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研究报告:高华证券-欧洲经济分析:欧洲前瞻性指引:斯堪的纳维亚对欧洲央行和英国央行的启示-140131

研报作者:Huw Pill,Kevin Daly,Dirk Schumacher 来自:高华证券 时间:2014-02-07 10:13:02
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2014年1月31日 Issue No.14/04 欧洲经济分析 研究报告 欧洲前瞻性指引:斯堪的纳维亚对欧洲央行和英国央行的启示 欧洲央行和英国央行前瞻性指引也进入“缩减QE恐慌”期 2013年欧洲货币政策一个重要的创意在于欧洲央行和英国央行双双采取了“前瞻 性指引”。

这一做法的目的在于在接近零利率时澄清央行的反应机制,尤其是阐 明利率将在经济开始复苏之后被立即上调的理念。

欧洲央行和英国央行可能需要扩张前瞻性指引 由于欧元区和(尤其是)英国呈现出经济复苏的迹象,且目前美联储正在缩减资 产购买,欧洲央行和英国央行面临着澄清其当前前瞻性指引框架的压力。

而且, 随着欧元区和英国经济最终脱离零下限状态,欧洲央行和英国央行可能需要调整 前瞻性指引以实现政策利率的正常化。

“正常”时期的前瞻性指引——斯堪的纳维亚的经验 尽管欧洲央行和英国央行在利率几乎为零的“非常“时期以外使用前瞻性指引的经验 不多,斯堪的纳维亚国家的央行却已连续几年在更为正常的环境中采用了前瞻性 指引。

瑞典央行和挪威央行均公布不具约束力的政策利率预测,旨在提供央行反 应机制的信息,作为货币政策常规交流的一部分。

以瑞典的数据为例,我们就发 现证据显示瑞典央行的前瞻性指引已经(i)对市场定价产生影响,且(ii)降低了市场 预测误差。

斯堪的纳维亚对欧洲央行和英国央行的启示 斯堪的纳维亚的政策轨迹也有不足之处,似乎不太可能很快地被欧洲央行或英国 央行全盘采用。

不过,由于零下限已不再是欧洲央行和英国央行的限制,这些中 央银行可能——在斯堪的纳维亚的启发之下——希望更为清晰地传达反应机制。

其构想可能包括提供欧洲央行管理委员会讨论的更多详情,或英国央行效法美联 储公布货币政策委员会成员对年末利率的预期点位。

Huw Pill +44(20)7774-8736 huw.pill@gs.com 高盛国际 Kevin Daly +44(20)7774-5908 kevin.daly@gs.com 高盛国际 Dirk Schumacher +49(69)7532-1210 dirk.schumacher@gs.com 高盛股份公司 Andrew Benito +44(20)7051-4004 andrew.benito@gs.com 高盛国际 Lasse Holboell Nielsen +44(20)7774-5205 lasseholboell.nielsen@gs.com 高盛国际 Antoine Demongeot +44(20)7774-1169 antoine.demongeot@gs.com 高盛国际 Sebastian Graves +44(20)7552-5748 sebastian.graves@gs.com 高盛国际 投资者不应视本报告为作出投资决策的唯一因素。

