原创 2016-03-01 季天鹤央行观察

季天鹤

尽管之前央行的表态暗示了转向，但在这个时候到来还是让人措手不及

此次的降准，可谓是推倒了央行之前的政策思路，货币政策迎来了一个新让人兴奋的新状态。

央行原来的思路，乃是在银行间维持一个稍紧的平衡，而让银行以及非银行主体提供融资并且降低融资成本。这个思路之前颇为奏效，我们看到了各类债券的发行增速很快，对应的是基金和理财大举收债，收益率也不断下行，甚至在眼看就要迎来提现大潮的16年1月上旬还来了一波冲低，真让人有刀尖上起舞的感觉，毕竟后来我们看到，1月份货币基金规模因春节提现少了5000亿。

这个紧平衡的体现，不光是间歇性的银行间资金成本走高，还有央行采取的流动性支持方式，即通过逆回购的方式进行。这种方式的好处在于银行总是面临某种流动性压力：头寸富余的银行知道自己的富余是暂时的，头寸短缺需要从央行借钱的银行更是知道自己要还央行钱，因此银行间的人民币流动性需求比没有“还央行钱”这一约束时要大，这意味着头寸富裕的银行不会拿着人民币乱干别的，比如买美元。

于是在2月29日这个时点，我们看到银行在3月1日-7日这7天中，要偿还1.31万亿的逆回购，而事实上央行在1月份对银行提供了超过2.5万亿的流动性支持，除了逆回购之外还有一些更长期的安排。之所以出现这样大的流动性缺口，乃是因为银行放贷扩大了存款准备金基数，银行购买国债后财政没有把资金用来归还银行贷款，而是支付给非银行机构或者归还非银行金融机构贷款也会扩大存款准备金基数。

除此之外还有外汇方面，居民购汇存在境内银行使银行增持外汇头寸并减少人民币准备金，居民购汇后汇出也会促使银行因从央行购买外汇而减少人民币准备金。上述各类因素都指向了存款准备金率降低，因为银行准备金率的分子在缩小，分母在增加。如果不进行降准，央行的流动性支持就要不停地进行。

这会导致两个问题。在数量上，银行需要不停地保持一部分用来应对央行逆回购可能停止的流动性，不能让银行用来支持更多扩表。在价格上，央行逆回购对银行来说要支付利息，而将准则不会导致这部分利息费用。规模太大的逆回购存量对银行整体来说，既增加了支付给央行的费用，又减少了可能从非银行部门得到的收益，在目前银行利润增速接近0的情况下，会部分削弱银行应对不良贷款挑战的能力。

而对央行来说，或许从银行这里获取息差利润本来也不是央行的目标，毕竟赚了钱也要上缴财政，而财政又已经是银行的股东。准备金率下降对央行而言，最大的挑战在于削弱了央行和银行间的数量联系。央行削减1.31万亿逆回购，定然意味着减少1.31万亿的准备金存款。而保持逆回购就意味着维持了准备金存款的规模。央行本来可以构建一个逆回购越来越大，准备金存款规模基本不变的格局。这个格局并不是新的，上个世纪很长一段时间里银行的重要资金来源都是央行贷款，换成逆回购也并不奇怪。

所以这也是本次降准操作的出人意料之处。本来以为央行会努力继续通过逆回购把银行牢牢握在手里，但看来央行决定放手，任凭银行在自己这里的准备金存款减少下去。2015年12月底银行在央行的准备金存款已经比6月末减少超过1.5万亿元。看来现在这个减少的趋势还要进一步持续。如前所述，流动性缺口总是会随着购汇以及扩大存款等操作产生，但如何填补这个缺口则有多种可能。

逆回购是一种，降准也是一种，买入央票或者其他债券也是选择，但选择哪种则体现了央行的衡量和市场的情况。同时，央行此次降准或许也可以被看作是进一步的走向价格型调控。未来存款准备金规模将越来越小，央行每日的公开市场操作有更强的价格意义，央行对银行的控制将更多通过价格来进行，而把数量上的关系留给市场主体自己去解决。

