研报：英镑汇率在英国脱欧和新冠疫情大背景下的走势

　　芝加哥商品交易所研报：英镑汇率在英国脱欧和新冠疫情大背景下的走势

　　译者  王为

　　文中黑字部分为原文，蓝字部分为译文，红字部分为译者注释或补充说明

　　The British Pound， Brexit and the Pandemic

　　By Erik Norland 

　　In the five years since the British parliament passed a law calling for a referendum on whether the UK should remain in the European Union or leave， there have been many intervening moments affecting the global economy， including the Brexit vote itself in 2016 and now the coronavirus pandemic．

　　今天距英国议会通过立法举行脱欧公投决定英国是否应脱欧已过去五年了，期间全球经济多次面临干扰，包括2016年英国脱欧公投结果本身以及当前的新冠疫情。

　　During this time， one element has remained constant： the British pound rallies when the UK moves toward deeper integration with Europe， and falls when the UK moves towards a no-deal Brexit decision． Investors were reminded of this once again in early May as the UK and EU negotiations hit an impasse， with both sides citing a lack of progress on issues ranging from fishing rights to business-competition regulations． Since the negotiations stalled， the pound has slid 3% versus the euro and 4.5% versus the US dollar ．

　　但在此期间，有一个规律始终牢不可破：每当英国加强与欧盟融合，英镑汇率就会上涨；当谈判结果有可能是英国无协议脱欧，英镑汇率就会下跌。投资者在今年5月初英国和欧盟之间的谈判陷入僵局时再次领教了这一点，当时英欧双方均声称在捕鱼权乃至对商业竞争进行监管等一系列问题上进展缓慢。在贸易谈判遇阻后，英镑对欧元的汇率下跌了3%，对美元的汇率下跌了4.5%。

　　This is the latest installment in a longstanding theme：

　　看过了最新的情况，再看看以往：

　　·  Between the time the UK Parliament called the referendum on June 9， 2015， until the referendum itself on June 23， 2016， GBP slid 4% versus EUR and 3% versus USD．

　　在英国议会于2015年6月9日通过立法建议举行脱欧公投至2016年6月23日脱欧公投付诸实施期间，英镑对欧元和美元的汇率分布下跌了4%和3%；

　　·  In the months after the referendum， GBP plunged 17% versus EUR and 21% versus USD．

　　在脱欧公投之后的数月内，英镑对欧元和美元的汇率分布下跌了17%和21%；

　　·  Since the referendum， GBP has tended to rally when it looked like a deal was close and tended to sell off when Brexit appears to be headed towards the “no-deal” scenario ．

　　英国脱欧公投以后，英镑的汇率通常在与欧盟有可能达成协议的时候会上涨，至2018年初英镑/美元的汇率上涨了21%，因时任首相特雷莎梅与欧盟举行了相关谈判；在有可能走向“无协议脱欧”的时候，英镑汇率往往会因市场的抛售而下跌，特雷莎梅与欧盟的谈判屡屡受阻后英镑/美元的汇率下跌了16%，见图1。

　　Figure 1： GBP rallies on hopes for more integration with Europe， sells off with less integration

　　当英国有望与欧盟加强融合的时候，英镑汇率会出现上升；当与欧盟的融合遇到问题，英镑会遭到抛售

　　Negotiators will meet once more in early June 2020 to decide if it’s worth continuing the discussions． The UK government’s EU Exit Operations committee — also commonly known as the “no-deal planning unit” is meeting more regularly． The UK government denies that it will extend UK membership in the Common Market beyond December 31， 2020， however， it is possible the economic damage from the pandemic could nudge them to seek some sort of delay， particularly if no acceptable deal is in place．

　　英国和欧盟将于2020年6月初重开谈判以决定是否有必要继续谈下去。隶属于英国政府的脱欧工作组，通常也被称为“无协议脱欧对策小组”将更频繁地召开会议商讨对策。英国政府否认将在2020年12月31日后继续保留其欧盟共同市场成员国的地位，但新冠疫情给英国经济带来的损害有可能会促使英国政府寻求将成员国资格延长一段时间，尤其是在没有什么可接受的谈判成果的情况下。

