How deflators distort the cycle Feb 15, 2017 Budget FY18: Government strikes balance between fiscal prudence and growth boost Feb 2, 2017 Asia’s next domestic growth stories - 2017 outlook for India, Indonesia and Philippines Dec 6, 2016 Demystifying India’s growth data - exploring the difference between economic and earnings growth Oct 18, 2016 Demystifying India’s growth data – the striking statistical discrepancy Sep 23, 2016 A tale of two economies - Rural and Urban Jun 9, 2016 ASEAN Singapore: Revisiting our SGD NEER forecast model, and our expectations of the upcoming MAS meeting Mar 30, 2017 Indonesia: Our new CAI shows that a gradual growth recovery is underway Mar 7, 2017 Indonesia – S&P ratings upgrade could prompt fresh inflows into IDR bond markets, particularly from Japan Mar 7, 2017 Indonesia trip notes – Still “good carry” Jan 17, 2017 Asia’s next domestic growth stories - 2017 outlook for India, Indonesia and Philippines Dec 6, 2016 Thailand Trip Notes - Key takeaways Dec 2, 2016 2017 Outlook: Small open manufacturing economies in Asia still face structural headwinds Nov 25, 2016 Indonesia trip takeaways: Tax amnesty encouraging, but risks to 2017 growth forecast tilted to the downside Oct 4, 2016 ASEAN: Establishing the imports and investment link Sep 1, 2016 Indonesia: Budget revenue slippage and tax amnesty Jun 10, 2016 ASEAN: Monetary policy transmission and the liquidity environment May 26, 2016 ASEAN: Tracking private consumption expenditure Apr 8, 2016 ASEAN: Tracking fiscal performance and assessing fiscal space Feb 25, 2016 Japan BOJ’s JGB purchase: Illustrating a possible market reaction to an “official” tapering announcement Mar 28, 2017 Upward pressure on wages not readily reflected in spring wage negotiations (shunto) Mar 24, 2017 Japan Economic Flash: Labor Market Dashboard (4Q2016): Sharp fall in permanent worker unemployment rate Mar 22, 2017 Rising Engel’s coefficient - Mind the risk Mar 17, 2017 Assessing the effectiveness of FTPL for Japan Mar 3, 2017 US tariffs case study: Impact of steel safeguards in 2002 Feb 27, 2017 Japan Views: US-Japan Leaders’ Summit: Somewhat successful in addressing trade/currency concerns Feb 13, 2017 Japan Economic Flash: Inflation Expectation Monitor (Feb 2017): Economist core CPI forecasts raised, consumer expectations flat and low Feb 8, 2017 Japan Views: BOJ’s yield curve controls: Battle of patience Feb 7, 2017 Japan’s Housing Market (2): Why are residential asset values so low in Japan? 7 April 2017 Page 16 Goldman Sachs Asia Economics Analyst Disclosure Appendix Reg AC We, Jonathan Sequeira and Andrew Tilton, hereby certify that all of the views expressed in this report accurately reflect our personal views, which have not been influenced by considerations of the firm’s business or client relationships. 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高盛高华证券 - 亚洲经济分析：强劲的“金融脉冲”对区域增长只能带来暂时提振