策略 | 2023年5月17日 建银国际证券 1 贯穿主要加息周期的重要风险之一是信贷风险，因为利率上升会增加再融资成本和难度。本报告概述了为什么在当前市场环境中值得关注信贷紧缩风险，探讨了过去信贷紧缩的历史环境和影响，并探讨其对投资策略的影响。 2022至2023年加息周期的一个有趣的因素是：虽然加息周期比预期要快得多、陡峭得多，通胀也达到数十年来高点，但市场在过去一年的大部分时间里基本上忽略了信贷风险。 过去几个月的事件唤醒了市场对信贷风险和信贷紧缩可能性的认识。  首先，主要发达经济体核心通胀的上升支持了“更高利率持续更长时间”的表述，表明企业可能不得不在更长的一段时间内应对更高的利率。  其次，3月席卷金融市场的银行业动荡让市场意识到存在信贷风险的可能性。 因此，最近几周，越来越多的声音对信贷相关风险发出警告。在5月8日发布的半年度金融稳定报告中，美联储强调信贷紧缩是当前金融体系面临的最大风险之一。 通过调查数据，宏观数据，以及银行业近期的动荡，我们已经可以看到信贷环境收紧的早期迹象。  调查数据方面，贷款条件从2022年下半年以来持续收紧。从历史上看，资深核贷人员意见调查报告领先贷款同比增长10至25个月，这表明在宏观经济环境没有重大变化的情况下，贷款增长可能在2023年进一步减弱。  宏观数据方面，美国M2货币增长首次降至负值，并且市场流动性总体上收紧。  银行动荡方面，在面临存款持续外流的情况下，银行被激励加强流动性，更加严格的监管可能会进一步限制贷款。 回顾历史上的信贷紧缩时，我们考察了1966年、1990年至1991年、2008年至2009年的美国信贷危机，以及1997年至1998年的亚洲金融危机。 我们发现的一些共同的主题包括：  货币政策收紧通常是信贷紧缩的前兆；  信贷增长的低谷通常发生在衰退过去之后，通常是在降息之后，而不是在加息期间。  银行体系的脆弱性是信贷紧缩的催化剂。  银行和其他市场之间形成负反馈循环。  最终，积极的政策干预是稳定局势所必需的。 过去几个月发生的事件符合上述许多条件：政策迅速收紧，银行体系脆弱。负反馈循环是否开始形成可能会决定我们是否会经历信贷紧缩。 对1990-91年和2008-09年市场回报的回顾可以检视不同资产类别在严重信贷紧缩期间的反应。我们看到，政府债券往往是表现最好的，提供稳定的回报，其次是投资等级公司债券，而高收益公司债券的跌幅更大，复苏更慢。大宗商品整体上略有走弱，但黄金作为主要避险资产在2008-09年表现最好；在1990-91年期间黄金价格表现亦不俗，尽管其走势经常受到海湾战争发展的影响。在这两个时期内，股票都遭遇了严重抛售，在1990-91年间股票是恢复最快的资产；但2008-09年的复苏速度要慢得多。 就以往信贷紧缩期间的行业表现而言，我们看到金融和房地产行业是表现最差的，而非必需消费品、工业和材料等其他周期性行业表现不佳。必需消费品、医疗保健和公用事业等防御类股跑赢大盘。在危机最严重时期过后，受影响最严重的行业（金融和房地产）反弹幅度最大，其次是科技和非必需消费品等成长型行业。 信贷紧缩的可能性给温和至中等衰退的基本情景增加了尾部风险。这种可能性在我们相对保守的资产配置策略中发挥了作用。我们仍然超配黄金、发达国家主权债券和投资级债券，同时对高收益债券和股票保持更谨慎的态度，直至出现更大规模的回调。 全球策略 美国信贷紧缩：潜在风险和影响 宋林 (852) 3911 8267 lynnsong@ccbintl.com 姜越 (852) 3911 8243 verajiang@ccbintl.com 赵文利 (852) 3911 8279 cliffzhao@ccbintl.com STRATEGY | 17 May 2023 CCBI SECURITIES 2 Analyst certifications: The author(s) of this document, hereby declare that: (i) all of the views expressed in this document accurately reflect his/her personal views about any and all of the subject securities or issuers and were prepared in an independent manner; (ii) no part of any of his/her compensation was, is, or will be directly or indirectly related to the specific recommendations or views expressed in this document; and (iii) he/she receives no insider information/non-public price-sensitive information in relation to the subject securities or issuers which may influence the recommendations made by him. The author(s) of this document further confirm that (i) neither he/she nor his/her respective associate(s) (as defined in the Code of Conduct for Persons Licensed by or Registered with the Securities and Futures Commission issued by the Hong Kong Securities and Futures Commission) has dealt in/traded or will deal in /trade the securities covered in this document in a manner contrary to his/her outstanding recommendation, or neither he/she nor his/her respective associate(s) has dealt in or traded in the securities covered in this document within 30 calendar days prior to the date of issue of this document or will so deal in or trade such securities within 3 business days after the date of issue of this document; (ii) neither he/she nor his/her respective associate(s) serves as an officer of any of the companies covered in this document; and (iii) neither he/she nor his/her respective associate(s) has any financial interests in the securities covered in this document. Disclaimers: This document is prepared by CCB International Securities Limited. CCB International Securities Limited is a wholly-owned subsidiary of CCB International (Holdings) Limited (“CCBIH”) and China Construction Bank Corporation (“CCB”). Information herein has been obtained from sources believed to be reliable but CCB International Securities Limited, its affiliates and/or subsidiaries (collectively “CCBIS”) do not guarantee, represent and warrant (either express or implied) its completeness or accuracy or appropriateness for any purpose or any person whatsoever. Opinions and estimates constitute our judgment as of the date of this document and are subject to change without notice. CCBIS seeks to update its research as appropriate, but various regulations may prevent it from doing so. Besides certain industry reports published on a periodic basis, the large majority of reports are published at irregular intervals as appropriate according to the analyst's judgment. Forecasts, projections and valuations are inherently speculative in nature and may be based on a number of contingencies. Readers should not regard the inclusion of any forecasts, projections and valuations in this document as a representation or warranty by or on behalf of CCBIS that these forecasts, projections or valuations or their underlying assumptions will be achieved. Investment involves risk and past performance is not indicative of future results. Information in this document is not intended to constitute or be construed as legal, financial, accounting, business, investment, tax or any professional advice for any prospective investors and should not be relied upon in that