【英文】瑞信报告：2022全球投资展望：股票、地区和宏观（194页）

In the 1H of 2022, we forecast central bank balance sheets to expand by 4.2% (2.2% of  global GDP) – the Fed will not end tapering until June ‘22. The ECB is buying €90bn a month, which our economists see as likely to fall to €65bn a month in 1H on average (and €40bn a  month in 2H). Even the BoE has stated it will not stop QE until rates are above 0.5% (and that  is not expected to happen according to the futures curve until Q122).  Such an expansion of balance sheets would, as shown below, still be consistent with a re-rating  (not a de-rating, as has happened).  Another way of looking at this is the level at excess liquidity as proxied by M2 relative to GDP  (M2 being cash and easily convertible near-cash such as deposits accounts). This is still 34pp.  above its normal levels.Since 2012, the Fed has consistently revised down its estimate of equilibrium real rates (socalled r*) but only marginally altered its estimate of the terminal growth rate. The latest estimate  of r* (the Fed’s estimate of equilibrium real rates) is 0.5%, while the median estimate of the  long-run terminal growth rate is 1.8%. 

Hence, the real bond yield is 1.3% below the terminal  growth rate.We can to some extent proxy this another way by looking at productivity growth (which is the  key driver of economic growth) versus the 10-year TIPS yield (the index-linked bond yield), as  we show in the next point. We have two models of the ERP: Model 1: this uses an IBES-based DDM (mean-reverting margins after 10 years and assuming  trend growth from consensus economics after five years). On this basis, the ERP is 5.7% compared with a post-1991 average of 5.4%. The question then becomes: what is the appropriate ERP? We believe that the drivers are the  cycle (as proxied by ISM/PMIs) and credit spreads. The more optimistic the cycle indicators, the  lower the warranted ERP. Right now the warranted ERP (i.e. where it should be) is 4.5%. We can easily see this justifying c5100 on the S&P 500 (P/E of 22.2x on our US strategists’ EPS forecast of 230 for 2022).