有关分析师的申明和其他重要信息,见信息披露附录,或参阅 /research/hedge.html。

高盛集团 全球投资研究 2014年1月31日 欧洲经济分析 全球投资研究2 European forward guidance: Scandi inspiration for ECB and BoE An important recent innovation in the conduct of monetary policy in Europe was the adoption of central bank ‘forward guidance’ by the ECB and Bank of England (BoE) in 2013. In part reflecting the limited options for policy rate easing owing to near-zero rates, this central bank initiative was largely a response to markets pricing higher policy rates in an “unwarranted” manner during the May/June Fed ‘taper tantrum’, while economic developments, at the time, were still widely considered relatively weak. The recently introduced European forward guidance takes the form of a communication tool that does not alter the monetary policy strategy.1 The ECB has simply stated that policy rates will remain at current or lower levels “for an extended period of time”. The BoE introduced an unemployment threshold, which, at 7%, was from the onset not very likely to become binding. So, in contrast to the US, where the Fed appears, at least in part, to have adopted an ‘optimal control’ approach to monetary policy, committing itself to unusually easy monetary policy in the future to provide additional stimulus at present, the ECB and the BoE have only used forward guidance to clarify their existing reaction functions around the zero lower bound (by essentially conveying that, while monetary policy would normally react, at the margin, to positive economic news, this may no longer be appropriate when policy rates are constrained by the ZLB). In essence, the European style of forward guidance clarifies the central bank’s existing reaction function to the market (and the public) in order to correct market misperceptions. The less forceful European style of forward guidance, relative to the Fed forward guidance, may have greater difficulties in influencing market pricing of future policy rates, particularly as monetary policy in the Euro area and the UK ceases to be constrained by the ZLB. An innovation to ECB and BoE forward guidance may be required if the market re-pricing of recent growth improvements in Europe is excessive and (partly) reflects “unwarranted” factors (such as Fed tapering) and thereby threatens to derail the early signs of European economic recovery. Many options are possible for strengthening forward guidance while the ZLB is affecting policy. These include stronger language; since the January Governing Council (GC) meeting, the ECB now “firmly reiterates” its forward guidance, and the BoE may move to a broader consideration of relevant variables in addition to its unemployment threshold guidance.2 The experience of Scandinavian central banks provides ample evidence on forward guidance aimed at clarifying the central bank’s reaction function away from the ZLB. Neither the Riksbank nor Norges Bank are currently at the ZLB, and both central banks have for several years regularly published a policy rate path detailing where the Executive Board expects the policy rate to be over the medium term. This path is conditional on the central banks’ view of the economic outlook. Crucially, the path entails no commitment constraining future policy decisions: the path is updated regularly, as central banks’ economic forecasts change. Using Swedish data, we find that (i) changes to the Riksbank’s forward guidance stance, as measured by the change in the policy rate path, seem to affect market pricing and (ii) market forecast errors in Sweden appeared lower (relative to the Euro area and the UK) after forward guidance was introduced. Our results suggest that Scandi-style forward guidance away from the ZLB may have beneficial effects. But, publishing such policy rate paths also comes with drawbacks. While we do not expect a full adoption of a policy rate path by the ECB and the BoE any time soon, these central banks may nevertheless take inspiration from the Scandinavian experience and supply more details about policy-makers’ reaction functions in order to provide guidance on the pace of future policy rate changes. 1 See European Economics Analyst 13/31 and UKEconomics Analyst 13/05. 2 See the next UKEconomics Analyst for a detailed discussion of this topic. 2014年1月31日 欧洲经济分析 全球投资研究3 Forward guidance in Scandi: Policy rate paths, but no commitment Forward guidance by the Riksbank and Norges Bank is similar to that of the ECB and BoE in that it aims to clarify the central bank reaction function. However, it is different in that it focuses on steering policy rates during ‘normal’ times, away from the ZLB. Specifically, forward guidance by the Riksbank and Norges Bank entails the following: The Riksbank has since 2007 published a policy rate that spans the central bank’s entire forecast horizon (of around three years). The path represents the average expectation of the future policy rate by the majority of the Executive Board. In addition, a probability distribution around the chosen average path is supplied. This path is updated regularly and entails no promises; if economic data depart from the Riksbank’s forecast, the path also changes (Exhibit 1). The Riksbank publishes detailed Minutes of the Executive Board meetings, where individual members can dissent from the policy rate path adopted by the majority (in addition to the actual stance of the policy rate). This type of forward guidance implies that the Riksbank provides a full set of economic forecasts underlying the chosen policy rate path for the full forecast horizon (including a forecast for inflation, the output gap and unemployment). The Riksbank also publishes alternative paths for alternative economic forecasts and an exchange rate forecast consistent with its own policy rate path. Norges Bank began publishing a policy rate path as early as 2005 (Exhibit 2). This path is similar to that of the Riksbank: it is non-binding and includes a probability distribution of likely future policy