在雷曼兄弟破產引發市場暴跌和一連串緊急措施10年后，摩根大通策略師建立了一個模型來衡量下一次金融危機的時機和嚴重程度，結論是投資人應該把2020年暫定為下一次金融危機的時間。

好消息是，根據他們的分析，下次危機的破壞程度可能比上次危機少一點。而壞消息是，自2008年危機爆發以來，金融市場的流動性減少是無法預知的因素。

摩根大通的模型依據經濟擴張的時間長度、下一次經濟衰退可能持續的時間、杠桿程度、資產價格估值，以及危機前的放松管制和金融創新來計算結果。報告預設了一個平均時長的衰退，用模型得出了下一次危機中不同資產類別從高峰到谷底的表現。

美國股市下跌約20%，美國企業債收益率上漲約1.15%，能源價格下跌35%，基本金屬跌29%，新興市場國家政府債券的收益率差擴大2.79%，新興市場股票下跌48%，新興市場貨幣貶值14.4%。

摩根大通策略師約翰·諾曼德和費德里克·馬尼卡迪寫道：“就資產而言，這些預測相對于十年前全球金融危機時的跌幅看起來算是溫和，相較于平均的衰退和危機程度這一預測也不算令人不安。”他們指出，在2008年全球金融危機期間，標普500指數就曾狂跌54%。“我們至少會據歷史標準作些微調，因為結構性的市場流動性減少是不可預測因素。”

摩根大通分析師馬可·克拉諾維奇此前曾分析得出，隨著指數基金、交易所交易基金和基于數量的交易策略不斷發展，市場交易模式正在從主動管理投資轉向被動，這也加劇了市場受擾后帶來的危害，克拉諾維奇和同事于近期在另一份報告中將其描述為“巨大的流動性危機”。

喬伊斯·張和詹·洛伊斯在報告中寫道：“資產管理從主動向被動的轉變，特別是主動價值型投資者的減少，降低了市場防范縮減和從大規模縮減中復蘇的能力。”摩根大通估計，主動型管理賬戶只占它所管理資產的約三分之一，活躍的單名交易只占交易量的10%左右。

對流動性的擔憂

喬伊斯·張和詹·洛伊斯警告說，這種轉變“消滅了大量的資金池，而這些資金池本可購買廉價公開證券并阻遏市場風波”。

約翰·諾曼德和費德里克·馬尼卡迪寫道，讓人看到一線希望的，倒是最近新興市場的潰敗：它意味著發展中國家的資產今年變得廉價，反而能限制下一次危機從峰跌谷的程度，并補償杠桿的建立。

除了流動性問題，約翰·諾曼德和費德里克·馬尼卡迪還強調了下一輪衰退的時間長度，將會成為衡量情況變得多糟的標尺。衰退持續時間越長，對市場的打擊越大，從以往的危機表現中他們已分析出這一點。

他們還寫道：“經濟衰退的持續時間是對回報的巨大拖累，這應該與一些讀者的擔憂相吻合，即下一次衰退中政策制定者缺乏必要的貨幣和財政空間來提振經濟。”（財富中文網）

譯者：宣峰

A decade after the collapse of Lehman Brothers sparked a plunge in markets and a raft of emergency measures, strategists at the bank have created a model aimed at gauging the timing and severity of the next financial crisis. And they reckon investors should pencil it in for 2020.

The good news is, the next one will probably generate a somewhat less painful hit than past episodes, according to their analysis. The bad news? Diminished financial market liquidity since the 2008 implosion is a “wildcard” that’s tough to game out.

The J.P. Morgan model calculates outcomes based on the length of the economic expansion, the potential duration of the next recession, the degree of leverage, asset-price valuations and the level of deregulation and financial innovation before the crisis. Assuming an average-length recession, the model came up with the following peak-to-trough performance estimates for different asset classes in the next crisis, according to the note.

A U.S. stock slide of about 20%. A jump in U.S. corporate-bond yield premiums of about 1.15 percentage points. A 35% tumble in energy prices and 29% slump in base metals. A 2.79 percentage point widening in spreads on emerging-nation government debt. A 48% slide in emerging-market stocks, and a 14.4% drop in emerging currencies.

“Across assets, these projections look tame relative to what the GFC delivered and probably unalarming relative to the recession/crisis averages” of the past, J.P. Morgan strategists John Normand and Federico Manicardi wrote, noting that during the recession and ensuing global financial crisis the S&P 500 fell 54% from its peak. “We would nudge them all at least to their historical norms due to the wildcard from structurally less-liquid markets.”

J.P. Morgan’s Marko Kolanovic has previously concluded that the big shift away from actively managed investing—through the rise of index funds, exchange-traded funds and quantitative-based trading strategies—has escalated the danger of market disruptions. He and his colleagues wrote in a separate note recently of the potential for a future “Great Liquidity Crisis.”

“The shift from active to passive asset management, and specifically the decline of active value investors, reduces the ability of the market to prevent and recover from large drawdowns,” Joyce Chang and Jan Loeys wrote in the note. Actively managed accounts make up only about one-third of equity assets under management, with active single-name trading responsible for just 10% or so of trading volume, J.P. Morgan estimates.

Liquidity Worries

This change has “eliminated a large pool of assets that would be standing ready to buy cheap public securities and backstop a market disruption,” Chang and Loeys warned.

One silver lining is in the recent rout in emerging markets: it means assets in developing countries have cheapened this year, helping limit the peak-to-trough declines during the next crisis and offsetting a buildup of leverage, Normand and Manicardi wrote.

Besides the liquidity question, Normand and Manicardi highlighted the length of the next downturn as a critical unknown in gauging how bad things will get. The longer a recession lasts, typically the bigger the hit to markets, their analysis of past episodes shows.

“The recession’s duration is a powerful drag on returns, which should dovetail with some readers’ concerns that policy makers lack the necessary monetary and fiscal space to extract economies from the next recession,” they wrote.