　　Going into this next round of negotiations， GBP options markets are more skewed to the downside than usual with out-of-the-money put options substantially more expensive than usual compared to OTM calls． By May 19， the options skew was more negative than it had been 92% of the time during the previous two years． Options traders have， at times， proved prescient with respect to future moves in the pound： options skew was extremely negative in the lead up to the 2016 referendum and， indeed， GBP collapsed after the result became apparent ． Skewness isn’t as negative this time， but pound options are considerably more expensive than those on EUR when seen from a USD perspective ． Moreover， most of the recent spikes in both implied volatility and risk reversal have been motivated by concerns over the progress of Brexit negotiations． The one exception occurred during an incipient dollar-funding crisis in mid-March． After the US Federal Reserve stepped in， that issued was resolved quickly． 

　　对于下一轮贸易谈判对英镑汇率的影响，英镑期权的报价显示英镑价外看跌期权的期权费报价比以往更加明显地高于价外看涨期权的期权费，说明市场更倾向于英镑汇率下跌。5月19日，英镑期权的偏斜度又被称为风险逆转深入负值区域的程度要高于过去两年中92%的期间。在预测英镑汇率未来的走势方面期权交易员曾多次显示出先知先觉的能力。在2016年英国脱欧公投前，英镑期权的偏斜度进入极深的负值区域，而英镑的汇率在公投结果揭晓后果然遭遇大跌，见图2。这次，英镑期权的负偏斜度没有2016年那么深，但英镑对美元期权的期权费却比欧元/美元期权贵，见图3。此外，期权的隐含波动率和风险逆转报价近期的上涨大多来自于对英国脱欧谈判进程的担忧。唯一的例外发生在3月中旬即美元融资开始出现紧张的时候，在美联储进场干预后危机得以迅速地解决。

　　Figure 2： GBP 1M and 1Y options are more negatively skewed than usual

　　1个月和1年期限的英镑期权的偏斜度比以往更多地处于负值区域

　　Figure 3： GBP option implied volatility， typically similar to EUR pre-referendum， is now higher

　　英国脱欧公投前，英镑期权的隐含波动率的水平通常更类似于欧元期权的隐含波动率，但现在则高于欧元期权的隐含波动率

　　UK interest rate markets have shown less reaction to Brexit-related events than the currency market． The Bank of England is focused on containing the economic damage from the pandemic and interest rate traders are debating whether the BOE will follow the European Central Bank and the Swiss National Bank down the path to negative interest rates ． If the BoE does go negative， it might have unexpected consequences for exchange rates． Of the four central banks which went to negative rates during the past decade， two of them quickly saw their currencies strengthen． The other two had more mixed results， yet were still consistent with the concept that negative rates do not work as intended． Sweden has already exited negative-rate territory． Coming soon， our report on “What FX Markets Say About Negative Rates．

　　英国利率市场对与英国脱欧有关事件的反应没有外汇市场那么敏感。英国央行正致力于减少新冠疫情对英国经济的伤害，利率交易员正在对争议不休英国央行是否会追随欧洲央行和瑞士央行的脚步推行负利率政策，见图4。如果英国央行确实开始走上负利率政策的道路，会给英镑汇率带来意想不到的后果。在过去十年推行了负利率政策的四家央行中有两家央行很快发现其本币的汇率出现了升值。剩下两家央行所在国家的本币汇率有涨有跌，但也未出所料，负利率政策并没有像预先设想的那样发挥作用，瑞典的政策性利率已经开始脱离负利率区间。很快，我们就会发布一篇文章题为“外汇市场对负利率的反应如何？”