rates. Norges Bank does not provide Minutes or individual Executive Board member views on either the policy rate or the policy rate path. However, Norges Bank discloses the factors that enter its ‘loss function’ and thus drive central bank policy decisions: (i) the inflation target, (ii) capacity utilisation and, since 2012, (iii) robustness of monetary policy in relation to the risk of financial imbalances. Norges Bank quantifies the relative importance of these factors. For example, by late 2014, Norges Bank showed in the December MPR that its policy rate would be 10bp higher than otherwise owing to the consideration of capacity utilisation, and around 50bp higher owing to financial imbalances issues. Whenever Norges Bank updates its policy rate path, a detailed break-down of the factors accounting for the revision is produced. For example, the December MPR showed that changes to the assumption regarding future foreign interest rates were a major factor driving the downward revision. Does Riksbank forward guidance affect market pricing In assessing the experience of forward guidance away from the ZLB, we first conduct a simple exercise to gauge whether changes to Riksbank the policy rate path (i.e., a change in the forward guidance policy stance) affects forward market pricing of future Swedish policy rates. Owing to better market data availability, we focus on the Riksbank’s experience rather than Norges Bank’s. We first build a simple model to explain market pricing of the Riksbank's policy rate 1 year ahead and 2 years ahead on the day after the Executive Board's repo rate decision. Exploiting the explicit nature of the Riksbank's forward guidance, we match changes to the Riksbank’s policy rate path at the 1-year and 2-year horizon to the forward market pricing of the policy rate at the same maturity. 2014年1月31日 欧洲经济分析 全球投资研究4 Exhibit 1: Riksbank has changed its policy rate path frequently owing to changes in the economic outlook… Riksbank policy rate paths since 2007,% Exhibit 2: … as has Norges Bank. Riksbank/Norges Bank paths have deviated from actual policy rates Norges Bank’s policy rate paths since 2005,% Source: Riksbank, Goldman Sachs Global Investment Research Source: Norges Bank, Goldman Sachs Global Investment Research More specifically, we explain forward market pricing3 at the 1-year and 2-year maturity using a set of 'real time' variables as they appeared to the market on the relevant day, similarly to how we would explain actual policy rates within a Taylor rule framework. We thus control for the relevant available information on the day after the Riksbank's policy rate decision; this includes inflation (CPIF), the PMI and the output gap (as published by the Riksbank on the prior day). These economic variables should, in principle, explain the central bank’s desired monetary policy stance.4 We also control for the change in the actual repo rate that was announced following the Executive Board meeting on the prior day. Finally, as our main variable of interest, we include the change in the repo rate path, as decided by the Executive Board on the previous day, at either the 1-year and 2-year maturity point depending on the relevant specification. Our estimated coefficient on the change in the policy rate path thus reflects the market pricing of future policy rates, not explained by the current economic conditions. Using the data on the policy rate path, we can therefore summarise the central bank’s communication about future rates, i.e., the forward guidance stance, in one neat variable. But, our estimated path coefficient thus captures all the central bank’s guidance, including the information captured in the central bank’s post-meeting statement, economic forecasts and Minutes, rather than just the marginal information contained in the policy rate path. Our results are shown in Exhibit A1 in the Appendix. Using the Riba futures sample (available since 2010), Model (1) shows that the economic variables (the output gap, inflation and the PMI) have the expected positive (and significant) signs. The coefficient on the change in the repo rate is also positive. Most interestingly for our purposes, the coefficient of the change in the repo rate path 1 year ahead has a positive and significant coefficient estimate. Using the 3-month Stibor futures instead of the Riba futures yields similar results [Model (2)], although the coefficient estimate on the repo rate drops somewhat and is now border-line insignificant. Expanding the length of our sample to include the full history of Riksbank forward guidance since 2007 [Model (3) and Model (4)5] generally raises our coefficient estimate of the impact of the change in repo rate path significantly above zero, while the coefficient on the actual repo rate change falls towards zero. 3 We first use the Riba futures, which are directly linked to the repo rate. However, owing to the limited sample length of this variable, we use futures linked to 3-month Stibor for the main part of our analysis. 4 Other factors such as currency developments may affect the Riksbank’s policy rate setting. We find little evidence of this (see European Economics Daily, April 12,2012). We do not find evidence that changes to household debt levels between Executive Board meetings have a significant impact on the Riksbank’s repo rate setting (a level effect may have been present throughout our sample). Thus, we do not include either changes to the exchange rate or household debt in our model estimation of market pricing. Our results are not sensitive to this assumption. 5 In Model (4) we instrument our variables using lags of all our included variables. 