瑞银：2020全球经济与市场展望-408页.pdf

ubs/investmentresearch This report has been prepared by UBS AG London Branch. ANALYST CERTIFICATION AND REQUIRED DISCLOSURES BEGIN ON PAGE 401. Global Research 11 November 2019 Global Economics 2021: 296682024540. Consensus updated as on 7th Nov 2019. 20F 2 1 F 20F 2 1 F 20F 2 1 F 20F 2 1 F 20F 2 1 F 20F 2 1 F 20F 2 1 F 20F 2 1 FU S 1 . 1 2. 1 -0. 6 0. 3 2. 1 2. 0 0. 0 -0. 1 1 . 00 1 . 25 -0. 5 -0. 5 - - - -J a p a n 0. 4 1 . 1 0. 1 0. 3 0. 6 0. 7 -0. 4 -0. 2 -0. 30 -0. 1 0 -0. 3 -0. 1 1 08. 0 1 1 0. 0 3. 0 2. 0C a n a d a 1 . 4 2. 0 -0. 2 0. 3 1 . 9 1 . 9 -0. 1 0. 0 1 . 50 1 . 75 0. 0 0. 0 1 . 30 1 . 25 0. 0 0. 0UK 0. 9 1 . 2 -0. 1 -0. 3 1 . 8 1 . 8 -0. 2 -0. 2 0. 50 0. 50 -0. 3 -0. 5 1 . 34 1 . 37 0. 0 0. 0S wi t z e r l a n d 0. 9 1 . 3 -0. 3 -0. 1 0. 5 0. 7 -0. 2 -0. 1 -1 . 00 -1 . 00 -0. 3 -0. 3 0. 99 1 . 00 0. 0 0. 0E u r o z o n e 0. 8 1 . 2 -0. 2 -0. 1 1 . 2 1 . 3 0. 0 -0. 2 -0. 60 -0. 60 0. 0 -0. 1 1 . 1 5 1 . 1 8 0. 0 0. 0Germ any 0. 6 1 . 1 -0. 1 -0. 1 1 . 1 1 . 2 -0. 3 -0. 4 -0. 60 -0. 60 - - - - - -F ranc e 1 . 0 1 . 2 -0. 2 -0. 2 1 . 2 1 . 3 -0. 1 -0. 2 -0. 60 -0. 60 - - - - - -I t aly 0. 4 0. 5 0. 0 -0. 1 0. 6 0. 7 -0. 3 -0. 4 -0. 60 -0. 60 - - - - - -Spain 1 . 7 1 . 9 0. 0 0. 3 1 . 3 1 . 1 0. 1 -0. 4 -0. 60 -0. 60 - - - - - -Greec e 2. 5 2. 7 0. 7 1 . 0 1 . 0 1 . 2 0. 2 0. 2 -0. 60 -0. 60 - - - - - -E M E A 2. 2 2. 6 0. 0 0. 2 4. 7 4. 6 -0. 8 -0. 7 - - - - - - - -T urk ey 2. 2 3. 0 -0. 1 -0. 2 1 0. 6 8. 6 -2. 0 -2. 6 1 2. 00 1 0. 50 -1 . 0 -0. 5 6. 50 6. 75 0. 2 0. 7So ut h A f ric a 1 . 1 1 . 6 -0. 3 -0. 1 4. 8 4. 6 -0. 1 -0. 2 6. 50 6. 50 0. 3 0. 0 1 5. 65 1 5. 75 1 . 2 1 . 3Kaz ak hs t an 3. 6 3. 5 0. 1 -0. 2 4. 8 4. 5 -0. 5 -0. 6 8. 75 8. 75 - - 400. 0 41 0. 0 - -C z ec h 2. 7 2. 9 0. 4 0. 4 2. 5 2. 1 0. 3 0. 2 2. 00 2. 00 0. 0 0. 0 21 . 48 20. 34 -0. 6 -1 . 6H ungary 2. 7 2. 9 -0. 2 0. 3 3. 3 3. 1 0. 2 0. 1 0. 90 0. 90 0. 0 -0. 1 291 . 3 288. 1 3. 3 8. 1P o land 3. 3 3. 2 -0. 1 0. 4 2. 5 2. 4 -0. 3 -0. 1 1 . 50 1 . 50 0. 0 0. 0 3. 70 3. 56 0. 0 0. 0R us s ia 1 . 8 2. 3 0. 2 0. 5 3. 2 4. 0 -0. 5 0. 0 6. 00 6. 00 0. 0 0. 0 62. 50 63. 00 -0. 8 -1 . 4U A E 2. 3 2. 1 -0. 3 -0. 1 1 . 0 2. 0 -1 . 0 -0. 1 1 . 75 2. 00 - - 3. 67 3. 67 - -A s i a ( e x J a p a n ) 5. 3 5. 5 -0. 2 0. 0 2. 9 2. 4 0. 2 -0. 2 - - - - - - - -A us t ralia 2. 1 2. 5 -0. 3 -0. 1 2. 0 2. 1 0. 0 0. 0 0. 25 0. 25 -0. 3 -0. 3 0. 71 0. 74 0. 0 0. 0N ew Z ealand 2. 1 2. 6 -0. 3 0. 0 1 . 8 1 . 9 -0. 1 -0. 1 0. 50 0. 75 0. 0 0. 0 0. 66 0. 68 0. 0 0. 0H o ng Ko ng“ 1 . 2 2. 9 -0. 3 0. 8 2. 6 3. 0 0. 3 0. 7 1 . 1 0 1 . 1 0 -0. 6 -0. 5 7. 80 7. 80 0. 0 0. 0Singapo re 0. 2 3. 5 -1 . 4 1 . 4 0. 9 1 . 5 -0. 1 0. 4 0. 64 0. 90 -1 . 0 -0. 6 1 . 33 1 . 31 -0. 1 -0. 1Ko rea 1 . 9 2. 7 -0. 3 0. 3 0. 9 1 . 8 -0. 4 0. 3 0. 75 1 . 00 -0. 5 -0. 3 1 1 25 1 1 00 -65. 0 -40. 0T aiw an 1 . 9 2. 6 -0. 1 0. 4 1 . 6 1 . 2 0. 6 0. 0 1 . 25 1 . 25 -0. 1 -0. 1 29. 50 29. 00 -1 . 5 -2. 0M alay s ia 3. 6 5. 