"全球宏观数据观察：1季度乐观信号不明，供给端乐观性或受考验"

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J.P. Morgan Securities plc

John Normand (44-20) 7134-1816

john.normand@jpmorgan.com

Economic Research

Global Data Watch

May 3, 2019

Cross-asset forecasts & strategy

Rates Current Jun-19 Sep-19 Dec-19 Mar-20

US (Fed funds) 2.41 2.40 2.40 2.40 2.40

10-year yields 2.53 2.55 2.65 2.75 2.80

Euro area (Refi) 0.00 0.00 0.00 0.00 0.00

10-year yields 0.02 0.05 0.15 0.30 0.40

Italy - Germany 10Y (bp) 254 250 225 215 200

Spain - Germany 10Y (bp) 96 100 90 85 80

United Kingdom (repo) 0.75 0.75 0.75 1.00 1.00

10-year yields 1.18 1.20 1.25 1.35 1.40

Japan (overnight call rate) -0.10 -0.10 -0.10 -0.10 -0.10

10-year yields -0.05 -0.05 -0.05 0.00 0.00

EM Local (GBI-EM yield) 6.25 6.17 6.11

Currencies Current Jun-19 Sep-19 Dec-19 Mar-20

JPM USD Index 122 122 122 121 121

EUR/USD 1.12 1.12 1.14 1.16 1.17

USD/JPY 111 114 112 109 109

GBP/USD 1.30 1.29 1.33 1.36 1.36

AUD/USD 0.70 0.68 0.67 0.66 0.65

USD/CNY 6.73 6.70 6.68 6.65 6.65

USD/KRW 1170 1150 1160 1150 1145

USD/MXN 19.04 19.50 19.75 20.25 20.50

USD/BRL 3.94 3.80 3.80 3.90 3.90

USD/TRY 5.97 6.20 6.40 6.65 6.90

USD/ZAR 14.44 13.80 14.10 14.30 14.60

Commodities Current Jun-19 Sep-19 Dec-19 Mar-20

Brent ($/bbl, qtr end.) 70.7 75 72 69 67

WTI ($/bbl, qtr end.) 61.8 67 66 61 58

Gold ($/oz, qtr avg.) 1,280 1,260 1,346 1,405

Copper ($/ton, qtr avg.) 6,156 6,200 6,400 5,600

Aluminum ($/ton, qtr avg.) 1,791 1,850 2,002 1,880

Iron ore (US$/dt, qtr avg.) 94 90 91 82

Wheat (USc/bu, qtr avg.) 433 540 550 550 550

Soybeans (USc/bu, qtr

avg.)

830 930 900 920 930

Credit Current Dec-19

US High Grade (bp over UST) JPM JULI 140 150

Euro High Grade (bp over Bunds) iBoxx HG 121 130

US High Yield (bp vs. UST) JPM HY 416 425

US Lev Loans (bp vs. 3Y Index) JPM LL 435 460

Euro High Yield (bp over Bunds) JPM EMBIG 398 475

EMBIG Div (bp vs. UST) JPM EMBIG 340 375

EM Corporates (bp vs. UST) JPM CEMBI 265 325

Equities Current Dec-19

S&P 500 2,935 3,000

MSCI Europe 1,600 1,590

MSCI Eurozone 223 220

FTSE 100 7,417 7,370

Topix 1,618 1,700

MSCI EM ($) 1,079 1,100

MSCI China 86 90

MSCI Korea 667 700

MSCI Taiwan 414 365

MSCI India 1,344 1,350

Brazil (Ibovespa) 96,153 105,900

Mexico (MEXBOL) 44,229 49,700

MSCI South Africa 1,469 1,500

Equity sector recommendations & year-to-date returns

US Europe Japan EM

Energy

12% OW 12% OW 1% N 11% N

Materials

12% N 19% OW 9% N 4% OW

Industrials 22% OW 22% OW 13% N 4% OW

Discretionary

20% OW 22% N 7% UW 26% N

Staples

13% UW 19% UW 1% N 8% UW

Healthcare 4% UW 11% UW 10% OW 5% OW

Financials 18% N 18% OW 4% N 10% N

Technology

27% OW 25% OW 24% N 17% UW

Comm

Services

20% N 4% UW 18% UW 14% N

Utilities

10% UW 11% N -4% N 3% UW

Real Estate 17% UW 14% UW 3% OW 16% N

Overall 17.4% 16.9% 9.9% 12.2%

Source: Bloomberg, Datastream, J. P. Morgan

Core strategic and tactical recommendations by asset class

Strategic (6M to 2

Y trades)

Tactical (1M to 6

M trades)

Asset allocation

Moderate OW

Equities vs Credit; OW EM vs DM

Equities

;

neutral

EM Sovereigns

& Corp

rates, long EM duration but neutral FX; long US linkers, neutral others long Gold.