0 1 2 3 4 5 6 05060708091011121314151617 Actual Riksbank policy rate Riksbank policy rate path 0 1 2 3 4 5 6 7 04050607080910111213141516 Actual Norges Bank policy rate Norges Bank policy rate path 2014年1月31日 欧洲经济分析 全球投资研究5 Using market pricing 2 years ahead as well as the change in the repo rate path at the 2-year maturity for the full sample [Model (5) and Model (6)] yields similar results: the coefficient estimate of the change in the repo rate path is positive and significant, while the coefficient estimate on the actual change in the repo rate does not differ significantly from zero. As a second exercise, and as a very simple control, we also consider the effect of having the change in market pricing between the day before and the day after the Riksbank Executive Board meeting as our dependent variable (results not reported). This specification should be less sensitive to changes in economic conditions, but it underestimates the effect of path changes as it excludes the effect of pre-meeting market-expected changes to the policy rate path. Using the full sample, we also obtain positive and significant coefficients in this exercise on the change in the policy rate path on both a 1-year and 2-year maturity. While our results should be treated with care owing to various issues (such as omitted variable biases), this suggests that, once controlling for key economic variables (such as the output gap and inflation), changes to monetary policy in Sweden have had a limited immediate impact on market pricing, probably because these changes have been broadly as expected, given the prevailing economic conditions. By contrast, changes to the forward guidance stance (proxied simply by changes to the repo rate path at various maturities) have had a larger impact on immediate market pricing, potentially because they reveal more information about the Riksbank’s view of the future, its likely reaction to the economic outlook and its reactions to the unobservable inputs of its reaction function. We would stress that this effect captures the general forward guidance stance of the central bank, not necessarily the marginal information contained in having a policy rate path. Does Riksbank forward guidance reduce market forecast errors We next consider whether this impact of forward guidance on market pricing (1 year and 2 years ahead) has helped reduced market forecast errors. As the Riksbank’s forward guidance began in 2007, just as macroeconomic volatility began to rise significantly, market forecast errors are likely to have been higher during the Riksbank’s forward guidance period (2007-2013) compared with the preceding period (2002-2006). But, clearly, it would be wrong to attribute such poorer market forecasting ability post-2007 to the presence of Riksbank forward guidance. As a simple identification strategy, we compare market forecast performance in Sweden relative to the Euro area and the UK, before and after 2007. We consider monthly errors (where a 1-year error in, for example, January 2008 reflects the difference between the actual realised 3-month money market rate in January 2008 with the 1-year-ahead future pricing in January 2007) and calculate the root mean squared errors for the two periods of interest (before and after 2007) across our three country sample (Sweden, Euro area and the UK). The results show that, while the average (squared) forecast errors in Sweden on both a 1-year and 2- year horizon were larger in the pre-crisis period compared with the Euro area and the UK, the increase in the error during the crisis period was generally smaller in Sweden relative to the Euro area and the UK (Exhibit 3). This holds true also when excluding the most volatile period (October 2008 to July 2009). This tentatively suggests that the Riksbank’s forward guidance may have helped markets predict future policy rate moves. And this is despite the Riksbank’s repo rate path having proved imprecise on many occasions (Exhibit 1); the Riksbank’s own forecast errors mainly reflect economic shocks and, throughout the period of forward guidance, the repo rate path has nevertheless provided information about the Riksbank’s reaction function. 2014年1月31日 欧洲经济分析 全球投资研究6 Exhibit 3: Forecast errors in Sweden rose less than in Euro area / UK post 2007 Market forecast error of 3-month interbank rate, RMSE Source: Goldman Sachs Global Investment Research, Bloomberg To better control for changes to volatility over our sample period, we construct a simple panel data model consisting of observations of the monthly squared forecast error (at a 1-year and 2- year horizon) in Sweden, the Euro area and the UK in the period 2002-2013. We include the variance of the 3-month interbank rate calculated on a monthly frequency over the period for which the forecast error is made (either 12 months or 24 months). We explain these forecast errors using this measure of short-term interest rate volatility and a dummy for the period after mid-2008 (to account for the shift that occurred in market volatility at that time). In addition, we include our main variable of interest: an indicator variable for whether the market forecast was made with forward guidance in place6. Our results are shown in Exhibit A2 in the Appendix. Owing to the short sample length, the low number of countries in our sample (just one country with forward guidance and only two without) and the issue of potential omitted variables, our result should be treated with caution. We generally obtain negative and significant estimates for our forward guidance variable, suggesting that the squared forecast errors are reduced when market expectations are formed under explicit Riksbank forward guidance. This holds true on both a 1-year and 2-year horizon, and for multiple estimators and under various robustness considerations7. This includes omitting all observations after mid-2011, when market errors may have been relatively larger in the Euro area and the UK as market expectations were generally for higher rates across most countries and Swedish rates had just been raised owing to Sweden’s sharp recovery in 2010. Overall, our estimations support the message from the simpler period- and country-comparison shown in Exhibit 3: subject to the above caveats, market