0 -0. 6 0. 5 2. 2 2. 3 0. 2 0. 1 2. 50 3. 00 -0. 3 0. 0 4. 05 4. 00 -0. 1 -0. 1T hailand 2. 6 3. 7 -0. 4 0. 2 0. 8 1 . 0 -0. 2 -0. 1 1 . 00 1 . 50 -0. 3 0. 3 29. 50 29. 00 -0. 9 -1 . 3I ndo nes ia 5. 0 5. 4 -0. 1 0. 1 3. 2 3. 3 -0. 3 -0. 2 4. 25 4. 25 -0. 5 -0. 4 1 4000 1 4500 -1 00. 0 450. 0P hilippines 5. 8 6. 3 -0. 4 -0. 1 2. 9 3. 4 -0. 2 0. 0 3. 50 4. 50 -0. 3 1 . 5 52. 00 52. 00 0. 3 -0. 8I ndia* * 6. 5 6. 7 -0. 2 0. 0 3. 9 4. 0 0. 0 0. 0 5. 00 5. 00 0. 0 0. 0 72. 00 74. 00 2. 4 0. 0Viet nam 6. 8 6. 6 0. 3 -0. 2 3. 7 4. 1 0. 2 0. 6 5. 75 5. 75 -0. 3 -0. 5 23200 22000 260. 0 -900. 0C hina“ “ 5. 7 5. 6 -0. 2 -0. 2 2. 8 1 . 7 0. 4 -0. 5 1 . 50 1 . 50 0. 0 0. 0 7. 20 7. 20 0. 1 0. 2L a t i n A m e r i c a * 1 . 1 2. 0 -0. 4 -0. 7 7. 7 6. 4 - - - - - - - - - -A rgent ina -2. 6 1 . 6 -1 . 1 0. 1 47. 6 33. 7 -0. 3 -1 . 3 40. 00 30. 00 -20. 0 -5. 0 1 00. 00 1 05. 00 26. 0 38. 0M ex ic o 0. 9 1 . 7 -0. 3 -0. 3 2. 9 3. 3 -0. 6 -0. 2 6. 00 6. 00 -0. 8 -0. 5 20. 50 21 . 00 1 . 0 2. 3B raz il 2. 5 2. 5 0. 5 0. 1 3. 7 3. 8 0. 0 0. 1 5. 00 5. 50 0. 0 0. 0 3. 95 3. 95 0. 0 0. 0Venez uela“ “ “ -1 0. 0 -5. 0 -7. 0 -1 5. 0 269. 6 500. 0 - - 25. 00 25. 00 - - 59 296682 - -C hile 1 . 9 3. 1 -1 . 1 0. 1 2. 5 2. 8 -0. 4 -0. 2 1 . 00 1 . 75 -0. 5 -0. 8 740. 0 730. 0 37. 5 45. 0C o lo m bia 2. 9 3. 1 -0. 1 -0. 3 3. 3 3. 2 -0. 1 -0. 3 4. 25 4. 50 0. 0 0. 3 3500 3600 225. 0 31 5. 0P eru 2. 5 2. 6 -0. 9 -1 . 3 2. 1 2. 2 -0. 1 -0. 3 2. 25 2. 25 -0. 3 -0. 9 3. 40 3. 38 0. 0 0. 0G 7 * * * 0. 9 1 . 6 -0. 3 0. 1 1 . 6 1 . 6 -0. 1 -0. 2 - - - - - - - -DM 1 . 1 1 . 8 -0. 3 0. 2 1 . 6 1 . 6 -0. 1 -0. 1 - - - - - - - -EM 4. 6 4. 8 -0. 2 -0. 1 3. 9 3. 3 - - - - - - - - - -W o r l d * 3 . 0 3 . 6 - 0 . 3 0 . 1 2 . 9 2 . 6 0 . 0 - 0 . 2 - - - - - - - -F X v s U S D ( e n d p e r i o d )P o l i c y r a t e ( e n d p e r i o d )C P I ( % a v g )R e a l G D P 1/U B S -c u r r e n t f o r e c a s t sU B S v s C o n s e n s u sU B S - c u r r e n t f o r e c a s t sU B S v s C o n s e n s u sU B S -c u r r e n t f o r e c a s t sU B S v s C o n s e n s u sU B S -c u r r e n t f o r e c a s t sU B S v s C o n s e n s u sGlobal Economics & Markets Outlook 2020-2021 11 November 2019 6 Market Themes, Investment Ideas and Key Forecasts for 2020 2019 has been a bad year for economic data, but a good year for markets so far. Cheap initial valuations and central banks across the world provided a bridge to safety. UBS economists believe that while the data will improve in 2020, convalescence will be slower than consensus expects. Policy is likely to remain stimulatory, although incrementally less than this year. How should investors balance this limited good news against more advanced valuations? Our top investment ideas for 2020 are driven by four main themes. Theme I: UBS Cycle Clock says its past Beta time 1: Long US vs European equities 2: Long US Software vs Hardware equities 3: Long UK Domestics vs UK International equities 4: Long