neutral

short DM duration, neutral

long USD vs G10, neutral

USD vs EM

Equities

Country

: OW

US,

Brazil,

China, India

, Indonesia; UW

Europe,

UK, S Africa,

Taiwan

Sector: OW Tech, Discretionary, Industrials & Energy; UW Staples, Utilities, Health, R. Estate

Style: OW Growth, Neutral Value, Quality & Momentum, UW Low-Vol

Country: none (all current recommendations are strategic)

Bonds

DM duration

Neutral

EM duration: OW Brazil, Peru, Malaysia, Indonesia, S Africa, Czech; UW Hungary, Chile

Linkers: long in Japan (10Y) & Sweden (5Y); short in UK (5Yx5Y)

DM duration

short US (5Y), long AU (3Y)

Spread: OW France vs Germany (30Y), OW UK vs Euro (5Yx5Y),

OW NZ vs US (2Yx2Y), UW Norway vs Euros (3Mx1Y)

Credit

US HG:

OW Large Banks,

Healthcare,

Telco, Mid

stream Energy; UW Tech,

non

Food Retail

; N

Utilities, Regional Banks, Manufacturing

US HY: N Energy, OW Healthcare, UW Tech

Euro HG: OW Sub Banks, Aerospace; UW Cons Products, Healthcare, Media, Retail, Utilities

Euro HY: OW Healthcare, Paper, Services; UW Chemicals, Consumer Products, Transport

EM Sovereigns and Corporates: neutral

Currencies

BRL,

COP &

PLN vs

CZK, HUF, MXN & UYU

in GBI

; short EUR vs CHF

long USD

AUD, CAD, NZD, EUR, & TRY; & short vs CNY, ZAR

Commodities

long

Gold & JPMCCI

Agricultural sub

index

none (all current recommendations are strategic)

Source: J.P. Morgan flagship weekly and monthly strategy publications available on www.jpmm.com

Economic Research

US: Not all inflation expectations

are created equal

May 3, 2019

JPMorgan Chase Bank NA

Michael Feroli (1-212) 834-5523

michael.e.feroli@jpmorgan.com

Economic Research Note

US: Not all inflation

expectations are created equal

 Preventing a drift lower in inflation expectations is a

key goal of the upcoming Fed strategy review

 If the outcome of that review only bolstered financial

market expectations, the benefits would be limited

 A J.P. Morgan survey indicates the response of financial

market inflation expectations may be limited

 Nonfinancial business expectations get little attention,

but probably warrant a closer following

Inflation expectations have taken pride of place in the Fed’s

review of its monetary policy strategies. Given the attention it

gets from Fed officials, one might even conclude that inflation

expectations are more important than actual inflation. Coun-

terintuitively, we see the emphasis on inflation expectations

reflecting concerns about employment, and about the Fed’s

ability to supply enough stimulus in the next downturn to pre-

vent another crushing loss of jobs. To see how the labor mar-

ket and inflation expectations are related, consider two states

of the world: one in which you expect inflation to be 1%, an-

other in which you expect inflation to be 3%. The next time

the Fed has to cut rates to near zero, in which of the two states

of the world would you be more likely to, say, take out a

mortgage to buy a house or vacation property?

Hopefully you said the 3% inflation expectations environ-

ment. If everyone else is equally financially savvy, then ag-

gregate demand would be stronger in the next zero lower

bound episode—and presumably the loss of employment

would be less—than in the 1% inflation expectations world.

The latter would be closer to Japanization. This should also

underscore why “admitting reality” and lowering the inflation

objective is contrary to basic economic reasoning: it would

leave real rates higher in the next zero-bound episode. The

importance of the state of inflation expectations heading into

the next downturn puts a premium on the Fed making sure

those expectations are well supported now, while the sun is

still shining.

That’s not only easier said than done, it’s not even clear when

it’s done. As is well known, inflation expectations are very

poorly measured. Nor is there clear consensus on whose ex-

pectations matter. Financial market participants’ inflation

expectations may be the most sensitive to Fed communica-

tions. This raises a risk that if the Fed does try to raise infla-

tion expectations, nominal interest rates could move higher

even if non-financial businesses and households didn’t change

their inflation expectations in response to Fed communica-

tions. This would increase their perceived real interest rates.

We make use of a new data set to demonstrate why we don’t

think this concern should prevent the Fed from moving to-

ward an average inflation targeting framework. Another issue

related to the issue of the segmentation of inflation expecta-

tions is whose expectations should matter. For understanding

where inflation is headed, common sense suggests that the

expectations of price-setters, i.e., businesses, should receive

some prominence. We present some evidence consistent with

this conjecture. Regrettably, these expectations have received

less attention from both policymakers and survey designers.

