저자: MohamedEl-Erian · 외국인
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결론: 중앙은행이 장단기 금리차를 통제하려는 것은 비현실적이며, 대규모 양적완화(QE)로 시장 구조가 왜곡되어 금리·변동성·상관관계가 모두 변했고 이 영향은 점차 정상화되면서 투자자에게 충격을 줄 수 있다. [중앙은행 정책과 수익률곡선] - 진행자가 정상 수익률곡선(장단기 금리차 양수) 유지를 중앙은행 목표로 삼는 개혁을 제안함 - 중앙은행은 단기물만 통제 가능하고 장기물은 경제 전망과 해외 요인에 좌우되므로 실행 불가능하며 바람직하지도 않다고 봄 - 미국 곡선이 평평해진 이유는 미국 자체보다 해외 상황 영향이 큼 [양적완화 규모와 출구] - 양적완화 규모 5조 달러 이상, ECB가 가장 공격적 - 당장 중앙은행이 보유증권을 매도하는 일은 없을 것이라 단기 충격 우려는 낮다고 봄 - 그러나 매입 자체가 시장 기능을 바꿔 놓았으며, 정상화 과정에서 투자자가 큰 충격을 받을 수 있음 [자산 가격 영향] - 중앙은행 개입으로 기대수익률 상승, 변동성 인위적 억제, 상관관계 변화가 발생함 - 채권 수익률은 낮게 유지될 가능성, 주식 밸류에이션은 높게 유지될 가능성 언급 - 대안이 제한되어 자산배분상 주식 보유가 상대적으로 불가피하다는 논리 - 주식시장은 경제·기업 펀더멘털 대비 중앙은행 지원에 의존해 떠 있는 상태라고 진단 - 시나리오: 정책 이양으로 펀더멘털 개선(주식 유지/상승), 혹은 지원 부족 인식으로 조정 가능성. 현 상태 지속이 가장 덜 가능성 높다고 봄 [연기금·장기투자] - 연기금·보험의 기대수익률 7% 이상 가정은 비현실적이라고 봄 - 장기투자자도 전술적 운용이 필요하며, 기대수익률 목표 또는 운용 방식 중 하나는 바뀌어야 함 - 수익을 보장하는 기관의 재무건전성(대차대조표)이 중요함 [출연자 전망 정리] - 주식은 단기 조정 가능성 존재, 채권 수익률 저위 지속, 장기 기대수익률 하향 필요
다듬은 글
a question that you're raising relative to the conduct of central bank policies or has a question as we know in the United States there's a dual mandate for the Federal Reserve Bank between employment on the one hand and price stability on the other given what you've been describing as far as the unintended consequences with respect to quantitative easing and monetary policy would it be realistic to consider reform essentially having central bank's focus first and foremost on trying to maintain a positively sloped yield curve which in essence would help to support what are these long-term financial activities that you've indicated are so necessary whether it's from the standpoint of insurance beneficiaries or pension beneficiaries you know one might say positive yield curve would be a wonderful thing but we always know an inverted yield curve is a great indicator of recession so would that be something somewhat similar more to like King Canute saying he wishes to hold the tied back however desirable it might be yeah even for desirable it's not feasible central banks can only control the short end of the yo curve the other the longer you go the more influences you get from the economic outlook and the more influences you get from the rest of the world the reason why the u.s.