NOKSEK 5: Long BRLMXN 6: Long IDRZAR Theme II: Policy makers whore willing arent able, those whore able, arent willing 7: Long TOPIX vs MSCI EM 8: Long MSCI China vs MSCI Australia 9: Receive 1y1y CHF 10: Long CDX.HY protection 11: Long EUR SubFin protection Theme III: The gravity of zero & the world beneath 12: Long UST 30y 13: Long 5y China Government Bonds, funded in TWD 14: Receive AUD 2y3y vs Pay GBP 2y3y IRS 15: Long Mexico 5y CDS vs PEMEX 5y CDS Theme IV: Fat tails, skinny price of protection 16: HSI upside (right tail) 17: USDCNH downside (right tail) 18: USDJPY downside (left tail) 19: Downside on US small cap (left tail) Global Economics & Markets Outlook 2020-2021 11 November 2019 7 Figure 1: Macroeconomic and market forecasts Baseline scenario 4Q19 2019 1Q20 2Q20 3Q20 4Q20 2020 1Q21 2Q21 3Q21 4Q21 2021 US GDP (q/q, SAAR) 1.2 2.2 0.5 0.3 1.7 2.0 1.1 2.2 2.5 2.5 2.5 2.1 Eurozone GDP (q/q, SAAR) 0.6 1.1 0.6 0.8 1.1 1.2 0.8 1.3 1.3 1.3 1.3 1.2 China GDP (q/q, SAAR) 5.4 6.1 5.3 6.6 6.0 5.4 5.7 5.0 6.0 5.6 5.5 5.6 Fed Funds rate (EOP) 1.75 1.75 1.25 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.25 1.25 ECB Depo rate (EOP) -0.50 -0.50 -0.60 -0.60 -0.60 -0.60 -0.60 -0.60 -0.60 -0.60 -0.60 -0.60 EURUSD (EOP) 1.12 1.12 1.12 1.13 1.14 1.15 1.15 1.15 1.16 1.17 1.18 1.18 USDCNY (EOP) 7.20 7.20 7.20 7.20 7.20 7.20 7.20 7.15 7.10 7.05 7.00 7.00 US 10-year yield (EOP) 1.50 1.50 1.25 1.00 1.25 1.50 1.50 1.50 1.75 1.75 1.75 1.75 EZ 10-year yield (EOP) -0.50 -0.50 -0.75 -0.75 -0.75 -0.50 -0.50 -0.50 -0.25 0.00 0.00 0.00 US IG spread (EOP) 109 109 135 160 155 145 145 145 145 140 130 130 US HY spread (EOP) 374 374 510 640 600 550 550 530 500 470 450 450 MSCI ACWI (q/q for quarters, y/y for years) 2.1 16.6 -2.3 -0.2 3.2 2.9 3.6 1.2 1.9 1.8 1.7 6.8 Source: MSCI, Bloomberg, UBS (incl. estimates). Fed Funds rate forecasts indicate the upper bound of the range. MSCI ACWI forecasts refer to price performance. Figure 2: EUR/USD scenario forecasts Figure 3: US 10y yield scenario forecasts Source: UBS, Bloomberg Source: UBS, Bloomberg Figure 4: US HY spread scenario forecasts Figure 5: MSCI All World scenario forecasts Source: UBS, Bloomberg Source: UBS, Bloomberg 1.001.051.101.151.201.251.30Mar-18 Oct-18 May-19 Dec-19 Jul-20 Feb-21 Sep-21Trade escalationTrade de-escalationSupply becomes demand shockOil at $120/bblOil at $30/bblBaseline0.01.02.03.04.0Mar-18 Sep-18 Mar-19 Sep-19 Mar-20 Sep-20 Mar-21 Sep-21% Trade escalationTrade de-escalationSupply becomes demand shockOil at $120/bblOil at $30/bblBaseline502003505006508009501,1001,250Mar-18 Oct-18 May-19 Dec-19 Jul-20 Feb-21 Sep-21bp Trade escalationTrade de-escalationSupply becomes demand shockOil at $120/bblOil at $30/bblBaseline758595105115125Mar-18 Oct-18 May-19 Dec-19 Jul-20 Feb-21 Sep-21Sep19=100 Trade escalationTrade de-escalationSupply becomes demand shockOil at $120/bblOil at $30/bblBaselineGlobal Economics & Markets Outlook 2020-2021 11 