油价的痛苦阈值：高油价何时引发更大抛售

What's the pain threshold: when willhigher oil prices drive a bigger selloff? Macro Strategist+44-20-754-11149 *** The Extel Fixed Income Survey is open and your vote would mean a lot to me,particularly 5-star rankings in cross-asset and macro strategy categories. Tovote,goto Extel's websitehere.*** the pandemic recovery six years ago,revivingfears about a stagflationary shock. However,thewidercross-assetreactionhas beenmutedsofar:the S&P500isonlyjustover1%beneathitsrecordhigh,whilstHYspreads inboththeUSandEuropeare still tighterthan their pre-conflictlevels.Only rates markets have seen a moremeaningful impact. But considering what happened earlier this year, this shouldn't be too surprising.Brent around its present level ofs80-90/bbl isn't a sufficientpainthresholdforriskassets,and ittook amoveabove$110/bblbeforewesawmeaningfulvulnerabilities for equities and credit. Indeed, if we also think back to the 2022energy shock, it was a similar real terms threshold for Brent (above $110/bbl intoday'sprices)thatinducedthosevulnerabilities and contributedtothe equitybearmarket that year. What does it take to generate a bigger selloff? When the lran conflict began earlier this year, we outlined a framework to thinkaboutwhatittakestogenerate ameaningful sellofffor riskassets.Wepointedout3 criteria to look for, to get a big risk-off move after an oil shock (e.g. S&P 500 down15%).Generally,atleast one of the following is required: Largeandsustainedoilpricespike:Anoil price spikeofatleast+50-100%thatis sustained over several months.Hawkish policy response: The shock forces a sharp, hawkish pivot fromcentral banks to fight the resulting inflation (e.g.1979, 2022).3.Broadermacrodamage:The shockisbig enoughtotipan already-slowingeconomyintorecessionorcauseameaningful economicslowdown(e.g.1990 Gulf War). Yeton all 3ofthesecriteria,today's shock hasnotmetthesethresholds,andis stillnot doing so, even after the latest jump in oil prices. Thematic Research meaningful selloff.For instance, the 1973 oil shock saw prices almostquadruple, and theymore than doubled in 1990 during the Gulf War.Evenback in2022,Brent spentaround6monthsabove$100/bbl,andthe12-monthfuturepeakedabove$1oo/bblaswell,implyingasustainedshockfor over ayear.Todayby contrast, Brent crudeprices at $86/bblare"only"up+18%from their pre-conflict level, and up +41% since the start of the year. From amarket standpoint, this is clearly noticeable, but doesn't compare withhistory's bigger shocks.Moreover, if you compare with the 2022 shock,it's worth adjusting for cumulative inflation of over 10% since then. So even though oil prices in2022spentaround6monthsabove$100/bbl,you'dneedtoseepricesofatleast$110/bbltogenerateanequivalentshock.Inreality,we'veonlyspentaround2weeksabove$110/bbl in2026,ratherthan6months.Soagainwe're somewayfromthresholdsthathavecausedbiggerproblemsforriskassets. ahead; this isn't being priced as a sustained shock. 2.Areweseeingasharphawkishresponsefromcentralbankstodealwiththeresultinginflation? Anotherkeydriverof previous oil-relatedselloffs has beenahawkishpolicyresponse.Forinstance,2022-23sawtheFed hikeby525bps,andthe ECBhikeby450bps.Andbackin1979afterthesecondoilshock,FedChairPaulVolcker launched a huge monetary tightening to finally get control ofinflation Onceagain,ifwe comparetoday'sshocktothis,itisnowhereonthesamescale, and inflation rates are much lower.For instance,market pricing for Thematic Research meeting.Moreover,a key reason for today's hawkishness is actuallybecause ofupside growth surprises,ratherthan simply upside inflationsurprises. downturns-it didn'ttakemonthsforthe effects to showup.For example,the first oil shock of 1973was followed by an immediate rise in theunemployment rate.ThenwhentheGulfWarbegan inAugust1990,USpayrolls saw their biggest contraction (-208k) in 7 years.By contrast,a consistentthemeoftoday's oilshockis we haven'tseenthis broader macro deterioration -if anything global data has generallysurprised on the upside.USpayrolls have been consistently positive,andthe unemploymentratehit a 12-month low in June.Even in Europe,whichis theoreticallymoreexposed tothe oil shock given its geography and itsrelianceon imported energy,theEurozonecompositePMlwas stillat50.0in June.That's exactly on the linebetween expansion and contraction,suggesting this energy shock hasn't caused some big recession. Figure3:Even inEurope,theEurozonecompositePMlwasat50.0inJune,exactlybetweenexpansionandcontraction,notpointingtoasharpdecline So where does oil need to get to cause a meaningful selloff? The experienceofboth thisyearandthe2022shockisthat we'd needtosee$110/bbl on a sustained basis to generate amore negative market reaction. First,$110/bblis highenoughtobeclearlyfeltbyconsumers andchallengeinflationexpectations.Soatthoselevels,centralbanksaren'tabletosimply"lookthrough"it asatemporaryshock,particularly ina contextwhen inflationhas alreadybeenabovetargetforseveralyears. Second,$110/bblwaswherewe startedto