In August, financial data exceeded market expectations, and social financing increased by 3.58 trillion yuan, which was 900 billion higher than WIND's consensus expectation. The stock rose to 13.3% year-on-year. Social financing caliber credit increased by 1.42 trillion yuan, and the stock growth rate remained at a high level of 13.3% for four consecutive months; However, the year-on-year growth rate of M2 dropped to 10.4%, which was the second consecutive month of decline.

First, the four main reasons for promoting social integration and high growth

The first is the substantial expansion of the government deficit. The net financing scale of national debt is as high as 1.38 trillion, an increase of 870 billion year-on-year, which is one of the most important factors to promote the high growth of social integration. In August, the year-on-year growth rate of stock social financing increased from 12.9% in July to 13.3%, an increase of 0.4 percentage points; Excluding national debt, the year-on-year growth rate rose from 12.2% in July to 12.3%, with an increase of only 0. 1%.

The second is the improvement of the activity of the real economy. The medium and long-term loans of enterprises increased by 725.2 billion yuan, and the willingness of enterprises to spend funds was better than expected. In August, the growth rate of investment in fixed assets increased from 6% in July to 7.5%, in which the growth rate of investment in manufacturing increased significantly from -3. 1% to 5% in that month, and investment in real estate development continued to maintain a monthly growth rate of more than 1 1%. Secondly, residents' short-term loans increased by 284.4 billion yuan, and residents' willingness to consume rebounded slightly, corresponding to a year-on-year growth rate of zero in August, which turned positive to 0.5% for the first time this year. Correspondingly, in August, the growth rate of M 1 increased from 6.9% in July to 8%.

The third is the long-term changes brought about by the capital market reform. After 20 16, the proportion of stock financing in social financing dropped from close to 7% to below 2%. With the improvement of stock market activity and the release of policy dividends such as the reform of registration system, the scale of stock financing has gradually increased this year, with the increase exceeding 1000 billion in July and August, accounting for a rapid increase.

Fourth, short-term fluctuations or even overdrafts. The negative growth of trust loans is only 310.6 billion, which may be related to the expected upcoming "345" housing financing supervision policy. According to the news of Yiyi Trust Network, in August, especially in the second half of the month, under the expectation of tightening financing, there was a comprehensive blowout in domestic and foreign financing of housing enterprises. The net increase of undiscounted bills is 65,438+0,446,5438+0 billion, which may be related to the higher export and foreign trade prosperity and the increase of business activities of small and medium-sized enterprises.

Second, the reasons for the continuous deviation between the growth rate of social integration and the growth rate of M2.

In August, the growth rate of M2 dropped to 10.4%, and the growth rate of social financing scale rose to 13.3%, which deviated for two consecutive months. The historical trend of the two is quite close, because social finance and M2 are equivalent to two sides of a coin, which describe the asset side and the liability side of financial institutions respectively. However, the trends of the two are not the same, because social integration and M2 are different in statistical scope and channels. In fact, since May this year, the growth rate of social integration has been higher than M2.

The intersection of the two is also the part that contributes the most to the new social financing and derivative M2. The stock growth rate of "RMB loans issued by banks to the real economy" (social financing caliber credit) remained unchanged at 13.3% for four consecutive months from May to August, so the differentiation trend of disjoint parts is likely to cause the deviation of the two trends. There are three main factors at present.

First, the demand for off-balance sheet financing is strong, and the growth rate of trust loans and undiscounted bills continues to rise, from the low of-10.2% in February this year to-10.6% in August. In this process, investors' deposits are transformed into deposits of financing enterprises, and M2 is not derived, but accounting is integrated into society.

Second, the financing of national debt has increased substantially, but the efficiency of transforming fiscal revenue into financial input is not high, and most of them stay in fiscal deposits, which has not been completely transformed into support for the real economy. In August, the fiscal deposits of financial institutions increased by 524.4 billion yuan year-on-year. In this process, government bond financing is included in social financing, but the fiscal deposits formed are not included in M2.

Third, the regulatory requirements for structured deposits have declined, and the pressure on banks, especially small and medium-sized banks, has increased. By the end of July, the balance of structured deposits in banks had dropped by nearly 2 trillion compared with the peak in April this year.

Third, the judgment of social integration and the follow-up trend of M2.

Question 1: Can the deviation between social integration and M2 religion be sustained?

A: The probability is relatively low.

The overlapping part of "social financing caliber credit" accounts for nearly 70% of social financing, which is also the core of M2 derivation. From May to August, the growth rate of social financing credit leveled off for four consecutive months, which made the directional difference of non-overlapping parts easily lead to the deviation between social financing and M2. Once there is a directional change in the subsequent credit growth rate, the growth trend of social financing and M2 will return to unity with a high probability, which is also the case most of the time in history.

Question 2: What is the trend direction of social integration and M2?

A: It is more likely that social welfare will continue to rise slightly for about 2 months and then start to fall back.

First of all, the key is to judge the direction of credit growth.

