贸易战：离全球衰退还有一步之遥：市场准备好了（全球宏观）

1、 HYPERLINK l _bookmark0 ExecutiveSummary3 HYPERLINK l _bookmark1 Near-Term Signposts8 HYPERLINK l _bookmark3 Tariff EscalationinContext9 HYPERLINK l _bookmark9 Estimating theTariffImpact12 HYPERLINK l _bookmark13 Box:Huawei HYPERLINK l _bookmark19 Box:OilSensitivity HYPERLINK l _bookmark20 Box:Howto

2、MeasureaGlobalRecession HYPERLINK l _bookmark21 ImpactonUSEconomy HYPERLINK l _bookmark25 Box:TheCaseofthenowmissingMexicanTariffs HYPERLINK l _bookmark26 Impact onChinaseconomy HYPERLINK l _bookmark27 ImpactonEurozone HYPERLINK l _bookmark28 ImpactonJapansEconomy HYPERLINK l _bookmark29 ImpactonRes

3、tofAsiaPainandGain HYPERLINK l _bookmark30 Market Implications of US-China Tariffs33 HYPERLINK l _bookmark32 Tradewarescalationisnotpriced HYPERLINK l _bookmark35 Why arent marketsmoreworried?36 HYPERLINK l _bookmark38 Box: Understanding assetmarketphases HYPERLINK l _bookmark41 Equities:Calmheadlin

4、e,frightenedinternals HYPERLINK l _bookmark42 Framingthedownsideforglobalequities HYPERLINK l _bookmark43 ImpactonUSequitymarket HYPERLINK l _bookmark45 ImpactonEuropeanequitymarket HYPERLINK l _bookmark46 ImpactonEMequitymarkets HYPERLINK l _bookmark51 FX:Strongerdollarasglobalgrowthslows HYPERLINK

5、 l _bookmark56 Box:HowtheUSDcanhaveitscakeandeatittoo HYPERLINK l _bookmark67 Rates:Asymmetrictothedownside HYPERLINK l _bookmark73 Credit:Lackofprofitswilluncovertrueleverage HYPERLINK l _bookmark78 Where can cyclical weakness exposestructuralproblems? HYPERLINK l _bookmark91 Box:Tradesforthingsgoi

6、ngright HYPERLINK l _bookmark101 AppendixI:WhatifMexicoTariffshadgoneahead?68 HYPERLINK l _bookmark102 Appendix II: Screens for stocks negatively impactedbytrade70Executive SummaryFigure 1: Global average applied weighted tariff across all products%US contribution to global total8China contribution

7、to global totalAvg applied weighted tariff globally7AdditionfromUStariffs+retaliation(2018)6AdditionfromUStariffs+retaliation(2019) 5The US accounts for 75% of the increase in the global weighted avg tariff the last 2 years, (the other 25% is RoW retaliation to those tariffs) pushing us back to 2003

8、) levelsUnless a deal is struck between the US and China in the coming weeks, the global weighted average tariffs will go back up to 2003 levels and the US weighted tariffbackto1947levels.TheUSwould account for 74% of the4 3210929496980002040608101214161820116bp increase in the global weighted avera

9、ge import tariff.Source: UBS, World Bank, HaverFigure2:Globalgrowthbaselinevstradedisruption(QoQannualizedrates)Baseline China/US tariffs Baseline China/US tariffs China/US/Mexicotariffs4.03.53.02.52.009/1703/1809/1803/1909/1903/2009/20Source: UBS, HaverFigure3:ImpactofUS/Chinatariffsonlevelofgrowth

10、byregion(Q219Q420)bp 0-20-40-60-80We estimate this would lower the level of global GDP by 75bp over6 quarters and create a global recession similar in severity to the Eurozone crisis and the global slowdowns of the mid 80s (oil collapse) and mid 90s (Tequila crisis).We would expect 100bp in Fed cuts