另外我们也看到，央行没有选择一步降准1%。按理说1.31万亿的逆回购已经可以对应1%的降准，但央行并没有选择走得这样极端，而是依然把逆回购抓在手里，这当然是为了维持对银行体系的价格调控能力，这也是央行的一贯思路：做银行的债权人，银行才会听话。发央票搞回购的办法不够给力。

下一步利率汇率怎么走

汇率上总体的形势或许是比较简单的。目前对于汇率来说不是一个特别好的时点，因为2月初市场对联储放松货币政策方向的关注已经转移，现在又进入了欧元英镑下跌而日元上涨的状态里，并且在3月份联储又要开会，到目前为止还没有明确的宽松信号，本周的非农数据由此也显得特别重要。

在不确定性与避险情绪上升、美元又可能有所紧缩的当前情况下，降准虽然不会直接作用于非银行主体，但非银行主体在这一信号的驱使下，会进一步地购买外币资产，包括境内银行的外汇存款或者汇出外汇，这一操作会推动人民币向贬值方向发展，减缓境内广义货币量的增速，也进一步使央行和银行在数量上疏远关系。

而在利率上，如果短期里面，如果降准配合着逆回购的缩小，那么此次降准对流动性的意义就非常微弱了，何况我们要等到3月5日才会有实质的退款，而此前几个交易日已经有不少逆回购在到期了。因此，此次降准在一两个交易日的范围内或许会对债市有所支持，但随着时间推移，央行在逆回购上的动作会逐渐显露出其影响。

在更长的跨度下，我在《16年1月份的央行数据讲了哪些故事？by 季天鹤》中提到，债券市场可能面临重大打击，来源是非银行部门增配房市、外汇和股票，而银行部门的资产负债表被地方政府债和突破3%赤字率的国债占据。央行的宽松，当然对银行部门扩张资产负债表是有帮助的，地方政府债不会因为银行间流动性不够而遭遇高企的资金成本。

但问题在于除了数量渠道之外还有价格/收益率。房地产市场已经从复苏走向了高歌猛进，70个大中城市的房价指标中二线城市都开始上涨了，三线城市被带动起来也指日可待。在这样的情况下，有能力买房者会努力从银行借钱买房。尽管购买新房意味着抵押贷款替换了开发贷款，但二手房贷是纯粹地增加贷款和存款，这意味着和地方政府债和国债争抢银行资产侧的扩张空间。

相比之下，购房者恐怕会占得先机：地方政府受制于中央的安排，其节奏并不完全自由，反应也未必足够迅速，而购房者则会努力占尽低利率和可用信贷规模的便利。而随着房地产市场使开发商以及供货商们纷纷解套并重新活跃起来，我们会看到很多行业似乎又要起死回生了，这对于银行的不良贷款、大宗商品价格、股市的估值等等，都会产生正面的影响。而一旦市场认为更高的收益率开始变得普遍，那么债券的熊市就上演无疑。

这又绕回到了一个汇率和利率交织的点上：在国内利率重新走高的背景下，人民币该怎么走？它会因为货币量增加、通胀上升、购汇需求不断增加而贬值，还是会因为收益率增加、热钱涌入、结汇需求不断增加而升值？这是测试人民币是一个新兴市场货币还是一个成熟市场货币的判定问题。

可能的情况是：买入资产者用人民币买入资产，而卖出资产者则在得到人民币之后购入外币离场，不同的人做着不同的事情。在这一情景下，人民币的下跌压力便依然没有解除。这一次通胀又会像十年前拯救四大AMC一样拯救很多行业和企业，特别是僵尸企业们大概终于捱到复活的时刻了。不过这次的通胀不会像07年的时候一样伴随着人民币的升值了。

Although the previous stance of the central bank hinted at a shift, its arrival at this time still caught people off guard.

This RRR cut can be considered overturning the central bank's previous policy direction, ushering in an exciting new state of monetary policy.

