Traders sit in front of a board Frank Rumpenhorst/Getty Images

为何金融市场低估风险

坎布里奇—在2017年的大部分时间里,芝加哥期权交易所波动指数(VIX)一直位于过去十年来的最低水平。最近,VIX跌破了9,比2007年次贷危机几乎引爆全球金融体系前夕还要低。看起来,投资者再一次无视世界到底有多危险。

VIX chart

VIX又被称为“恐慌指数”,它测量通过股票指数期权价格表现的金融市场对不确定性的敏感程度,即人们认为股市价值发生重大波动的概率。VIX水平较低表示“冒险”期,投资者“寻找收益率”,减仓美国国债和其他安全港证券,加仓股票、公司债券、不动产和套息交易货币等高风险资产。

我们现在就处于VIX极低的水平,尽管经济面临着众多切实的风险。对于某个给定的月份,这些风险中的每一个都有可能继续保持低位,但保持低位的风险反常地多,这表明有很大的可能至少其中之一会在未来几年中变为现实。

主要风险之一是股市泡沫破裂。在美国和其他地区,主要股市指数在9月纷纷创出新高,并且股价与收益和分红等基准的比值也非常高。罗伯特·希勒(Robert Shiller)的经周期调整的市盈率目前已高于30——此前这种情况只出现过两次,即1929年和2000年股市顶部,随后都发生了股市崩盘。

CAPE ratio chart

我们还面临着债券市场泡沫破灭的风险。美联储前主席艾伦·格林斯潘(Alan Greenspan)最近表示,债券市场要比股票市场还要高估(或“非理性繁荣”)。

市场已经习惯于债券收益率不断下降:1981年—2016年间,公司和政府债券都表现出下降趋势。但利率不可能比今天的水平再低多少了;事实上,预计利率将出现上升,特别是在美国,而欧洲央行和其他主要央行也可能即将进入紧缩周期。如果,(比如)通胀升高形成了对美联储更快加息的预期,股票或债券市场崩盘可能随之而来。

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地缘政治风险也很高——事实上,历史上地缘政治风险很少有和现在那么高的时候,正如美国全球领导力的稳定作用很少有和现在那么低的时候。最尖锐的风险是朝鲜不断推进其核计划,但在中东和其他地区也存在很大风险。

美国总统特朗普放大了这些风险,他在外交政策上犯了许多错误,既没能处理好朝鲜危机,还威胁要废除伊朗核协议。目前,特朗普对国内事务大放厥词的后果尚且颇为有限,因为大部分内容都还没有转化为立法。但在国际事务上,后果可能十分严重。

除了特朗普的变幻莫测之外,美国还面临更大的增值危机。尽管美国国会就债务上限问题的“决战”没有导致政府在这个月惨遭关门,但美国领导人只是把大限延后到今年年底,到那时,这个问题的后果可能会更加严重,僵局可能更加难以克服。美国还有可能面临一场宪政危机,如果特别检察官罗伯特·穆勒(Robert Mueller)找到(比如)特朗普选举阵营与俄罗斯政府进行非法联系的证据的话。

VIX上一次跌到今天这么低的水平实在2006年到2007年初期间,当时,你也可以找到一长串潜在风险。最显而易见的是英国和美国房价相对租金等基准的水平达到了历史新高,积累了崩盘风险。但市场表现得好像风险很低一样,让VIX和美国国债利率节节下跌,而股票、垃圾债券和新兴市场证券节节走高。

当住房市场真的崩盘时,人们认为这是一场意外。分析师说,这场危机位于可用过去的数据进行估算的一切正态概率分布之外,因此属于黑天鹅事件,或“奈特式不确定性”(即彻底的不确定性,亦即未知的未知)。分析师说,毕竟,住房价格此前从未出现过名义下跌。

但是,尽管美国名义住房价格在此前70年里从未下跌,但20世纪90年代的日本和20世纪30年代的美国曾经出现过这种情况。因此,这不是奈特式不确定性,而是古典不确定性,即产生概率分布的数据集毫无必要地被限定在近几十年中的国内情况。

从这个角度讲,“黑天鹅”这个描述最为恰当——事实上,要比它的使用者所认识到的更加恰当。十九世纪英国哲学家用黑天鹅作为经典例子,来说明发生与否无法用观察到的数据进行推断的现象。但这也体现出他们没有考虑足够多的国家或世纪。(黑天鹅是一个澳大利亚物种,在十八世纪被鸟类学家命名。)

这类没能采用充分广泛的视野的谬误,成了投资者反复低估风险的关键原因。比如,期权定价公式需要对方差进行统计估计。类似地,按揭支持证券定价公式需要对违约的频率分布进行统计估计。分析师在估计这些参数时,只使用了给定国家过去几年的数据。此外,在海曼·明斯基(Hyman Minsky)所描述的枯荣循环中,低波动时期诱使投资者产生错误地安全感,导致他们过度举债,最终引发崩盘。

也许投资者会重新评估目前影响经济的风险,VIX也将做出调整。但如果说历史有什么借鉴意义的话,那就是,这一幕要等到负面冲击(不论它是什么)真的发生时才会发生。

http://prosyn.org/uryvUW8/zh;

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