摩根大通预测：下一次金融危机的时间为期不远

在雷曼兄弟破产引发市场暴跌和一连串紧急措施10年后，摩根大通策略师建立了一个模型来衡量下一次金融危机的时机和严重程度，结论是投资人应该把2020年暂定为下一次金融危机的时间。

好消息是，根据他们的分析，下次危机的破坏程度可能比上次危机少一点。而坏消息是，自2008年危机爆发以来，金融市场的流动性减少是无法预知的因素。

摩根大通的模型依据经济扩张的时间长度、下一次经济衰退可能持续的时间、杠杆程度、资产价格估值，以及危机前的放松管制和金融创新来计算结果。报告预设了一个平均时长的衰退，用模型得出了下一次危机中不同资产类别从高峰到谷底的表现。

美国股市下跌约20%，美国企业债收益率上涨约1.15%，能源价格下跌35%，基本金属跌29%，新兴市场国家政府债券的收益率差扩大2.79%，新兴市场股票下跌48%，新兴市场货币贬值14.4%。

摩根大通策略师约翰·诺曼德和费德里克·马尼卡迪写道：“就资产而言，这些预测相对于十年前全球金融危机时的跌幅看起来算是温和，相较于平均的衰退和危机程度这一预测也不算令人不安。”他们指出，在2008年全球金融危机期间，标普500指数就曾狂跌54%。“我们至少会据历史标准作些微调，因为结构性的市场流动性减少是不可预测因素。”

摩根大通分析师马可·克拉诺维奇此前曾分析得出，随着指数基金、交易所交易基金和基于数量的交易策略不断发展，市场交易模式正在从主动管理投资转向被动，这也加剧了市场受扰后带来的危害，克拉诺维奇和同事于近期在另一份报告中将其描述为“巨大的流动性危机”。

乔伊斯·张和詹·洛伊斯在报告中写道：“资产管理从主动向被动的转变，特别是主动价值型投资者的减少，降低了市场防范缩减和从大规模缩减中复苏的能力。”摩根大通估计，主动型管理账户只占它所管理资产的约三分之一，活跃的单名交易只占交易量的10%左右。

对流动性的担忧

乔伊斯·张和詹·洛伊斯警告说，这种转变“消灭了大量的资金池，而这些资金池本可购买廉价公开证券并阻遏市场风波”。

约翰·诺曼德和费德里克·马尼卡迪写道，让人看到一线希望的，倒是最近新兴市场的溃败：它意味着发展中国家的资产今年变得廉价，反而能限制下一次危机从峰跌谷的程度，并补偿杠杆的建立。

除了流动性问题，约翰·诺曼德和费德里克·马尼卡迪还强调了下一轮衰退的时间长度，将会成为衡量情况变得多糟的标尺。衰退持续时间越长，对市场的打击越大，从以往的危机表现中他们已分析出这一点。

他们还写道：“经济衰退的持续时间是对回报的巨大拖累，这应该与一些读者的担忧相吻合，即下一次衰退中政策制定者缺乏必要的货币和财政空间来提振经济。”（财富中文网）

译者：宣峰

A decade after the collapse of Lehman Brothers sparked a plunge in markets and a raft of emergency measures, strategists at the bank have created a model aimed at gauging the timing and severity of the next financial crisis. And they reckon investors should pencil it in for 2020.

The good news is, the next one will probably generate a somewhat less painful hit than past episodes, according to their analysis. The bad news? Diminished financial market liquidity since the 2008 implosion is a “wildcard” that’s tough to game out.

The J.P. Morgan model calculates outcomes based on the length of the economic expansion, the potential duration of the next recession, the degree of leverage, asset-price valuations and the level of deregulation and financial innovation before the crisis. Assuming an average-length recession, the model came up with the following peak-to-trough performance estimates for different asset classes in the next crisis, according to the note.

A U.S. stock slide of about 20%. A jump in U.S. corporate-bond yield premiums of about 1.15 percentage points. A 35% tumble in energy prices and 29% slump in base metals. A 2.79 percentage point widening in spreads on emerging-nation government debt. A 48% slide in emerging-market stocks, and a 14.4% drop in emerging currencies.

“Across assets, these projections look tame relative to what the GFC delivered and probably unalarming relative to the recession/crisis averages” of the past, J.P. Morgan strategists John Normand and Federico Manicardi wrote, noting that during the recession and ensuing global financial crisis the S&P 500 fell 54% from its peak. “We would nudge them all at least to their historical norms due to the wildcard from structurally less-liquid markets.”

J.P. Morgan’s Marko Kolanovic has previously concluded that the big shift away from actively managed investing—through the rise of index funds, exchange-traded funds and quantitative-based trading strategies—has escalated the danger of market disruptions. He and his colleagues wrote in a separate note recently of the potential for a future “Great Liquidity Crisis.”

“The shift from active to passive asset management, and specifically the decline of active value investors, reduces the ability of the market to prevent and recover from large drawdowns,” Joyce Chang and Jan Loeys wrote in the note. Actively managed accounts make up only about one-third of equity assets under management, with active single-name trading responsible for just 10% or so of trading volume, J.P. Morgan estimates.

Liquidity Worries

This change has “eliminated a large pool of assets that would be standing ready to buy cheap public securities and backstop a market disruption,” Chang and Loeys warned.

One silver lining is in the recent rout in emerging markets: it means assets in developing countries have cheapened this year, helping limit the peak-to-trough declines during the next crisis and offsetting a buildup of leverage, Normand and Manicardi wrote.

Besides the liquidity question, Normand and Manicardi highlighted the length of the next downturn as a critical unknown in gauging how bad things will get. The longer a recession lasts, typically the bigger the hit to markets, their analysis of past episodes shows.

“The recession’s duration is a powerful drag on returns, which should dovetail with some readers’ concerns that policy makers lack the necessary monetary and fiscal space to extract economies from the next recession,” they wrote.