The original approach of the central bank was to maintain a slightly tight balance in the interbank market, allowing both banks and non-bank entities to provide financing and reduce financing costs. This approach had been effective before. We saw rapid issuance of various bonds, corresponding to funds and wealth management products heavily buying bonds. Yields kept decreasing, and even in early January of 2016, when there was an imminent wave of withdrawals, there was a sharp decline. It was quite thrilling, as we later saw that money market fund AUM decreased by 500 billion in January due to withdrawals related to the Spring Festival.

This tight balance is reflected not only in the intermittent rise of interbank funding costs but also in the liquidity support measures adopted by the central bank, such as through reverse repurchase agreements. The benefit of this method is that banks always face some liquidity pressure: banks with excess positions know their surplus is temporary, while banks needing to borrow from the central bank are aware they have to repay. Thus, the demand for RMB liquidity among banks is greater when there's a constraint like "repaying the central bank." This means that banks with surplus positions won't misuse RMB, such as buying US dollars.

So, on February 29, we observed that banks had to repay 1.31 trillion in reverse repurchase agreements from March 1st to 7th, while in January, the central bank provided over 2.5 trillion in liquidity support to banks, including arrangements beyond reverse repurchase. The reason for such a large liquidity gap was that banks' lending expanded their deposit reserve base, and after banks purchased government bonds, fiscal authorities didn't use the funds to repay bank loans but rather paid non-bank entities or returned loans to non-bank financial institutions, which also expanded the deposit reserve base.

Furthermore, there's the foreign exchange aspect. Resident purchases of foreign exchange involve domestic banks increasing their foreign exchange positions and reducing RMB reserves. Outflows due to resident purchases would also prompt banks to reduce RMB reserves by buying foreign exchange from the central bank. All these factors point to a reduction in the reserve requirement ratio, as the numerator (bank reserves) shrinks and the denominator (bank liabilities) grows. If the RRR is not reduced, the central bank's liquidity support would need to continue ceaselessly.

This poses two problems. In terms of quantity, banks would need to constantly maintain a portion to address the possibility of the central bank stopping reverse repurchase agreements, preventing banks from using it to expand their balance sheets further. In terms of price, reverse repurchase agreements require the central bank to pay interest to banks, while lowering the RRR wouldn't lead to this interest expense. For banks as a whole, a large stock of reverse repurchase agreements both increases costs paid to the central bank and reduces potential earnings from non-bank entities. Given that bank profit growth is nearing zero, it would partially weaken banks' ability to handle challenges from bad loans.

For the central bank, perhaps making money from the interest rate spread profit of banks isn't their goal, as they need to hand over their earnings to the fiscal authorities, who are also the shareholders of the central bank. The reduction of the reserve requirement ratio presents the central bank with the biggest challenge in terms of diminishing the quantity relationship between the central bank and banks. Reducing 1.31 trillion in reverse repurchase agreements undoubtedly means decreasing 1.31 trillion in reserve deposits. Maintaining reverse repurchase agreements would mean keeping the reserve deposit size. The central bank could have constructed a situation where reverse repurchase agreements grew larger while the reserve deposit size remained relatively stable. This pattern isn't new; for a long time in the previous century, banks' significant sources of funding were loans from the central bank. Using reverse repurchase agreements wouldn't be unusual.

This is the unexpected aspect of the current RRR cut operation. It was initially thought that the central bank would continue to firmly control banks through reverse repurchase agreements. However, it seems the central bank decided to let go and allow banks to reduce their reserve deposits held at the central bank. By the end of December 2015, banks' reserve deposits at the central bank had already decreased by more than 1.5 trillion yuan compared to the end of June. It appears that this trend of reduction will continue further. As mentioned before, the liquidity gap always arises from operations like foreign exchange purchases and deposit expansion, but how to fill this gap has several possible approaches.

Reverse repurchase agreements are one, reducing the RRR is another, buying central bank bills or other bonds is also an option. The choice of which approach to take reflects the central bank's consideration and the market situation. Additionally, this RRR cut could also be seen as a further move towards price-based regulation. The reserve deposit size will gradually decrease in the future, and the central bank's daily open market operations will have stronger price implications. The central bank's control over banks will rely more on price adjustments, while leaving quantity relationships for market participants to resolve.