You talking to me?

If you are reading this you are likely (a) employed in the fi-

nancial services industry and (b) more attuned to Fed policy

than the average American. This could create a problem. Con-

sider a simple case where the Fed announces that it is raising

its inflation target. Longer-dated nominal interest rates might

rise, as Fed-sensitive market participants demand extra infla-

tion compensation to hold nominal assets. However, for

households and non-financial businesses who don’t hang on

the FOMC’s every word, some of this rise in nominal interest

rates might be perceived as an increase in real interest rates,

as they are unlikely to factor in higher inflation expectations

simply because the Fed said so.

To the best of our knowledge, this topic was first studied in a

paper presented by three senior Fed researchers at the 2013

Jacques Polak conference. They found that in such a world of

segmented expectations, the announcement of a new, 1%-pt

higher, inflation target would indeed depress output and slow

any recovery. Even so, such a policy might be desirable be-

cause the eventual recovery to a higher inflation rate and

higher inflation expectations would reduce the frequency with

which monetary policy would be constrained by the zero

bound in the future.

In a recent working paper, Fed chair Bernanke and his co-

authors also examine the impact of financial markets knowing

more about the Fed’s reaction function than ordinary folks.

They find that for a variety of policy strategies that are de-

signed to bolster the credibility of the Fed’s inflation objec-

tive—such as price-level targeting or temporary price-level

targeting—the segmentation of knowledge about the Fed’s

reaction function reduces, but does not eliminate, the benefit

of adopting such strategies.

Some more insight into these issues can be gleaned from our

latest semiannual survey of inflation expectations (link here).

This survey asks the inflation expectations of money manag-

ers, most of whom manage over $5 billion in assets and many

of whom are active in inflation-linked markets. These are pre-

Economic Research

Global Data Watch

May 3, 2019

JPMorgan Chase Bank NA

Michael Feroli (1-212) 834-5523

michael.e.feroli@jpmorgan.com

cisely the type of people one might think are more knowl-

edgeable about central bank policy than business people in

nonfinancial industries. The latest survey asked how their 5-

to 10-year-ahead inflation expectations would change if the

Fed adopts average inflation targeting (which is our baseline

view). The results are presented in Figure 1.

Among all investors, a plurality (29%) would not change their

inflation expectations. A large majority (79%) would see an

increase of less than 0.5%. For the Fed, this has mixed impli-

cations. On the one hand, if even sophisticated investors are

relatively unmoved by the adoption of average inflation tar-

geting, then there is likely to be very little announcement ef-

fect to boost inflation expectations. Instead, the Fed will more

likely have to generate higher inflation to spur expectations of

more of the same. On the other hand it suggests the dynamic

mentioned before (nominal interest rates being boosted by

highly-informed investors leading to real interest rates rising

for nonfinancial economic actors) is probably not a material

problem for an alternative policy framework. While this issue

has been an occasional concern for Fed researchers, we don’t

think it should hinder them moving to average inflation tar-

geting.

Whose expectations matter?

There are a number of groups whose inflation expectations

could conceivably be measured: businesses (price-setters),

households (price-takers), financial market participants, and

professional forecasters. Attention is usually focused on sur-

veys of household inflation expectations and on market-based

measures of inflation compensation. Ex ante, there is a good

reason to think business inflation expectations should matter

too: businesses are generally the price setters in the economy

(very few consumer goods are allocated via auction), and so

they may have a good insight into where prices are headed.

Unfortunately there aren’t many point estimates of business-

es’ inflation expectations. The Atlanta Fed has a Business

Inflation Expectations Survey, but it has less than a decade of

history (Figure 2).

The Richmond Fed’s two business surveys—of manufactur-

ing and services—have a longer history and ask respondents’

six-month-ahead (annualized) expectations for prices received

(Figure 3).

The University of Michigan survey measure of household

inflation expectations is often taken as the best measure of

inflation expectations with a long history. However, when we

use the Richmond Fed manufacturing measure of inflation

expectations we find that it does better than the Michigan

measure forecasting actual inflation two to four quarters

ahead.

One implication is that it may make sense to pay more

attention to measures like the Richmond and Atlanta Fed sur-

veys of business inflation expectations. The shorter-term mes-

sage should be a happy one for the Fed: right now neither

survey points to businesses expecting inflation materially

above or below the Fed’s target.

In particular, for various lag lengths we replicate the horserace exercises in Coibion,

Gorodnechenko, and Kumdar (2018), “The Formation of Expectations, Inflation and the

Phillips Curve.” Journal of Economic Literature 56, 1447-1491.