forecast errors appear to have been reduced in Sweden (relative to the Euro area and the UK) after the explicit Riksbank forward guidance was introduced. Scandi inspiration for ECB and BoE forward guidance As the Euro area and UK economies are still, to a large extent, in ‘exceptional’ times, where the ZLB remains a limiting factor on policy decisions, current forward guidance may need to be strengthened. However, as these economies move towards more ‘normal’ times, guidance on policy outside ‘exceptional’ times and the process of policy rate normalisation may be required. Here the ECB and the BoE may draw on the experience of the Scandinavian central banks in terms of providing more details about the central bank reaction function. Our simple empirical results suggest that (i) Riksbank forward guidance affects market pricing and (ii) Riksbank forward guidance reduces market forecast errors. Scandi-style forward guidance could therefore help guide market expectations. 6 This variable is thus equal to 1, for example, for a forecast error on a 1-year horizon in Sweden in 2008 and beyond (i.e., all market forecasts are then made in 2007 or later and hence during a period when Riksbank forecast guidance was in place). On a 2-year forecast error horizon, the dummy takes the value of 1 in Sweden in 2009 and beyond. This variable is equal to zero for all other observations. 7 We estimate our model using a simple random effects estimator as well as a fixed effect estimator. We also run a fixed effect IV estimation where we instrument our interbank interest rate volatility measure using either its 12-month or 24-month lag depending on the relevant specification. In addition, we estimate our model using the log of the squared forecast errors to avoid the problem of truncation at zero. We consider the effect of excluding the 2.5% lowest log squared errors. Finally, we replace the volatility measure with a simple crisis dummy. 1yr 2yr 1yr 2yr 1yr 2yr 2002 -20131.262.091.111.961.272.31 2002 - 20061.032.140.351.530.401.26 2007 - 20131.412.111.262.101.492.71 2007 - 2013 excl. Sep'08 - Jul'090.981.980.962.041.042.54 Chg. since 20070.38 -0.030.910.571.091.45 Chg. since 2007 (excl. Sep 2008 - Jul 2009) -0.05 -0.160.600.520.641.28 -------- UK ------------ Euro area ------- Sweden --- 2014年1月31日 欧洲经济分析 全球投资研究7 But publishing a path for the central bank policy rate may also have its drawbacks. Policy-makers may worry that the path is seen as a commitment rather than as a forecast conditional on economic projections. Moreover, given the importance of the economic conditions, detailed economic forecasts need to be supplied for the market to be able to view policy preferences separately from the economic outlook. Revealing information about individual policy-makers’ preferences may also be more problematic in other institutional settings (such as at the ECB), and the publication of a unified policy committee path, as in the case of Norges Bank where no member attribution is disclosed, may be less feasible for large and diverse committees such as the ECB’s Governing Council. We therefore do not expect either the ECB or the BoE to adopt Scandinavian-style policy rate paths in the immediate future. That said, short of publishing a policy rate path, the ECB and the BoE could still benefit from providing further information about their reaction function to help guide future policy rates away from the ZLB. Potential options include the following: The ECB may move towards publishing a form of Minutes – an account of the deliberations of the Governing Council meetings – that shed more light on the discussion by revealing various (and probably unattributed) views of the policy rate outlook, including potentially the view of the appropriate future pace of policy rate changes.8 And/or, at regular intervals (e.g., after each GC meeting), the ECB could (e.g., in its introductory statement) start to publish a qualitative summary of its expectations regarding future interest rates (e.g., stating, when relevant, that it expects only a very muted pace of hikes). Supplying further details about its staff economic forecasts could support this approach. Inspired by experience at the Federal Reserve, the BoE could start to publish ‘dots’ indicating where each of its MPC members expects the policy rate to be by end-year (or potentially more frequently), with or without specific member attribution. This would fall short of having an official BoE policy rate path published and would lessen the need for a full machinery of economic forecasts to support such a path, but would still provide additional insight into where individual MPC members expect policy rates to be over the medium term, given their own view of the economic outlook. These ‘dots’ would be non- binding and updated at a regular frequency (e.g., every monthly meeting or around quarterly meetings when an inflation report is published). For the medium term, we view some of these potential innovations as having a non-negligible probability of being adopted,9 especially if market pricing becomes “unwarranted”, mirroring the situation that emerged last May/June. Looking further into the future, we see more scope for the BoE to move more fully towards forward guidance, Scandinavian-style. Owing to the ECB’s institutional constraints, such a move seems more unlikely for the ECB, although an adaptation of an unattributed ‘dots’ system does not seem infeasible if ECBMinutes prove successful. But, as 2013 has shown, central banks can innovate quickly, should the need arise. Lasse Holboell W. Nielsen 8 The ECBExecutive Board is in the process of preparing details for a proposal to the GC on how an account of the GC meetings can be made public. 9 An indication that the BoE’s MPC has started to express a need for a clarification of its intended path of rate normalisation is evident in the recent January Minutes, which stated that future rate rises would occur “gradually”. 