11、 (in addition to a 50bp in our baseline for July), 30bp in ECB cuts (further into negative territory) and China to push TSF growth up another 150bp (to 13%YoY).Over half of the global impact is on innocent bystanders (spillovers from lower US/China growth on the rest of the world, supply chain disru

12、ption etc.). Restrictions on Huawei are an important feature of the Chinaforecast (a third of the impact).-100-120-140USChinaEuropeRoWWorldRoWgrowthelasticityChinagrowthelasticityUSgrowthelasticity Huawei2ndordereffect1st ordereffectSource: UBS, Haver Note this compares the index level of GDP at end

13、 2020 with and without tariffs.Figure 4: Key forecasts in baseline, narrow escalation (US, China) & broad escalation (US, China Mexico) scenariosEnd-2019End-2020Asset classBase CaseNarrow escalation (China)Broad escalation (China & Mexico)Base CaseNarrow escalation (China)Broad escalation (China & M

14、exico)Equity Markets(Earnings growth)(Earnings growth)S&P 50025502300-1%-7%Stoxx 6003902950%-7%MSCI EM9508005%-10%Rates (%)Fed Funds2.002.001.252.001.000.00US 2-Year1.8001.000.35US 10-Year2.001.401.002.301.301.10EU 10-year-0.20-0.50-0.600.10-0.40-0.50JN 10-Year0.00-0.30-0.500.20-0.10-0.20Currencies

15、(level)EUR/USD1.091.081.03USD/CNY7.0007.307.30USD/JPY108105100108108106Credit (OAS, bps)US IG135190270175175235US HY475660955575610835EU IG140180270180165160EU HY440665900540640600Oil (Brent $/bbl)666050716050Gold ($/oz)137013901415145014851525Source: UBS, Haver, BloombergFigure 5: Forecast key asse

16、t performance till end2019 for baseline and narrow escalation scenarios25%20%15%10%5%0%-5%BaseCaseTrade War1%-2%lhs-371916121271 (bp) 1257525-25-10%-15%-20%-25%-14%-22%-23%-10%-24%-4%-5%-5%rhs-63-21-75-125S&P500Stoxx600MSCIEMEURCNYUS10Y(rhs)EU10Y(rhs)USIG(rhs)US HY(rhs)Source: UBS, Haver, BloombergS

17、ep24:Implementation of 10% tariff on $200bn of ChinesegoodsFigure 6: UBS Synthetic Trade War Monitor: An index of trade-sensitive prices across asset classes adjusted for the influence of a) the cycle and b) liquiditySep24:Implementation of 10% tariff on $200bn of ChinesegoodsUBS Synthetic Trade War

18、 Monitor helps us track where the market-0.4-0.9-1.4Optimism on trade May 10: May 10: US tariff on $200bn of Chinese goods hiked to 25%Pessimism on tradetalksacross all assets sits within the trade fear and complacency spectrum. It tells us that going into the G20 summit, the market is far from the

19、peak fear levels even of last year, when 25% tariffs were still a threat. The simple message is that market prices see the trade war talk largely as posturing. We see the risks as asymmetric to theDec1:Dec1:USdelaysthe tariff increase to 25% until MarchJun15:USconfirms 25% tariff on $50bn of Chinese

20、electronicsFeb-18May-18Aug-18Nov-18Feb-19Source: Haver, Bloomberg, MSCI, Datastream,UBSFigure 7: Estimated trade war penalty paid by equities over the last 12mImpact of trade tensions on globalPotentialPotentialmovewithouttradetensions TradeimpactActual move20%15%10%5%0%-5%-10%-15%S&P500EuroStoxx50M

21、SCIWorldMSCIEMSource: Bloomberg, UBSFigure 8: Estimated trade war penalty paid by rates over the last 12mImpact of trade on rates0-10-20-30-40-50-60-70Using a bottom up basket of stocks we define trade shock days that help calculate the trade war penalty paid by any asset. Our numbers suggest that U

22、S and European equities have suffered a greater hit from the trade war than have EM stocks. The underperformance of EM equities at a benchmark level has been driven by factors other than the trade war, such as a weaker and less import intense stimulus from China.Among global rates, US yields have be