　　Figure 4： SONIA futures price a possibility of negative rates in the UK

　　英镑隔夜指数平均利率期货合约的报价显示市场认为英国央行有可能推行负利率

　　Normally a stronger currency is a sign of a relatively tighter monetary policy． While negative rates are meant to loosen monetary policy and support economic recovery， they instead can act as a tax on the banking system and may interfere with the process of credit creation． An inadvertent and undesired tightening of monetary policy that stems from negative rates may explain， in part， why currencies subject to negative deposit rates have tended to strengthen rather than weaken as is commonly the case when central banks ease monetary policy．一般来讲，一国货币的汇率升值说明该国货币政策相对较紧。负利率意味着货币政策比较宽松并且有利于经济复苏，但反过来负利率对商业银行体系好比是一种税并有可能干扰信用的创造。负利率在不经意间所导致的货币政策收紧可以在一定程度上解释，为什么实行了负存款利率的货币往往会汇率升值而不是像各家央行放松货币政策时汇率出现贬值一样。

　　While its uncertain if the BoE will decide to push rates below zero， if the central bank were to pursue negative rates， it might strengthen the pound． A stronger currency could， in turn， slow the recovery from both the pandemic as well as making it more difficult to absorb any additional shocks from a possible no-deal Brexit．

　　虽然尚不确定英国央行是否会将基础利率的水平推低到零以下，但如果该行准备采取负利率政策的话，英镑汇率会因此而走强。汇率走强有可能反过来减缓经济从新冠疫情的影响中复苏过来的进程并且导致愈加难以在与欧盟无法达成脱欧后贸易协议的情况下消化突发事件的冲击。

　　Finally， when it comes to the pandemic， other than obliging the BoE to quickly return to near-zero rates and implying a vast expansion of the UK’s budget deficit， the pandemic appears to have had a limited impact upon the pound beyond the transitory dollar-funding issues in mid-March． For the moment， the UK’s economic and fiscal situation in the face of the pandemic very much resembles that of its neighbors across the Channel and across the Atlantic．

　　最后，在新冠疫情的影响方面，疫情除了导致英国央行的政策性利率迅速回归近乎零的水平而且意味着英国的预算赤字将大幅扩张，新冠疫情除了在三月中旬导致美元融资出现一些暂时性的紧张之外，对英镑汇率的影响似乎比较有限。在目前的疫情期间，英国的经济和财政形势与大西洋对面的美国以及英吉利海峡对面的欧洲非常相似。

　　One question for the pound post-Brexit is whether it will begin to trade more like the Australian or Canadian dollar ？ We think that this is unlikely． Even post-Brexit， GBP could probably remain in EUR’s orbit for a number of reasons， not least of all because over 40% of Britain’s exports go to the European Union． Even if that number drops a bit under a no-deal Brexit scenario， UK’s trade with Europe is likely to far exceed its trade with any other country． Secondly， the UK ceased to be a net exporter of oil over a decade ago and with North Sea reserves dwindling and the UK having no other substantial domestic commodity production， there is little reason to think that GBP will begin to trade like AUD， CAD or other resource-dependent currencies． 

　　与脱欧后的英镑汇率走势有关的一个问题是：英镑的走势是否会变得越来越像澳大利亚元或加拿大元？我们认为这不太可能。即使是在脱欧后的今天，英镑仍有可能出于几个原因而与欧元密切相关，其中最关键的是英国的出口有40%以上是面向欧盟。即使对欧盟的贸易量在与欧盟无法达成脱欧后贸易协议的情况下会有所下降，英国的对欧贸易额也仍有可能远超对其他任何一个国家的贸易额。其次，英国在十年前已不再是原油净出口国，在北海石油资源日渐枯竭后英国国内也没有大量的其他种类大宗商品可供出口，因此几乎没有理由相信英镑的汇率走势会变得像澳大利亚元、加拿大元或其他货币的汇率一样。

　　Bottom Line

　　总结一下

　　·  GBPUSD and GBPEUR depend on post-Brexit trade deal negotiations

　　英镑/美元和英镑/欧元未来的走势取决于脱欧后英国与欧盟之间贸易谈判的进展

　　· GBP options remain skewed to the downside

　　英镑期权的报价显示市场看贬英镑汇率

　　·  SONIA futures price a possibility that the BoE will pursue negative rates

　　英镑隔夜指数平均利率期货合约的报价显示市场认为英国央行有可能推行负利率

　　·  GBP typically rallies when the UK moves towards deeper integration with Europe

　　每当英国致力于加深与欧洲融合，英镑汇率通常都会出现上涨