导读
金融市场中正在发生着一些变化，了解这些变化并思考其对货币政策的影响至关重要。第一个变化是银行和非银行机构在金融体系中相对重要性的转变。资产管理行业逐渐繁荣，金融市场不断增长，另一方面，银行却又不断缩减交易账户的规模，银行资产负债表吸收冲击的能力降低。第二个变化是非银行金融部门的新参与者与新产品不断增多。这些市场参与者的崛起可能引起金融市场对新信息的反应机制产生深远的影响。比如，高频交易（HTF）和交易性开放式指数基金（ETF）对市场流动性都能有一个顺周期的影响，正常市场环境下可以增加流动性，而市场波动时，却可能造成负面影响。第三个变化是客户需求。资产管理行业日益严重的竞争刺激机构根据客户需求采取新的投资策略。这些投资策略会影响市场的反应机制。简而言之，市场中有大量的变化，这些变化会影响被传递给我们的信息。但我们要怎么去解释这些信号呢？以及这些变化对货币政策执行有什么影响呢？美国的收益率曲线正在释放有关增长和通胀预期的强烈警告信号，而波动率目标策略和相关产品现在也已经成为游戏中一个重要环节。货币政策制定需要正确把握经济指标。央行的一项重要任务是将市场技术性信息与基础信息分开，这也正是为什么各国央行还需要将金融市场信号与其他指标交叉检查的原因。不完整或不准确的信息可能会使政府过于自满，或使政府采取潜在的不必要或过早的行动。在市场不断变化的情况下，欧洲央行管理委员会担负着过滤货币政策相关指标信息的艰巨任务。作者 | Sabine Mauderer，德意志联邦银行执行管理委员会委员
Structural changes in financial markets and implications for monetary policy implementation
Speech by Dr Sabine Mauderer, Member of the Executive Board of the Deutsche Bundesbank, at the DZ Bank International Capital Markets Conference, Frankfurt am Main, 29 August 2019.
Ladies and gentlemen,
Welcome to the Bundesbank's Regional Office. It's a real treat for me to speak to you today."When the going gets tough" - this conference title was wisely chosen by DZ Bank earlier this year.Looking at the latest ructions in financial markets, the going has already got tough."Navigating the challenges" is the order of the day, and not just for market participants.The same goes for policymakers - especially when it comes to fiscal policy or monetary policy.As far as central banking is concerned, "navigating the challenges" is broad in scope. It includes drawing the right conclusions from financial market signals.The relationship between monetary policy and financial markets is not a one-way street.Stock and bond prices reflect expectations on future growth and inflation, but also on monetary policy.These market expectations, in turn, provide valuable information for policymakers.But things have become even more multi-layered. On the one hand we face increasing market complexity and changes. On the other hand we see new players, products and trading patterns.To be honest, keeping tabs on the relevant changes is anything but easy. We have to keep asking ourselves which elements of change have an impact on monetary policy and which do not.So what I am going to do is present some of these changes in the first part of my speech.It would be a bit of a "long shot" to always call them "structural", since their longevity is not entirely clear.Then I'll use the second part of my remarks to point out what these changes mean for monetary policy implementation.Admittedly, I´ll give you rather a rough sketch than a finished painting, so some items might be left unresolved.Fortunately, we will have the opportunity to delve a little deeper into some of the issues later on tonight.But for starters, let's take a look at my selection of recent changes in financial markets.
A - STRUCTURAL CHANGES IN FINANCIAL MARKETS
I based my choice of changes on how strongly they impact on market dynamics.The first change is a shift in the relative importance of banks and non-banks in the financial system. This is true for the euro area, but also on a more global level.On the one hand we see a prospering asset management industry and growing financial markets. But on the other hand banks have been reducing the size of their trading books, partly as a result of stricter regulation.This shift in market forces is not a major issue when times are good and markets are quiet.But market liquidity can be a bottleneck in times of stress, when many investors are scrambling to square their positions at the same time.In the past, banks had the balance sheet capacity to absorb a good deal of the assets on offer.In terms of market functioning, there are strong indications that this kind of buffering mechanism cannot be relied upon anymore, at least not to the same extent.Market liquidity may evaporate when it is needed most.The second change is the rise of new players and products within the non-bank financial sector, alongside growing investment demand.We observe two important developments sometimes framed as diametrically opposed forces: the very active world of high frequency trading (HFT) and the seemingly calm world of passive investment represented by exchange traded funds (ETFs).The rise of these market players or strategies has a potentially far-reaching impact on how financial markets respond to new information.HFT improves liquidity under normal market conditions, it would appear. But during cycles of market volatility, this positive effect on market liquidity seems to not only disappear, but even turn negative as a result of directional investment strategies.The picture is just as mixed for ETFs. Their net effect on market liquidity in a "normal" market environment is positive. But their behaviour under financial stress might also warrant market liquidity concerns - particularly when leverage is part of the game.Crucially, then, both HFTs and ETFs have a procyclical impact on market liquidity. And we have good reason to assume that their influence is here to stay.Let us look at client needs now: Competition in the asset management sector has been a catalyst for new investment strategies in response to changing client needs. This is the third change.Many investors want to combine search for yield with the desire to limit downside risks and volatility.Among those who increasingly aim to earn (so-called) alternative risk premia are multi asset funds.Multi asset funds have been around in various guises for quite some time now, but they have been attracting renewed interest in the current low yield environment.Let's not forget that there are also other players with more explicit links to volatility. These includeMany of their approaches rely on systematic investment strategies.These strategies promise outperformance or superior risk management by eliminating human bias. They largely lean on automated market data analysis.But they also imply correlated investments. When volatilities are low, the strategies systematically increase riskier investment positions, and vice versa. Here too, procyclical influence on market liquidity is a central