23、en the most impacted by the trade war. The 2y rate has declined over the last 12m by 50bps directly because of the trade war, while the impact on 10y rates has been45bp.-80-90-100Potentialmovewithouttradetensions Trade impactActual moveUS10yyieldEU 10yearyieldUS2yyieldJapan10yyieldEU 2y yieldSource:

24、 Bloomberg, UBSFigure 9: The USD and global growthR = 0.2530th percentile of globalgrowthR = 0.2530th percentile of globalgrowth15%DollarDollarreturn(y/y)5%0%-5%-10%-15%0%10%20%30%40%50%60%70%80%90%100%Global growth percentile (y/y)Source: Haver, UBSFigure 10: Non-linear relationship between sub-fin

25、ancial spreads (bp) and EU financials equity-to- assets (%)EU sub-financial spreads (bp)y = 1.786x-1.511 y = 1.786x-1.511 R = 0.5549Eurostoxx equity-to-total assets (%)1050850650450250501%2%3%4%5%6%7%8%9%10%Source: Bloomberg, UBSFigure 11: External calm, stretched internals in the equity marketIn a

26、trade escalation scenario US growth and policy rates will come down by more than those in Europe and the RoW. This is typically USD negative. However, this framework fails in roughly the bottom 30 percentile of global growth where the USD benefits as a safe haven. We expect trade escalation will pus

27、h global growth into the bottom quartile. We believe the USD will top out against G10 currencies in the middle of 2020, as global growthbottoms.Although we dont expect a balance sheet recession, thereare some areas of vulnerability where a negative loop could be established between market prices and

28、 growth. Amongst these are European peripheral bonds and financials credit, which has thus far been resilient in the face of declining financial equities. A further 10-15%decline in financials equities will take their market cap to assets ratio to level that typically sees a non- linear increase in

29、credit spreads, tightening financialconditions.While broader equity markets are0.20.0-0.2-0.4High vs Low Beta relative NTM P/E HighvsLow12mMomentumrelNTMP/Emomentum at record premiumhigh beta at record discountnot necessarily pricing the negative effects of a US-China tariff escalation, the internal

30、s underneath headline indices are pricing quite a bit more. High beta stocks are trading at a near record discount vs low beta stocks. Additionally, the relative valuations of high vs low momentum stocks are at extremes. While defensives willstill likely outperform on9803081318Source: IBES, Datastre

31、am, UBS quantitative researchescalation, the magnitude may be much less than seen historically.Figure 12: Stocks with high growth and low FCF yields could be at riskTrade-impacted stocks will remain under pressure on further tariffs.ticker(USDbn)price targetticker(USDbn)price targetSnap ASNAP USUSAC

32、omm ServicesSell19.9-46%Zayo GroupZAYO USUSAComm ServicesNeutral (CBE)7.77%JD.comJD UWChinaCons DiscNeutral42.310%S-Oil010950 KPSouth KoreaEnergySell8.0-10%HessHES USUSAEnergyNeutral (CBE)18.6-2%GenmabGEN DCDenmarkHealth CareNeutral11.3-3%Sartorius VorzugSRT3 GYGermanyHealth CareNeutral15.0-21%Vifor

33、 PharmaVIFN SESwitzerlandHealth CareSell9.4-16%DexcomDXCM USUSAHealth CareNeutral (CBE)14.2-10%PerkinelmerPKI USUSAHealth CareNeutral10.73%China Sth Airlines H1055 HKChinaIndustrialsSell12.06%China Eastern Airlines H670 HKChinaIndustrialsNeutral11.734%China State Const.3311 HKHong KongIndustrialsNeu

34、tral5.4-11%AMDAMD USUSAITNeutral (CBE)32.5-20%Hardie (James) Ind CdiJHX ATIrelandMaterialsNeutral5.83%Crown HoldingsCCK USUSAMaterialsNeutral8.12%Crown Castle Intl.CCI USUSAReal EstateNeutral56.9-5%FortumFORTUM FHFinlandUtilitiesNeutral19.07%Gulf Energy Dev.GULF TBThailandUtilitiesNeutral8.0-19%Coun