2014年1月31日 欧洲经济分析 全球投资研究8 Appendix Exhibit A1: Changes to Riksbank’s repo rate path seems to affect market pricing Dependent variable: Forward market pricing on the day after Riksbank repo rate decision Source: Goldman Sachs Global Investment Research Notes: Frequency: Riksbank Executive Board meetings where new repo rate path was published. Robust Standard errors in parenthesis, *, ** and *** denote significance on a 10%,5% and 1% level, respectively. ^Instruments used include the 'real time' output gap and repo rate path published at the previous meetings for the three previous quarters, as well as CPIF inflation, the PMI and the repo rate as it stood at the three previous Executive Board meetings Exhibit A2: Riksbank’s forward guidance appears to have improved market forecast accuracy Dependent variable: Market forecast error of short-term interbank rate^ Source: Goldman Sachs Global Investment Research Notes: Clustered bootstrapped standard errors in brackets, *, ** and *** denote significance on a 10%,5% and 1% level, respectively. ^ Forecast error calculated at 3m interbank rate at month t minus market forecast at t-j, where j = 12 or 24. Market prices refer to last trading day of month t. Market forecast relates to forward pricing given by futures pricing. ^^ Volatility is calculated as the 12- or 24-month standard deviation of the relevant variable. ^^^ Oct.2008 to Jul 2009. ^^^^ Full sample refers to the period Jan 2002 - Dec 2013. Restricted sample excludes log squared forecast errors in lowest 2 percentile in columns (4) and (11) and excludes the post Jun-2011 observations in columns (7) and (14)^^^^^ 3m interbank volatility is instrumented using its own lag at t-j where j = 12 or 24 depending on the forecast horizon. Model (1) Model (2) Model (3) Model (4) Model (5) Model (6) Riba forwards 1yr ahead 3-month interbank forwards 1yr ahead 3-month interbank forwards 1yr ahead 3-month interbank forwards 1yr ahead 3-month interbank forwards 2yr ahead 3-month interbank forwards 2yr ahead 'Real time' Output Gap 0.234*** 0.369*** 0.584*** 0.538*** 0.282** 0.178*** (0.069) (0.072) (0.094) (0.058) (0.116) (0.045) CPIFInflation 0.286*** 0.401*** 0.933*** 1.035*** 0.926*** 1.225*** (0.097) (0.095) (0.123) (0.093) (0.091) (0.113) PMI 0.047*** 0.047** 0.062** 0.038* 0.037** 0.008 (0.013) (0.017) (0.024) (0.020) (0.034) (0.015) New Repo Rate - Previous Repo Rate 1.343** 1.373** 0.1940.065 -0.120 -0.730 (0.495) (0.515) (0.383) (0.574) (0.423) (0.701) New Repo Rate Path 1-year ahead 0.589** 0.3691.091*** 1.629*** 1.723*** 2.004*** Previous Repo Rate Path (same quarter) (0.237) (0.259) (0.304) (0.473) (0.435) (0.483) Constant included Yes Yes Yes Yes Yes Yes Sample, time t = : 10 Feb 2010: 17 Dec 2013 10 Feb 2010: 17 Dec 2013 19 Jun 2007: 17 Dec 2013 2 Dec 2008: 17 Dec 2013 19 Jun 2007: 17 Dec 2013 2 Dec 2008: 17 Dec 2013 No of observations 242439343934 R-squared 0.860.850.860.840.760.81 Estimator OLSOLSOLSGMM^ OLSGMM^ Model (1) Model (2) Model (3) Model (4) Model (5) Model (6) Model (7) Model (8) Model (9) Model (10) Model (11) Model (12) Model (13) Model (14) Squared 1yr error Squared 1yr error Log of sq.1yr error Log of sq.1yr error Squared 1yr error Squared 1yr error Squared 1yr error Squared 2yr error Squared 2yr error Log of sq.2yr error Log of sq.2yr error Squared 2yr error Squared 2yr error Squared 2yr error 3m interbank rate volatility^^ 7.753*** 7.753*** 3.546*** 3.190*** 4.426*** 7.913*** 8.728*** 8.721*** 1.733*** 1.615*** 8.432*** 8.903*** [0.338] [0.330] [0.204] [0.228] [0.130] [0.473] [0.493] [0.513] [0.288] [0.208] [2.509] [0.835] Dum. for financial crisis^^^ 5.833*** 2.555*** [0.755] [0.776] Dum. for after mid-20080.5270.506* -0.631*** -0.347*** 1.028*** 1.382*** 0.4961.2881.3730.5450.4251.8684.180*** 1.092 [0.355] [0.278] [0.089] [0.050] [0.361] [0.197] [0.310] [1.794] [1.865] [0.470] [0.343] [1.817] [1.543] [1.643] Dum. for f'cast made under pub. CB path -0.965** -0.893*** -0.224** -0.334*** -0.624** -0.760*** -0.986** -3.063* -3.364* -2.040*** -1.555*** -3.186*** -1.721 -2.522 [0.408] [0.307] [0.099] [0.095] [0.304] [0.269] [0.409] [1.767] [1.806] [0.321] [0.224] [0.604] [1.452] [1.907] Constant included Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Sample^^^^ Full Full Full Restricted Full Full Restricted Full Full Full Restricted Full Full Restricted No of observations 432432432421432432342432432432423360432342 Number of countries 33333333333333 R-squared 0.780.780.310.360.760.230.790.710.720.300.350.730.150.75 Estimator REFEFEFEFEIV^^^^^ FEFEREFEFEFEFEIV^^^^^ FEFE 2014年1月31日 欧洲经济分析 全球投资研究9 Key European Indicators Financial conditions have eased recently in Norway, and tightened in the UK European financial conditions Business sentiment rose in 2013 European business sentiment Source: Goldman Sachs Global Investment Research. Source: Markit, SVME, Swedbank, Goldman Sachs Global Investment Research. Our Euro area Current Activity Indicator points to growth of 1.3% annualised… Euro area GDP and Current Activity Indicator ...and our UKCurrent Activity Indicator is consistent with growth of 3.5%qoq annualised UKGDP and Current Activity Indicator Source: Goldman Sachs Global Investment Research. Source: Goldman Sachs Global Investment Research. Bank lending rates to companies remain divergent, but have been trending down in Italy and Spain % pa, interest rates on business loans up to €1mn with maturity between 1 and 5 years We expect inflation to remain higher in the UK than in the Euro area in 2014 Inflation forecasts Source: Goldman Sachs Global Investment Research. Source: Eurostat, ONS, Goldman Sachs Global Investment Research. 