November 2019 8 Global Economics Arend Kapteyn Economist arend.kapteynubs +44-20-7567 0531 Pierre Lafourcade Economist pierre.lafourcadeubs +1-203-719 8921 Alan Detmeister Economist alan.detmeisterubs +1-212-713 1222 Global Economics & Markets Outlook 2020-2021 11 November 2019 9 Global Economy Outlook 2020-2021 UBS Research THESIS MAP 2020-2021 Global Economic Outlook PIVOTAL QUESTIONS Q: Do easing financial conditions presage growth resurgence? The one standard deviation move in the global FCI is positive but we find its predictive power questionable historically, and economic and political uncertainty may impede the usual transmission. Q: Will the consumer crack if trade tensions linger? Developed market consumption is holding up as income gains are offsetting slowing employment growth (-70bp from peak). However, we are now only 40bp from “stall speed“the point at which unemployment starts to go up. So far, consumption weakness has been concentrated in EM. Q: What is the probability of the non-manufacturing sector going into recession? There is still time. We estimate a 30% probability of a countrys non-manufacturing sector going into recession after 12 months, conditional on there being a manufacturing recession. UBS VIEW We expect a recovery in 2020, but a much weaker one than consensus: Part of that is tariff effects being underestimated (demand elasticities to tariffs have been 3-4x larger than assumed in central bank models) and earlier tariffs still working their way through the data. And partly there is some disconnect between how the market and businesses (more uncertain) view the outlookeven if there is a deal. EVIDENCE & SIGNPOSTS Tariffs have been the focus but other currents are shifting. We estimate that the Auto cycle accounts for up to half of the global industrial production weakness and it is starting to turn. Likewise, the Tech cycle accounts for 30-40% of the nominal trade weakness and has also stabilized. And global trade deflators have also bottomed and should start to boost global trade. However, the US Shale cycle (28% of the global IP deterioration) is weakening, US elections are coming into focus, Brexit remains unresolved, and the gap between fundamentals and markets is now extreme. Market Cycle is close to an all-time high, while Business Cycle is middling at the 50th percentile in Europe, for instance. UPSIDE RISK The slowdown may have been exacerbated by factors unrelated to trade. These could ease. Just as 2017s strength was exaggerated by a confluence of forces such as strong China housing, Tech and rising confidence in Europe, 2019s tariff hit could have been similarly made worse by a perfect storm of falling car demand, a weak Tech cycle, soft shale production and tight financial conditions in China and India. Some of these factors may organically improve and lift global growth towards trend. Figure 6: Risks around the baseline Figure 7: Alternative