35、trySectorUBS ratingMkt UpsideWe highlight 15 of those identified by analysts, with still relatively high multiples ( HYPERLINK l _bookmark103 Figure HYPERLINK l _bookmark103 125 in AppendixII).In addition, in the table on the left (and also in its more detailed version in HYPERLINK l _bookmark104 Fi

36、gure 126 Appendix II) we highlight stocks with higher growth, low FCF yields and lower quality that are at risk if growth slows further as these secondary effects are less priced than direct trade risk. Stocks with the highest sales growth and lowest FCF yields have been the worst performers at the

37、last stages of acycle.Source: Bloomberg, UBS estimates and UBS Quantitative ResearchNear-Term SignpostsFigure 13: In order to see where we end up on the trade escalation spectrum, here is what we will be tracking over the next monthsSource: UBSTariff Escalation in ContextWhenwefirstmodelledvarioustr

38、adewarscenariosinJulylastyear HYPERLINK /shared/d2rXrT7xoAElFzi (Q-series)we estimated that a full-blown trade war between the US and China (25% on all trade), coupled with global car tariffs, could take 100bp off of full year global growth over the subsequent 12 months. We ended up with about a 100

39、bp QoQ annualizedslowdownoverthesubsequent6months,whichtranslatedintoabout a 60bp slowdown in YoY growth (from roughly 4% to 3.4%). However, taking intoaccountthattheactualtariffescalationbetweentheUSandChinawasonlya fraction of what we had modelled (US tariffs were only 23% of our worst case), that

40、 China only retaliated very partially, and that we dont yet have the car tariffs, we consider the effects much worse than what we had assumed. And our estimates at the time were perceived to be wildlypessimistic.Now the problem with this story is of course that there was a lot more going on thanjust

41、tariffs.In HYPERLINK /shared/d2dUhG379xU Whydidglobaltradegointofree-fall?wesuggestedtheglobal economy had gotten caught up in a perfect storm of global trade deflators collapsing(thecommodityandFXcyclerunningitscourse),techcycleweakness (40% of the nominal global trade weakness) and, tariffs. But i

42、t wasnt just the tariffs.WealsohadBrexitconcernsflareupinEuropewhichprobablyweighedon confidence. And we had a yield scare in the US in Q3 which did some financial marketdamageinQ4,andaself-inducedslowdowninChinaduetoshadowbank deleveraging.The impact of tariffs on global growth last year exceeded o

43、ur pessimistic estimatesBut difficult to disentangle tariffs from the tech cycle and other trade disruptorsFigure 14: The sharpest drop in US hard data in 10 years occurred right after tariffs kicked inSource: UBS,HaverNote:thechartshowsthecontributionsof17harddata seriestoafactorthatweusetomodelUSr

44、ecessionprobabilitiesasexplained HYPERLINK /shared/d2TY36H3PKJhx here. Figure 15: Coinciding with the largest drop in global trade volumes in 10 yearsSource: UBS, Haver, CPBBut the problem with all the alternative stories for the slowdown is that none can explain the cliff in Q4: we witnessed the la

45、rgest drop in global trade volumes in 10 years (half of which was due to the US/China; more than double their normal trade weight) and the largest drop in US consumption in 10 years (see the figure above left)-both roughly at the same time. The US is now formally in its 6th large non-recessionaryslo

46、wdownin60years(ourlatestnoteonthisis HYPERLINK /shared/d2otcBgmEP here)anddespite earliertariffeffectsdissipating,ithasstillnotformallyexitedthatcontraction.While we think we got the broad contours of the US slowdown right (a 70bp reductioninGDPsofar),weunderestimatedthemagnitudeoftheinventorybuild-