92 94 96 98 100 102 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Euro area UK Sweden Norway Tighter Conditions Index Jul.2008=100 30 35 40 45 50 55 60 65 70 08091011121314 Index Euro area Com. PMI UKComp. PMI Swiss Manuf. PMI Sweden Manuf. PMI -12 -10 -8 -6 -4 -2 0 2 4 6 060708091011121314 % qoq annl. Euro area CAI Euro area GDP growth -12 -10 -8 -6 -4 -2 0 2 4 6 060708091011121314 % qoq annl. UKCAI UKGDP growth 3.0 4.0 5.0 6.0 7.0 05060708091011121314 Germany France Italy Spain % -1 0 1 2 3 4 5 6 0708091011121314151617 % y oy Euro area Headline CPI UKHeadline CPI GSForecast 2014年1月31日 欧洲经济分析 全球投资研究10 Main Forecasts Economic Forecasts *Mainland GDP growth Source: Goldman Sachs Global Investment Research. Interest Rate Forecasts Close: January 29,2014, mid-rates for major markets. We are currently using March, June and December 2014 contracts for 3-month forward rates. Source: Goldman Sachs Global Investment Research. 201320142015201320142015201320142015201320142015 Euro area -0.41.11.51.41.11.62.12.52.6 -3.1 -2.7 -2.2 Germany 0.52.02.11.61.52.57.06.85.9 -0.5 -0.50.0 France 0.20.71.11.01.31.4 -1.9 -1.8 -1.6 -4.3 -4.0 -3.5 Italy -1.90.61.01.31.01.30.40.50.6 -3.1 -2.6 -2.2 Spain -1.30.41.21.60.50.71.43.23.9 -6.5 -5.5 -4.6 UK 1.93.02.72.61.81.8 -3.7 -3.0 -2.6 -5.9 -4.4 -2.9 Switzerland 2.02.22.1 -0.20.51.314.413.312.40.00.10.2 Sweden 0.92.53.40.00.61.76.15.65.7 -1.3 -1.5 -0.7 Denmark 0.41.41.80.61.61.65.04.85.3 -1.9 -2.4 -3.4 Norway* 1.92.83.22.11.51.512.713.513.9 - - - Poland 1.42.93.20.91.51.8 -1.6 -3.0 -3.5 -4.2 -3.4 -3.3 Czech Republic -1.41.72.41.40.61.9 -1.4 -1.4 -2.0 -2.1 -2.8 -2.7 Hungary 1.11.81.91.71.32.93.12.62.2 -2.9 -3.0 -3.0 (Annual % change) (Annual % change) (% of GDP) (% of GDP) Consumer Prices GDPCurrent Account Budget Balance % 3 Month Horizon 6 Month Horizon 12 Month Horizon Current Forward Forecast Forward Forecast Forward Forecast Euro area 3M 0.30.30.20.40.20.40.2 10Y 1.71.82.01.92.12.02.3 UK 3M 0.50.50.50.70.50.90.5 10Y 2.72.82.92.93.13.13.3 Sweden 3M 0.90.91.21.01.11.21.4 10Y 2.32.32.62.42.72.52.8 Switzerland 3M 0.10.00.00.00.00.00.0 10Y 1.01.11.21.11.31.21.5 US 3M 0.20.30.30.30.30.40.3 10Y 2.72.82.92.93.03.13.3 Canada 3M 1.21.21.41.21.51.21.6 10Y 2.42.52.92.63.02.73.3 Australia 3M 2.62.72.42.62.42.92.7 10Y 4.04.04.14.14.24.24.3 Japan 3M 0.10.20.30.20.30.20.3 10Y 0.60.70.90.70.90.81.0 2014年1月31日 欧洲经济分析 全球投资研究11 European Calendar Focus for the Week Ahead Monetary policy meetings at the ECB and BoE conclude on Thursday. We do not expect any policy change at either central bank, although we expect the MPC to update its forward guidance framework to indicate that, despite the sharp fall in unemployment, official rates are likely to remain on hold for some time. Final PMIs for January will be released next week. Composite PMIs rose on the flash estimate in France, Germany and the Euro area aggregate. Industrial production for December will be the main hard data next week. Production rose by 1.8%mom in November at the Euro area level. PMIs rose in the January flash estimate Source: IFO, KI/NIER, KOF, Goldman Sachs Global Investment Research Economic Releases and Other Events Source: Bloomberg, Goldman Sachs Global Investment Research. Economic data releases in calendar are subject to change at short notice. Complete calendar available via GS360 — . * In the case of the PMIs, the Forecast is simply the Flash estimate where available (Flash PMIs are published by Markit for the Euro area, Germany and France 1-2 weeks before the end of the reference month). 35 40 45 50 55 60 65 0708091011121314 Euro area France Germany Composite PMIs Country Time Economic Statistic/Indicator Period EMEA-MAP (UK) mom/qoq yoy mom/qoq yoy Relevance Fri 31st Jan UK 00:05 GFKConsumer Confidence Jan — — — — 3 France 07:45 Consumer Spending Dec — — +1.4%mom +1.5% 2 Spain 08:00 Harmonised CPIJan (Flash) — — — +0.3% — Norway 09:00 Unemployment Rate Jan — — +2.6% — 4 Italy 09:00 Unemployment Rate Dec — — +12.7% — — Euro area 10:00 Unemployment Rate Dec — — +12.1% — 5 Euro area 10:00 Harmonised CPIJan (Flash) — — — +0.8% — Mon 3rd Feb UK — HBOSHouse Prices Jan — — –0.6%mom +7.5% (3m/yr) — Sweden 07:30 PMI - Manufacturing Jan 54.2 — 52.2 — 5 Norway 08:00 PMIJan 52.9 — 51.6 — 3 Spain 08:15 PMI - Manufacturing Jan 51.2 — 50.8 — — Switzerland 08:30 PMI - Manufacturing Jan — — 53.9 — 4 Italy 08:45 PMI - Manufacturing Jan 53.7 — 53.3 — — France 08:50 PMI - Manufacturing Jan (Final) 48.8 — 48.8 (Flash) — 5 Germany 08:55 PMI - Manufacturing Jan (Final) 56.3 — 56.3 (Flash) — 4 Euro area 09:00 PMI - Manufacturing Jan (Final) 53.9 — 53.9 (Flash) — 5 UK 09:30 PMI - Manufacturing Jan — — 57.3 — 4 Tue 4th Feb UK 09:30 PMI - Construction Jan — — 62.1 — — Italy 10:00 Harmonised CPIJan — — — +0.7% — Wed 5th Feb Spain 08:15 PMI - Services Jan 55.5 — 54.2 — — Italy 08:45 PMI - Services Jan 50.0 — 47.9 — — France 08:50 PMI - Services Jan (Final) 48.6 — 48.6 (Flash) — 5 Germany 08:55 PMI - Services Jan (Final) 53.6 — 53.6 (Flash) — 4 Euro area 09:00 PMI - Services Jan (Final) 51.9 — 51.9 (Flash) — 5 Euro area 09:00 PMI - Composite Jan (Final) 53.2 — 53.2 (Flash) — 5 UK 09:30 PMI - Services Jan — — 58.8 — 4 Euro area 10:00 Retail Sales Dec — — +1.4%mom +1.6% — Thu 6th Feb Switzerland 07:00 Trade Balance Dec — — CHF 2.03bn — 1 UK 09:00 New Car Registrations Jan — — — +23.8% — Germany 11:00 Factory Orders Dec — — +2.1%mom +6.8% — UK 12:00 MPCMeeting Ends Feb 0.5%, £375bn — 0.5%, £375bn — — Euro area 12:45 ECBMeeting Feb 0.00%,0.25% — 0.00%,0.25% — — Fri 7th Feb Switzerland 08:00 Foreign Exchange Reserves Jan — — CHF435.2bn — — Spain 08:00 Industrial Production Dec — — +1.0%mom +2.6% 5 Sweden 08:30 Services Output Dec — — +0.5%mom +0.9% — Sweden 08:30 Industrial Production Dec — — +5.7%mom +3.5% 3 Norway 09:00 Manufacturing Production Dec — — –0.2%mom +2.1% 4 UK 09:30 Trade in Goods Dec — — –£9.4bn — — UK 09:30 Trade Balance Dec — — –£3.2bn — 1 UK 09:30 Industrial Production Dec — — 0.0%mom +2.5% 3 UK 09:30 Manufacturing Production Dec — — 0.0%mom +2.8% 3 Germany 11:00 Industrial Production Dec — — +1.9%mom +3.5% 5 Forecast* Previous 2014年1月31日 欧洲经济分析 全球投资研究12 信息披露附录 分析师申明 我们,Huw Pill、Kevin Daly、Dirk Schumacher、Andrew Benito、Lasse Holboell Nielsen、Antoine Demongeot、Sebastian Graves,在此申明,本报告所 表述的所有观点准确反映了我们的个人看法,没有受到公司业务或客户关系因素的影响。