curve has flattened so much has less to do with the US and much more to do with what's going on elsewhere so I don't think that even if it were desirable it would be feasible but is it desirable I don't think so I think was desirable it's a deploy the full range of economic tools that we have central banks like doctors and people have to realize that when the doctor goes in front of a patient and the patient is suffering even if the doctor doesn't have the right medicine she or he will try to help and he or she may end up giving a medication that only works in the short-term and that has side effects but that's better than doing nothing at all now the presumption is that other doctors with with better medications are gonna come that's the perception and that's what the Fed and other central banks have been hoping and it hasn't happened so do you blame the patient no do you blame the doctor no who do you really blame the other doctors who haven't come in when they should really be helping as we know in terms of conducting monetary policy in really fiscal policy as well they're always benefits costs and risks as things stand now we've got over five trillion dollars that has been deployed for quantitative easing purposes the European Central Bank being the most aggressive in the current environment if over time we're going to hopefully see these funds come out of the market a when do you think at what level of growth might that actually be occurring you know are we possibly in a situation where this in excess of five trillion is now effectively permanently invested in the market and if at the point in time when these funds actually do come out of the market will they serve to just further dampen financial returns and if not why not so the good news is is that it's not gonna happen anytime soon no central bank is gonna start selling all the securities that is their board so as an investor you shouldn't worry that suddenly a central bank is gonna be dumping stuff on the market but before you celebrate too much recognize that the very act of having bought so much has changed the way markets function you know an investor the end of the day cares about three things they expected return the volatility the variance in what they hold how volatile is their portfolio and the covariance of the correlation the relationship between different instruments can you get risk mitigation from a diversified portfolio and what the central bank's intervention has done it has brought forward the expected returns it has artificially repressed volatility and it has completely changed the correlation an investor should realize that that all three elements that are critical to the well-being has been influenced by central banks and that influence is going to evolve over time it's not going to evolve in terms of them dumping all their securities but it will evolve in terms of going back to something more natural and if you're not ready for that you're gonna have quite a nasty surprise so in all fairness what we're saying is the five plus trillion is in it's staying in rates of return from fixed income investments will remain depressed arguably equity valuations will remain elevated but one would say from an asset allocation standpoint that there is no other alternative potentially apart from perhaps owning equities now obviously everything has its limits do you think that the stock market is prone to perhaps to a near-term correction absent withdrawal of funds so here's a very simple image economic and corporate fundamentals are down here the stock market's up here and the difference is the central bank's continuous involvement and the fact that they've got us all comfortable that they have our back covered that there are BFFs our best friends for it so you're dealing with this situation the three possibilities one we continue like this - my hope is that the political class responds fundamentals improve they validate existing equity prices push them higher or three god forbid people up here realize they're not being supported enough by central banks our fundamentals and this comes found in pole system these are the three possibilities I think the least likely is if we stay where we are either you believe that the political class will respond that we'll get a policy hand off then the equity market is where you should be or alternatively you believe it's not and we come in to the end of the world and then you won't have a higher allocation to cash than we do so that you can take advantage of what's gonna likely to be or for shoes on the way down you advise long-term investment performance for arguably some of the largest investors globally we're looking in a circumstance where there are still relatively high actuarial assumptions in terms of rates of return seven percent or more are these patently unrealistic are they unattainable if they're not attainable what would be more realistic assumptions and the other question following on this is all these activities from an investment standpoint are done with the intended beneficiaries in mind people who will receive future payments should these beneficiaries be expecting to receive a reduction in terms of what their payments might be whether these are from long-term insurance plans pension plans or other benefit programs people who actually manage this money and have to deliver as expect all of them will tell you two things seven to eight percent is too high and we can't that we can't get there being just long-term investors we have to be much more tactical look at what has happened in the equity market recently if you had simply invested your money over the last 24 months and done nothing or whatever in value if you had been more tactical and white you learned a lot and that's the reality facing long-term investors is that they need to be more tactical if they're not gonna be more tactical then they have no hope of getting the seven to eight percent so something is going to have to give either you change the investment target and or you change the way the money is invested but we cannot continue to believe that the old way of of investing long-term is going to give that as regards to beneficiary it's a lot depends on who stands behind that promise of seven to eight percent what's the balance sheet behind it if you are lucky enough to work for a large corporation that had defined benefits and that has the ability to transfer money into your pension fund then you'll find if you happen to work for companies having issues then you're not fine so I think they have to ask what who stands behind the promise of the seventy percent how strong is their balance sheet you
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