47、 up and vastly underestimated the elasticity of trade (e.g. 40% decline inHowever, only tariffs can explain the cliff in the dataintermediate goods imports on a 10% tariff in the US), which helped boost headline growth numbers somewhat through larger net trade contributions. Also compositionally, it

48、 appears the 1st order effects (the inflation impact of tariffs) and the erosion of purchasing power were likely marginally lower than what we had modelled,butthe2nd ordereffects(supplychaindisruption,non-lineardisruptions to investment/consumption, weak firms going under) were higher than we antici

49、pated. Despite this, we are applying more conservative multipliers to the potentialnextbatchoftariffescalationforreasonsexplainedinthenextsection.As shown on the Signpost graphic HYPERLINK l _bookmark2 (Figure 13), by July 1 the US will have completedthelegalprocesstoincreasetariffsonallChineseimpor

50、ts.Ourbaseline is that the US and China make sufficient progress around the time of the G20 meetings to prevent the tariffs from actually kicking in. That would then leave the weighted average US import tariff at about 4%, up from about 1.8% early last year prior to the steel/aluminium/solar/washing

51、 machine and China tariffs. The level of trade restrictiveness (for goods) would be back at mid-1970s levels (the dotted red line in HYPERLINK l _bookmark5 Figure 17 below right) but it would stop there.An escalation of US tariffs on China is the legal default, though with delayed implementation to

52、leave some room for future negotiationFigure 16: Weighted Average US import tariff across all goodsFigure 17: US weighted average tariff in historical perspective (1930-2020f)Source: UBS, PetersonInstitute,USTRSource: UBS, USITCIf we are wrong, and those tariffs actually end up being implemented, th

53、e weighted average US import tariff would increase by a further 320bp (25% * China imports/total imports). And if one adds the car tariffs (the 6-month delay in theannouncementofpossiblesanctionsunderSection232)wecouldseetheUS weighted average tariff increase further to 8.9% (see HYPERLINK l _bookma

54、rk4 Figure 16).1 That level of restrictiveness we have not seen since the 1940s (the dashed blue line in HYPERLINK l _bookmark5 Figure HYPERLINK l _bookmark5 17).Put into global context, this would move the US from one of the most open economies to one of the more restrictive. HYPERLINK l _bookmark6

55、 Figure 18 below shows the US falling from #19 to #116 out of the 147 countries for which we have tariff data.This would push US tariffs back to levels not seen since the 1940s1 This is excluded from the scenario analysis later in this note but this would pose further downside risk to our forecast.

56、Total US car imports were roughly $174bn in 2018, of which$32bn were from Europe ($40bn if you include parts) and $41bn from Japan ($49bn ig . We ae t % ais ae ied n n h f car is most countries would get exemptions but Europe would not and possibly neither would Japan. We do not assume car parts are

57、 included given the potential disruption to US manufacturers,butthe$100bnassumptionleavessomeroomforeitherbeingtoooptimistic onthenopartsassumptionorthelimitedscopeofthecartariffsthemselves.Figure 18: US tariffs have moved it from one of the most open economies in the world to one of the more restri

58、ctiveSource: WorldBank(2016data),UBSWeightedmeanappliedtariffistheaverageofeffectivelyappliedratesweightedbytheproductimportsharescorrespondingto eachpartnercountry.DataareclassifiedusingtheHarmonizedSystemoftradeatthesix-oreight-digitlevel.TarifflinedatawerematchedtoStandardInternational TradeClass

59、ification(SITC)revision3codestodefinecommoditygroupsandimportweights.Totheextentpossible,specificrateshavebeenconvertedtotheirad valorem equivalent rates and have been included in the calculation of weighted mean tariffs. Import weights were calculated using the United Nations Statistics DivisionsCo

60、mmodityTrade(Comtrade)database.Effectivelyappliedtariffratesatthesix-andeight-digitproductlevelareaveragedforproductsineachcommodity group. When the effectively applied rate is unavailable, the most favored nation rate is usedinstead.Tariffsinothercountriesarealsoincreasing,butnotnearlyasmuchasinthe