Furthermore, we also see that the central bank didn't choose to reduce the RRR by 1% in one step. In theory, the 1.31 trillion reverse repurchase agreements could already correspond to a 1% RRR cut, but the central bank didn't opt for such an extreme measure. Instead, they still maintained control over reverse repurchase agreements. This is, of course, to preserve the central bank's ability to conduct price-based regulation on the banking system. This aligns with the central bank's consistent approach: being the creditor of banks makes them obedient. The method of issuing central bank bills and conducting reverse repurchase agreements isn't sufficient.

The next steps for interest rates and exchange rates

The overall situation regarding exchange rates might be relatively straightforward. Currently, it's not an ideal time for the exchange rate due to shifting attention from the Federal Reserve's monetary policy relaxation direction, along with the Euro and Pound weakening and the Yen strengthening. Moreover, with the Fed meeting scheduled for March, there's still no clear signal of easing up to this point, making this week's nonfarm payroll data particularly important.

In the context of rising uncertainty and risk aversion, along with the potential tightening of the U.S. dollar, while the RRR cut won't directly impact non-bank entities, driven by this signal, non-bank entities will further buy foreign currency assets, including foreign exchange deposits in domestic banks or foreign exchange outflows. These actions could drive the RMB towards depreciation, slow down the growth of broad money supply domestically, and further distantiate the central bank and banks in terms of quantity.

Regarding interest rates, in the short term, if the RRR cut is accompanied by a reduction in reverse repurchase agreements, then the significance of this RRR cut on liquidity will be quite weak. Moreover, we have to wait until March 5th for substantial refunds, and there have been quite a few reverse repurchase agreements expiring in the days leading up to it. Hence, in the range of one or two trading days, this RRR cut might support the bond market, but as time passes, the central bank's impact on reverse repurchase agreements will gradually become more apparent.

Over a longer timeframe, I discussed in "What Stories Do the Central Bank Data of January 2016 Tell? by Ji Tianhe" that the bond market might face significant challenges. The source of this challenge is non-bank sectors increasing their allocation to real estate, foreign exchange, and stocks, while bank balance sheets are dominated by local government debt and national debt surpassing the 3% deficit threshold. The central bank's easing, of course, is helpful for expanding bank balance sheets, as local government debt won't encounter high funding costs due to a lack of interbank liquidity.

However, the problem lies beyond the quantity channel – it's in price/yield. The real estate market has shifted from recovery to rapid expansion. Second-tier cities have started seeing price increases, and third-tier cities are likely to follow suit soon. In this scenario, those capable of purchasing houses will strive to borrow from banks to buy real estate. Although purchasing new homes means replacing development loans with mortgage loans, second-hand home loans purely increase loans and deposits. This means that there's further expansion space in terms of bank assets, competing with local government debt and national debt for bank assets.

In contrast, buyers of real estate might take the lead. Local governments are constrained by central authorities' arrangements, and their pace isn't entirely free, with reactions possibly not swift enough. Buyers of real estate, on the other hand, will strive to benefit from low interest rates and available credit size. As the real estate market drives developers and suppliers to unload inventory and become active again, many industries seem poised for a revival. This has positive implications for banks' non-performing loans, commodity prices, stock market valuations, etc. However, unlike in 2007, inflation won't accompany RMB appreciation.

This leads back to the intersection of exchange rates and interest rates: In the context of rising domestic interest rates, how will the RMB behave? Will it depreciate due to an increase in money supply, rising inflation, and growing demand for foreign exchange, or will it appreciate due to increasing yields, hot money inflows, and rising demand for foreign exchange? This is a judgment on whether the RMB is an emerging market currency or a mature market currency.

One possible scenario is this: Buyers of assets use RMB to purchase assets, while sellers of assets use the RMB they obtain to purchase foreign currency and exit. Different individuals are doing different things. In this scenario, downward pressure on the RMB remains unresolved. This time, inflation will rescue many industries and companies, similar to saving the four major AMCs ten years ago. However, this time's inflation won't be accompanied by RMB appreciation.