policy rate scenarios Source: UBS Source: UBS Global Economics & Markets Outlook 2020-2021 11 November 2019 10 The car cycle, the tech cycle, the shale cycle and how it all came together in a perfect (tariff) storm To set the stage for our Global Outlook, we take you on a “chart-tour“ of what we believe are the proximate causes for the global growth slowdown. Tariffs are clearly a major part of the story, but not the whole of it. Identifying other currents flowing below the surface is key to understanding what happens next. The starting point is Figure 8 from our Global growth now-cast report, showing growth has essentially slowed from over 4% two years ago to 2.6% now (QoQ annualized)the 14th percentile over the last 20 years. Figure 9 decomposes the slowdown into the different data buckets driving the now-cast (domestic, external and other) and quantifies how many percentage points the different data sets are subtracting from long-run average growth. The external component, which is everything correlated with trade (including things like industrial production), clearly dominates, subtracting 72bp from trend as of Sept 19. It includes only 1/3 of the dataset, but it contributes 2/3 of the weakness.1 Figure 8: Global growth is tracking at only 2.6% Figure 9: Most of the weakness is external Source: UBS, Haver, CEIC Source: UBS, Haver, CEIC Clearly, something disrupted global trade and is transmitting to global growth. Figure 10 shows how the 6pp or so drop in global trade volume growth translated to lower industrial production (IP)the single most important variable in explaining historical variations in GDP. The intuition here is simple: countries produce goods to meet domestic and foreign demand, and if foreign demand drops with no offsetting increase in domestic demand, they produce less rather than let unneeded inventories build up. Thats it, viewed from the production side of national accounts. From an expenditure national accounts perspective, this weakness mostly shows up in investment (down from about 5% to 2%).2 1 This is explained in more detailed in the now-cast note. We track over 230 variables across 25 countries. 2 This includes a massive contribution from Ireland which, according to official statistics, increased its investment-to-GDP ratio from 27 to 60% in a single quarter (a 223% YoY increase in investment!). This is once again due to the import of intellectual property (which neutralizes the investment impact from a growth perspective)possibly the transfer of $50bn in assets from Singapore to Ireland (see cfr/blog/irelands-statistical-cry-help). The transfer of IP to benefit from favourable tax treatment has considerably distorted Irish national accounts in recent years and is adding 70bp to global investment growth this year. The base for next years outlook is low (global growth is tracking in only the 14th percentile) Trade so far has been the main channel of disruption