concern.One factor which many, if not all, of these developments have in common is the relentless drive towards digitalisation.Big data, machine learning and artificial intelligence have become indispensable for many market participants in the fields of forecasting, investment management and trade execution.So in a nut shell, we see a lot of changes in the market. These changes will alter the information that is being sent to us. The overall question is how are we going to interpret these signals?Just think about traditional benchmark rates and also the shape of the yield curve.No matter which yardstick is taken: A superficial reading may suggest that the US yield curve is sending strong warning signs about growth and inflation expectations.In the same vein, the economic outlook implied by the Bund curve seems to look only marginally better.For all the concerns which the yield curves continue to attract, there are many voices pointing to special factors which dilute the reliability of this indicator.Increasing demand for high quality assets seems to play an important role - be it from large-scale institutional investors, market participants in need of collateral, or banks aiming to satisfy regulatory requirements.The dampening impact of monetary policy on term premia is often mentioned as an influence factor as well. I will come back to this point shortly.Turning to other segments, reliability concerns have also cropped up surrounding market-based inflation expectation indicators such as inflation swaps.I will not go into an in-depth analysis, the jury is still out on what has been driving down longer-term market indicators.All the related issues are being continually reassessed by the Eurosystem1.Another challenge is to correctly interpret volatility indices like the VIX2.Over the last years, we have seen rather long stretches of low volatility readings.A common conclusion from these readings is that market participants expect smooth sailing ahead.But we have to take into account that volatility targeting strategies and related products are a more important part of the game now.Volatility readings could have been more suppressed than in prior periods. As a result, market participants face relatively more extreme spikes during a repricing of risk.So we are talking about the abruptness and magnitude of index movements, rather than the movements themselves.B - IMPLICATIONS FOR MONETARY POLICY IMPLEMENTATION
Now what is the impact of these changes on monetary policy implementation?Just like asset management, monetary policy is about taking the right decisions.That's why it matters a great deal to have a sound grasp of what economic indicators are actually telling us - including financial market indicators.The yield curve has long been used by market participants to gauge markets' aggregated expectations on the economic outlook.Getting a grip on inflation expectations touches on the core of our price stability mandate.But market-based indicators of inflation expectations are just one set of indicators, which can be relevant in this context.The notion of financial conditions is another factor that has gained in importance for central banks as a means of assessing their policy impact.Consider that volatility is an important component of practically any measure of [risk and] financial conditions - and you'll see why there might be a problem.Therefore, one important task for central banks is to separate market technicalities from fundamental information.And that, in turn, is why central bankers also need to cross-check financial market signals against other indicators, monetary as well as real economic ones.Inaccurate or incomplete information might lull us into complacency in one situation or drive us to take potentially unnecessary or premature action in another.At this stage, let me briefly recap on how monetary policy itself impacts on financial market indicators.Financial market prices play an important role for monetary policy transmission.In this context, it is also important to understand the Eurosystem's concept of market neutrality for the public sector asset purchase programme (PSPP).It implies that while we are looking to affect prices, we do not want to suppress the price discovery mechanism3.That is why a high degree of transparency around the asset purchases and close monitoring of their impact on liquidity and collateral availability are still fundamental pillars of the Eurosystem's concept.Against this background, we also have to be aware of "informational feedback loops", also known as the "reflection problem"4.Overall, concrete measures are the result of weighing the pros and cons with regard to achieving the price stability target.Ladies and gentlemen,
Let me conclude with a few remarks on this assessment.The task of the ECB's Governing Council, remember, is to achieve price stability in the euro area in the medium term.Therefore, the inflation outlook is key for monetary policy decisions. One important element here are inflation projections which will be updated by ECB staff for the September meeting.After the July meeting, the relevant Eurosystem committees have been tasked with examining different policy options for the case that the Governing Council sees need to act.The questions they are exploring touch upon the set of policy instruments, their intensity and their timing.And the Bundesbank is actively contributing to the discussions at all the relevant levels.As always, a crucial part of decision making will be to correctly interpret financial market signals.In a constant state of flux, we face the difficult task of filtering out the informational content of market indicators that is relevant for monetary policy.They cannot be taken at face value, but should be treated as the raw material for monetary policy decisions.And the word "raw" is certainly worth stressing here, because indicators have to be handled with a great deal of caution. They have to be qualified, quantified and cross-checked.Thank you for your attention.
编译 欧阳泉
编辑 李锦璇
来源 BIS
审校 胡晓涛、金天、蒋旭
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