高盛信息披露 全球产品;分发机构 高盛全球投资研究部在全球范围内为高盛的客户制作并分发研究产品。

高盛分布在其全球各办事处的分析师提供行业和公司的股票研究,以及宏观经济、货 币、商品及投资组合策略的研究。

本研究报告在澳大利亚由Goldman Sachs Australia Pty Ltd(ABN 21006797897)分发;在巴西由Goldman Sachs do Brasil Corretora de Títulos e Valores Mobiliários S.A.分发;股票及其他研究在加拿大由高盛集团分发;在香港由高盛(亚洲)有限责任公司分发;在印度由高 盛(印度)证券私人有限公司分发;在日本由高盛证券株式会社分发;在韩国由高盛(亚洲)有限责任公司首尔分公司分发;在新西兰由Goldman Sachs New Zealand Limited分发;在俄罗斯由高盛OOO分发;在新加坡由高盛(新加坡)私人公司(公司号:198602165W)分发;在美国由高盛集团分发。

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一般性披露 本研究报告仅供我们的客户使用。

除了与高盛相关的披露,本研究报告是基于我们认为可靠的目前已公开的信息,但我们不保证该信息的准确性和完整性,客 户也不应该依赖该信息是准确和完整的。

我们会适时地更新我们的研究,但各种规定可能会阻止我们这样做。

除了一些定期出版的行业报告之外,绝大多数报 告是在分析师认为适当的时候不定期地出版。

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我们的销售人员、交易员和其它专业人员可能会向我们的客户及我们的自营交易部提供与本研究报告中的观点截然相反的口头或书面市场评论或交易策略。

我 们的资产管理部门、自营交易部和投资业务部可能会做出与本报告的建议或表达的意见不一致的投资决策。

本报告中署名的分析师可能已经与包括高盛销售人员和交易员在内的我们的客户讨论,或在本报告中讨论交易策略,其中提及可能会对本报告讨论的证券市场 价格产生短期影响的推动因素或事件,该影响在方向上可能与分析师发布的股票目标价格相反。

任何此类交易策略都区别于且不影响分析师对于该股的基本评 级,此类评级反映了某只股票相对于报告中描述的研究范围内股票的回报潜力。

我们以及我们的关联机构、高级职员、董事和雇员,不包括股票分析师和信贷分析师,将不时地对本研究报告所涉及的证券或衍生工具持有多头或空头头寸, 担任上述证券或衍生工具的交易对手,或买卖上述证券或衍生工具。

在任何要约出售股票或征求购买股票要约的行为为非法的司法管辖区内,本报告不构成该等出售要约或征求购买要约。

本报告不构成个人投资建议,也没有考 虑到个别客户特殊的投资目标、财务状况或需求。

客户应考虑本报告中的任何意见或建议是否符合其特定状况,以及(若有必要)寻求专家的意见,包括税务意 见。

本报告中提及的投资价格和价值以及这些投资带来的收入可能会波动。

过去的表现并不代表未来的表现,未来的回报也无法保证,投资者可能会损失本 金。

外汇汇率波动有可能对某些投资的价值或价格或来自这一投资的收入产生不良影响。

某些交易,包括牵涉期货、期权和其它衍生工具的交易,有很大的风险,因此并不适合所有投资者。

投资者可以向高盛销售代表取得或通过 取得当前的期权披露文件。

对于包含多重期权买卖的期权策略结构产品,例如,期权差价结构产 品,其交易成本可能较高。

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本研究报告仅供我们的客户使用。

本研究报告是基于我们认为可靠的目前已公开的信息,但我们不保证该信息的准确性和完整性,客户也不应该依赖该信息是 准确和完整的。

我们会适时地更新我们的研究,但各种规定可能会阻止我们这样做。

除了一些定期出版的行业报告之外,绝大多数报告是在分析师认为适当的 时候不定期地出版。

高盛高华为高华证券的关联机构,从事投资银行业务。

高华证券、高盛高华及它们的关联机构与本报告中涉及的大部分公司保持着投资银行业务和其它业务关系。

我们的销售人员、交易员和其它专业人员可能会向我们的客户及我们的自营交易部提供与本研究报告中的观点截然相反的口头或书面市场评论或交易策略。

我 们的自营交易部和投资业务部可能会做出与本报告的建议或表达的意见不一致的投资决策。

本报告中署名的分析师可能已经与包括高华证券销售人员和交易员在内的我们的客户讨论,或在本报告中讨论交易策略,其中提及可能会对本报告讨论的证券 市场价格产生短期影响的推动因素或事件,该影响在方向上可能与分析师发布的股票目标价格相反。

任何此类交易策略都区别于且不影响分析师对于该股的基 本评级,此类评级反映了某只股票相对于报告中描述的研究范围内股票的回报潜力。

2014年1月31日 欧洲经济分析 全球投资研究13 高华证券及其关联机构、高级职员、董事和雇员,不包括股票分析师和信贷分析师,将不时地对本研究报告所涉及的证券或衍生工具持有多头或空头头寸,担 任上述证券或衍生工具的交易对手,或买卖上述证券或衍生工具。

在任何要约出售股票或征求购买股票要约的行为为非法的地区,本报告不构成该等出售要约或征求购买要约。

本报告不构成个人投资建议,也没有考虑到个别 客户特殊的投资目标、财务状况或需求。

客户应考虑本报告中的任何意见或建议是否符合其特定状况,以及(若有必要)寻求专家的意见,包括税务意见。

本报告 中提及的投资价格和价值以及这些投资带来的收入可能会波动。

过去的表现并不代表未来的表现,未来的回报也无法保证,投资者可能会损失本金。

外汇汇率 波动有可能对某些投资的价值或价格或来自这一投资的收入产生不良影响。

某些交易,包括牵涉期货、期权和其它衍生工具的交易,有很大的风险,因此并不适合所有投资者。

投资者可以向高华销售代表取得或通过 取得当前的期权披露文件。

对于包含多重期权买卖的期权策略结构产品,例如,期权差价结构产 品,其交易成本可能较高。

与交易相关的文件将根据要求提供。

北京高华证券有限责任公司版权所有 2014年 未经北京高华证券有限责任公司事先书面同意,本材料的任何部分均不得(i)以任何方式制作任何形式的拷贝、复印件或复制品,或(ii)再次分发。

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