33%

27%

29%

25%

28%

27%

25%

22%

23%

10%

11%

13%

12%

10%

15%

20%

25%

30%

35%

40%

North America Other All

No change 0.0-0.25% higher

0.25-0.5% higher >0.5% higher

Don’t know

Figure 1: Change in investors' inflation expectations if Fed adopts

average inflation targeting

Source: J.P.Morgan Survey of Inflation Expectations

1.6

1.9

2.2

2.5

11 13 15 17 19

Figure 2: Atlanta Fed Business Inflation Expectations Survey

Source: J.P. Morgan

Median

Mean

-1

93 98 03 08 13 18

%, 6-mos forward

Figure 3: Richmond Fed expectation of prices received

Source: Richmond Fed

Manufacturing

Services

Economic Research

US: Education inflation likely to

stay firm

May 3, 2019

JPMorgan Chase Bank NA

Jesse Edgerton (1-212) 834-9543

jesse.edgerton@jpmchase.com

J.P. Morgan India Private Limited

Devwrat Vegad (91-22) 6157-3608

devwrat.vegad@jpmchase.com

Economic Research Note

US: Education inflation likely to

stay firm

 Education inflation—particularly for college tuition—

has historically run at higher rates than overall inflation

 But tuition increases had slowed in recent years to rates

closer to overall inflation, before a recent jump back up

 We think a few temporary factors held back tuition

growth in recent years

 And weaker-than-average productivity growth in edu-

cation will likely return, keeping tuition growth firm

The price of a college education continues to attract attention.

For one reason, education prices have been a notable con-

tributor to slow rates of core PCE inflation in recent years.

And for another, a potential proposal for education inflation-

linked bonds could drive additional interest from the markets.

In this note, we review how official measures of education

inflation are constructed, describe the data in recent decades,

discuss potential drivers of these patterns, and conclude with

an outlook for education prices in the coming years.

For most of modern history, education prices in the official

inflation data have risen faster than overall inflation (Figure

1). Notably, education services inflation exceeded overall core

inflation by about 4%-pts per year on average from the 1980s

through the 2000s. Some of these rapid increases were likely

driven by the fact that the official statistics captured only the

“sticker price” of tuition during a period when various forms

of financial aid were also growing. But net prices that account

for these discounts have also risen faster than overall infla-

tion. We attribute this fact in part to the notion that industries

with below-average productivity growth will tend to see pric-

es rise faster than industries with above-average productivity

growth (known as “Baumol’s cost disease”). And a few other

factors may have further boosted tuition growth—notably,

reduced state funding for public universities, rising demand

due to demographics, increasingly generous federal aid, and

strong relative income growth for the highly-educated work-

ers that both attend and staff colleges and universities.

But in the most recent years, education price increases

slowed, and the tuition CPI rose only modestly faster than

overall inflation from 2016 to 2018, before jumping again in

recent months. Several factors may have driven this slow-

down, including a demographics-driven drop in demand, the

rapid decline of for-profit colleges after Obama-era policy

changes, and competition from new entrants like online pro-

grams, MOOCs, and coding bootcamps. Our best guess is that

the factors that depressed tuition increases in recent years will

prove temporary, and that new technologies will produce only

modestly more rapid productivity growth in education in the

coming years. If these conjectures prove correct, relative edu-

cation inflation rates should remain closer to historical norms,

though still below those seen during the 1980s and 90s.

Understanding the data

The “College tuition and fees” component of the consumer

price index covers undergraduate and graduate education at

degree-granting institutions, including professional schools

like law, medical, and dental schools. Room and board are not

measured by the index (as shelter and food expenses are in-

curred whether or not one is a student), and college textbook

prices are measured in a separate category. The index is used

by the Bureau of Economic Analysis to construct the PCE

price index for “Higher education,” and these series are nearly

perfectly correlated. This component accounts for about 2%

of both the core CPI and core PCE baskets.

Published documentation on the construction of the tuition

CPI appears limited to a single factsheet with little detail. The

factsheet notes that the Bureau of Labor Statistics collects

data on tuition and fees from “various US colleges and uni-

versities” and that tuition has been adjusted for scholarships

and grants since 2003, although no additional methodological

details are provided. The factsheet also suggests that price

changes accompanied by an identifiable quality change are

excluded from the index calculations as a crude means of

quality adjustment. There are no attempts to adjust for possi-

ble quality indicators like how much students learn in school

or earn after graduation. And it is noted that although most

tuition increases occur in the fall, seasonal adjustment proce-

dures will tend to spread these increases over the year.

To understand tuition increases, we begin by examining raw

numbers published by the College Board, a non-profit associ-

ation of colleges and universities. Figure 2 shows data on the

“sticker price” of college tuition and fees—before any schol-

arships or grants from government, the institutions, or other

-5

60 65 70 75 80 85 90 95 00 05 10 15

%oya

Figure1: Inflation for education services spending

Source: B.E.A., J.P. Morgan

Education

services

less core

PCE inflation

Education

services

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