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エコノミクストレンド:【『大恐慌に学べ』の虚と実】

 若田部昌澄、2008年11月3日日経19面、エコノミクストレンド:【『大恐慌に学べ』の虚と実】。日経ネットPLUSでシンクタンクの方々のコメントが載っている。FTのEconomists' Forumと似たものを目指しているのかもしれない。

サブプライム問題の影響が少ない日本の株価急落は、国内要因が響いていることを示唆する。

Topix_er3m_081103  国際要因で言えば、例えば、仮説①サブプライム問題で影響を受けた金融機関が円での株投資を引き上げた可能性が考えられる。このあたりは東京証券取引所で誰が買って、誰が売っているのかを見ると参考になるかもしれない(このポストは有難い)。どうも違うという雰囲気だ。
 左上図はここ三ヶ月のTOPIXの動きで、左下図は円ドルの為替レートの動きである。だいたい同じような動き、つまり、世間で言われている仮説②「為替レートにおける円高」⇒「輸出企業先導の株価急落」のストーリーラインと整合的である。これは、例えば、米国の経常赤字の収縮には、海外財よりも自国財へのバイアスが効いてくるので、実質為替レートが自国通貨安にならなければらないという理論的な仮説(25%切り上げと言っていたのはロゴフ=オブストフェルドだったっけ)と整合的である。
 もちろん、金融政策で総需要を喚起し、非貿易財をできるだけプッシュすれば、名目かつ平均であるTOPIXは下がる必要はない。そのときには、やや高目の物価上昇率になるはずだから、名目為替レートはあまり変動せずに、実質為替レートが円高になることも考えられうる。
 さて、なぜ昨今の円高が起きたかということについては、キャリー・トレードの手仕舞い仮説がある。FTのDavid Pillingによれば、こんなことなのだと言う。

Beware the unwinding of the yen carry trade

By David Pilling

Published: October 30 2008 02:00 | Last updated: October 30 2008 02:00

We are used to the concept that when a butterfly flaps its wings in Brazil all manner of unspeakable things happen in New Jersey and Tunbridge Wells. But many have struggled to understand the link between Mrs Watanabe's mood swings and the price level of exotic currencies, distant equity markets and sundry commodities. What, in short, does a Japanese housewife have to do with the price of tea in China?

Mrs Watanabe is crude shorthand for Japan's $15,000bn pool of savings, the deepest in the world and worth more than the annual economic output of the US. These vast resources are somewhat apocryphally marshalled by Japanese women, who have traditionally held a firm grip on family finances.

In fact, Mrs Watanabe is very crude shorthand indeed: she is just as likely to be Mr Watanabe, the manager of a Japanese life assurance company portfolio, or Mr Smith, an American hedge fund manager, borrowing in yen to buy South African rand, US mortgage-backed securities or tea futures. Whoever, she is, she borrowed cheaply in yen, courtesy of Japan's rock-bottom interest rates - which have been stuck between zero and 0.5 per cent since 1999 - and put the money in higher-yielding assets abroad.

The important thing to know about Mrs Watanabe is that, temporarily at least, she has all but stopped flapping her wings. In the past days, as spectacular moves in global currencies reveal, the carry trade has been violently unwound. With last week's panic retreat from risk assets of almost every description came a dramatic rise in the yen, partially reversed in the past two days on rumours of a Japanese interest rate cut. Even so, the yen was yesterday trading at about Y97 to the dollar, the other "safe haven" currency, against a remarkably steady Y110-Y120 in recent years.

The yen carry trade has not been the only cheap source of liquidity in recent years. But Ashraf Laidi, chief currency strategist at CMC Markets, reckons it has been the biggest. He quotes figures suggesting that Japanese households alone, discounting savings mediated through life assurers and other institutions, have mobilised $500bn in outbound funds. That leaves aside speculators, who have borrowed unknowable amounts of yen to invest abroad, often on highly leveraged terms.

Just as state bank bail-outs risk moral hazard, more recklessness and the need for future bail-outs, so the unwinding of the carry trade carries with it the danger of the next great bubble. In Japan, the central bank appears to have reacted to a rising yen and sinking stock market by contemplating the uncontemplatable: a rate cut. Even the rumour of such has provoked a mini equity rally and a weakening of the currency.

This is poison for the BoJ. It hated having to keep rates low, fearing that cheap money can cause bubbles in real estate, in capital investment and in the carry trade. Its sightings of inflationary danger everywhere provoked mirth among outside experts. But few are laughing now.

The BoJ might feel vindicated. Even so, it may have to do the opposite of what it wants by cutting rates to avoid the danger of sharp economic contraction. The risks are compounded by the renewed danger of deflation, a ghoulish presence for a decade that, thanks to sliding commodity prices, could come back to haunt Japan.