Since May, monetary policy has been gradually tightened, and the liquidity environment has returned to the pre-epidemic level from the end of July to the beginning of August. However, the fundamentals of weak recovery temporarily do not support the continuous tightening of liquidity. Therefore, since August, the central bank has made continuous net investment through high-frequency open market operations, and the overall liquidity has remained relatively balanced, while the credit expansion rate has also remained at a high level.

Looking back, both indicators indicate that credit growth is more likely to decline. First, liquidity. After the liquidity environment has changed from loose to tight balance since May, the credit growth rate may fall back after the second quarter of 1-2. The second is the over-storage rate. The over-storage rate decreased to 1.6% in June, to1.65,438+0% in July, and remained at1.65,438+0% in August. In September, MLF may rise to around 1.3% after exceeding 400 billion yuan. On the moving average, the over-reserve rate has experienced a rapid decline since the beginning of the year, which will also inhibit the subsequent expansion of financial institutions.

Secondly, consider other relatively minor factors.

For social integration, the short-term leading factor is government bond financing. From September to June, the net financing scale of national debt will still be as high as 2.68 trillion yuan, pushing the growth rate of social financing scale to continue to rise slightly to about 65438+ 10. On the off-balance sheet side, the recovery of off-balance sheet financing since the beginning of the year has both the influence of improved demand and the influence of loose liquidity environment. However, at present, the liquidity environment has returned to balance, the guidance of the regulatory authorities to tighten financing trust and real estate financing remains unchanged, and the follow-up of off-balance sheet financing may turn down. Therefore, after the peak period of national debt issuance, it is more likely that the growth rate of social financing will fall with the growth rate of credit.

For M2, the short-term dominant factor may be the acceleration of fiscal expenditure. After large-scale financial financing is gradually transformed into financial expenditure, it may have a certain pulling effect on M2. The pressure on the scale of structured deposits has decreased, which has increased the debt pressure of banks in the short term. The long-term result is that the existing deposit resources are distributed among different banks, with limited impact on the total amount. Therefore, after the release of fiscal expenditure, it is more likely that the growth rate of M2 will fall with the growth rate of credit.

Question 3: What is the rate of decline after the credit expansion peaked?

A: The fourth quarter of this year and the 1 quarter of next year are relatively flat, and it will start to accelerate in the second quarter of next year.

The economic data in August shows that the recovery of the real economy is still going on, but the slope of the recovery is still relatively flat, and there is a problem of insufficient imbalance. This macro environment still does not support a substantial tightening of monetary policy. If the central bank can continue to maintain the relative balance of liquidity through the renewal of MLF, the net investment of OMO and even the slight reduction of RRR, the decline of social financing credit growth rate will be relatively stable in the next few months of this year.

Starting from March next year, if the policy environment continues to be stable, the growth rate of social financing scale may start to drop rapidly, and may return to the level of 10%- 1 1% by the end of the year, due to the difficulty of rapidly rising the base and greatly expanding the fiscal deficit compared with this year.

Fourth, the mapping of the capital market.

The macro environment of "weak fundamental recovery+tight liquidity balance" has not changed for the time being. After social financing exceeded expectations, the adjustment of interest rate bonds was basically completed, and it is expected to re-enter the shock observation stage in the short term. Looking back, if the downward inflection point of credit expansion in the fourth quarter is clear, the pressure on the supply of national debt will also drop significantly, and there are many domestic and international risk factors superimposed, and the pressure on interest rate bonds may be alleviated.

For the equity market, the downward speed of credit expansion will be relatively gentle for the time being during the year, and the economic fundamentals will continue to recover, so the inherent risks faced by the market in the short term are limited. Subsequent risks may mainly come from overseas. In the past two weeks, the release of overseas market volatility triggered the adjustment of A-share high-valued consumption and growth sectors, while the optional consumer financial cycle sector with low and medium valuation was more flexible and the market style was further balanced. In the short term, if uncertain events inhibit risk appetite, "weak economic recovery+tight liquidity" as a direction with a high probability of cashing may lead to further rebalancing of market style.

Risk warning

Team introduction

Song Hong Team Leader

Ph.D. in Economics, North Carolina State University, USA, most valuable analyst in 20 18- 19 Golden Bull Award, and cutting-edge analyst in 20 19 Golden Kirin Award. He has published papers on the work of the central bank, CF40 financial books and many academic papers.

Go to Jing Shu.

Master of London Business School, mainly responsible for overseas macro and large-scale asset research. He worked for AHL, the core quantitative hedge fund of Eastman Investment Company.

Zhao Honghe

Master of Finance, Central University of Finance and Economics, mainly responsible for domestic macroeconomic and policy research. Worked in the development strategy department of China Export Credit Insurance Corporation.

Lin Yan

Master of Financial Engineering, Wuhan University, mainly responsible for the research of asset allocation. I work in Shang Hong Assets Company.

Guo Weiwei

Master of Finance, Wuhan University, mainly responsible for industry comparison and industry trend research.