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小心全球市场二度下杀!摩根大通:日元套利平仓仅完成50% 短期波动尚未结束

FX1682024年8月8日 01:15
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FX168财经报社(亚太)讯 摩根大通全球外汇策略联席主管桑迪利亚(Arindam Sandilya)表示,由于日元仍然是最被低估的货币之一,近期套利交易平仓还有更大的上升空间。他指出,日元套利交易仅完成了50-60%左右,警告短期波动尚未真正结束,只是目前速度比以前缓慢一点。

彭博社报道,由于对美国经济衰退的担忧以及日本央行加息,日元波动性在过去一周大幅上升,导致外汇交易遭受重创。日元套利交易以低利率在日本借入资金,并购买其他地方的高收益资产,这长期以来一直受到投资者的青睐,因为波动性仍然很低,交易员押注日本利率将保持在最低水平。#日本市场#

(来源:Bloomberg)

但过去一个月,美元/日元贬值11%,导致许多此类交易亏损。

随后,投资者纷纷平仓日元空头头寸,这震动了新兴市场和发达市场,而这些市场曾经是投资者部署这一策略以获得更高回报的目的地。

墨西哥比索是平仓交易的最大受害者之一,本周早些时候继续下跌,过去一个月的跌幅达到6.8%,是彭博追踪主要世界货币中跌幅最大的。

桑迪利亚称,套利交易不太可能在短期内恢复到日元上涨之前的水平,因为短期大幅波动对投资组合造成的技术损害“不易消除”。

“一个好的情况是市场在当前水平附近稳定下来,最多可能出现轻微复苏,”他说。“但在许多情况下,市场往往会继续波动,只是速度比以前慢了一点。”

(来源:Bloomberg)

日本高级经济学家Taro Kimura表示:“日元套利交易似乎正以自2007年次贷危机爆发后日元飙升以来最快的速度平仓,自3月份以来,我们一直警惕日元命运急剧逆转的风险,现在它正在成为现实。”

他指出:“我们的模型显示,对美国经济放缓的担忧是主要驱动因素,而不是日本央行最近的加息。日元今后的走势可能主要取决于美国经济如何发展以及美联储的政策制定者如何反应。”

根据美国商品期货交易委员会(CFTC)上周提供的数据,在周一的抛售之前,日元空头平仓已经开始,即使还没有完全平仓。数据显示,在日本央行于7月31日加息之前,杠杆基金一直在加大对日元进一步贬值的押注。#日元贬值#

日本央行发布7月份货币政策会议意见摘要,内容提及:“几位委员认为经济活动和价格的发展与日本央行的前景一致。一些人认为有空间提高‘非常低’的政策利率,理由是负实际利率处于25年来的最低点。”

摘要也提到:“意见分歧在于时机,一些人希望获得更多数据,而另一些人则准备立即采取行动。日本央行成员预计小幅加息不会产生紧缩效应,成员敦促及时加息以避免快速加息的必要性。成员将至少1%左右的中性利率作为中期目标。减少日本国债购买的计划被视为促进市场运作,而不是紧缩。日本央行削减购买量,需要仔细监控日本国债市场。关于通胀/工资增长周期可持续性的辩论仍在继续。”#日本央行动态#

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