If Japan really is about to reverse course towards zero interest rates, it will once again become the source of almost free money for anyone with an appetite to invest. Worse even than that, says Mr Laidi, is the potential for an even more dangerous dollar carry trade. The Federal Reserve has been desperately cutting rates, and was widely expected to lop another half point off again yesterday. The nearer US interest rates approach zero, the greater the incentive to move dollars into higher-yielding assets elsewhere.

These gyrations do nothing to solve the underlying problem, which is that Asia has an excess of savers and the US and Europe an excess of spenders. Unless that is solved, the world seems condemned to repeat the swings of recent years, as capital is arbitraged between countries where money is cheap to those where it is expensive.

Until recently, one of Mrs Watanabe's favourite wheezes was to take her Japanese yen and put them in Australian dollars, earning her a roughly six-point interest rate gain. This week, she - and those who travel with her - will not have missed the fact that Iceland just raised its interest rate to 18 per cent. That is a 17.5 point differential with Japan, and counting. Krona, anyone?

 つまり、国際的な金融危機に恐れをなした一般家計(および企業)が手仕舞いをしたのだという。これが正しければ、やはり株価については国際要因はかなり無視できないということになるのではないか。なおFTは11月2日の社説で、こんなことを言っている。

Japan needs more than gestures

Published: November 2 2008 19:14 | Last updated: November 2 2008 19:14

The rate cut by the Bank of Japan is a stopgap that will change nothing. If Japan’s monetary policy-makers fear a return of deflation – and their own forecasts suggest that they do – rates must be cut to zero and Japan must consider some unconventional alternatives sooner rather than later.

On Friday, the Bank cut short-term rates from 0.5 per cent to 0.3 per cent, on the casting vote of the governor, but a 20 basis point cut in borrowing costs will make no difference to the yen: after the Federal Reserve’s 50bp cut, the gap between yen and dollar interest rates will still be smaller this week than last. It will make no difference to consumers on fixed rate mortgages, nor will it bring back the foreign investment banks that fuelled a mini-property bubble. Most of all, 20bp will not convince banks to throw cash at risky borrowers.

There is only one rationale for a 20bp cut: the markets demanded it, and it does not hurt to give them a cuddle and murmur that everything will be OK. Unfortunately things are not OK – Japan is racing back into deflation. The Bank cut its own forecast for core consumer price inflation in 2009 to zero, and now expects only the most minimal growth in output either this year or the next.

Japan’s government also announced large funds to recapitalise banks, before any got into trouble, which should help to avoid systemic financial difficulties from exacerbating the downturn.

And the yen’s rapid rise helps to erase the previous commodity shock – in yen terms the oil price is down 60 per cent from its peak in July – and so lowers headline inflation. That is no bad thing, but the stronger yen will also depress exports, creating slack in the economy, and cut import prices. It is hard to believe that Japanese consumers will create enough growth in demand to avoid deflation.

If consumption and exports are weak, investment will not come to the rescue. That only leaves the government. Taro Aso, Japan’s prime minister, has proposed a Y5,000bn fiscal stimulus. But that is too small to make much difference, while general income tax rebates and small business loan guarantees look more like populist electioneering than an attempt at serious economic policy.

Japan’s huge public debt makes it deeply undesirable, but it is time to think about a much larger stimulus. Policymakers missed opportunities to move Japan away from being so heavily export-dominated during its half a decade of growth; the only way to shift the economy toward domestic consumption is to put money into the pockets of low and middle income earners whose wages have now been stagnant for almost two decades.

As for the Bank of Japan, its eagerness to raise rates before inflation was properly established looks more mistaken than ever. Last time the country was in deflation, the Bank had to go beyond zero interest rates to “quantitative easing”, and there was no monetary disaster. More than any other central bank, the Bank of Japan knows what works. If need be, it should not hesitate.

 完全な憶測だが、前回の政策決定会合は、日銀が為替レートに関する関わりを自ら封じたということになるのではないかと思う。つまり、付利0.1%の世界では、財務省が介入に来たときに(麻生・中川ラインはしそうな気がする)、ドルを買って円を売り、円は民間銀行が持つので、bank reserveが積みあがり、日銀は放置して0.1%を払っていればよいことになるはずだ。もちろん、call rateが下がってきたら、多少は調整しなきゃいけないだろうが、これまでのように厳密に資金を吸収するということにはならないのだろうという思う(そうしたら、それはそれで面白い)。つまり、量(Monetary Base)から価格(interest rate)へのシフトがさらに進んだのではないかと思う。
 90円を切ったら、麻生・中川ラインは単独介入をしてくるかもしれない。そのときに、どのようにMonetary Baseが動くか非常に興味津々だ。

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