克朗的疲软不受欢迎，并且对瑞典经济和瑞典央行来说都是一个令人头疼的问题。我们的计算显示，克朗长期被低估了10-15个百分点，因此应该升值。基于我们的资本流动分析框架，我们识别了过去十年克朗疲软的六个原因。其中一些资金流动是结构性的。关键利率上调是加强克朗的钝性工具，并且具有不良的副作用。相反，我们看到，可以通过政治决策来增强克朗，例如使投资养老金资产（例如在瑞典而非国外）更具吸引力。
今年夏天，克朗兑欧元创下历史新低：每欧元兑换SEK11.96。根据我们的模型，当时克朗兑欧元被低估了约20个百分点。然而，问题不在于克朗本身疲软，而在于过去十年中，尽管瑞典经济相对世界其他地区较为强劲，但克朗兑欧元和美元均呈疲软趋势。瑞典央行的KIX汇率指数此前也曾同样疲软，但那是在两次危机期间：2001年的“互联网泡沫”和2008年的全球金融危机。
瑞典央行指出克朗最近贬值的主要原因是：克朗在全球动荡中的微小规模以及不利的短期利率差。但这些更短期的因素不足以解释其长期下跌。我们还需要对克朗实际汇率可能的变化进行分析，以及对资本流动进行分析。克朗走强将有助于降低企业成本，从而降低通胀。
估算汇率长期均衡水平最常见的方法之一是研究实际汇率。其理念是，对外贸易最终会促使实际汇率向均衡水平移动。
实际汇率的计算方式有多种。最常用的是消费者价格指数，但单位劳动力成本以及进出口价格——它们反映了一国的成本和竞争地位——也较为常见。实际汇率指标之间往往差异显著。根据下图，基于三种不同的估算，当前实际汇率比过去30年的平均水平弱15-25%。多项实际汇率指标在过去十年呈下降趋势，这可能表明与历史平均水平比较会夸大偏离均衡的程度，至少在中期内如此。
因此，我们的判断是，当前实际汇率比其长期均衡水平弱10-15%。多个因素支持这一观点。瑞典庞大的经常账户盈余表明克朗被低估。长期以来，瑞典物价上涨速度慢于国际水平，在其他条件不变的情况下，这往往会导致长期实际汇率进一步走弱（假设名义汇率不升值）。近年来，瑞典工资薪金的涨幅也慢于国际水平，这进一步强化了上述情况。由于价格和工资变动缓慢，实际汇率更可能通过名义汇率走强来调整。在SEB对长期双边汇率的模型估算中，实际汇率扮演着重要角色。根据模型，长期汇率为9.50克朗兑欧元和8.00克朗兑美元，分别比当前汇率强20%和27%。
实际汇率的估计存在不确定性，价格和工资衡量方式的差异或许可以解释瑞典克朗实际汇率趋势的部分原因。然而，巨额且持续的贸易和经常账户盈余支持了这样一种论点，即瑞典克朗疲软并非其长期均衡水平。过去30年，经常账户盈余平均占GDP的5.5%，这一水平在全球仅有少数国家能达到。瑞典的外部头寸——即总资产减去外国对瑞典的债权——目前总计超过GDP的40%（若按市场价值计算直接投资，则为70%）。瑞典大量储蓄中很大一部分被投向海外，这是实际汇率长期疲软的一个重要原因。日益增长的货币交易份额由投资和储蓄驱动，而非商品和服务贸易，这可能是实际汇率日益偏离趋势的重要原因。
在国际收支（BoP）中，如果资金流动被划分为自主性流动和适应性流动，则汇率分析更为简便。这种分类的理念在于，自主性流动独立于其他国际收支流动而发生，例如由于预期变化或各种结构性因素。而适应性流动的产生仅仅是因为自主性流动需要被抵消。
国际收支的一种常见分类是将经常账户余额视为自主性流动，将金融账户余额视为适应性流动。如上所述，像瑞典这样拥有经常账户盈余的国家，其货币相对于赤字国家应呈现升值趋势。外币相对于克朗的价格需要下降——克朗需要升值——以刺激对外国资产购买的增加，这是一个使流动分析复杂化的因素。
分析国际收支流动与汇率变动之间联系的另一种方法是考察不同部门外汇敞口的变化。当一部门拥有外币资产或负债时，就会产生此类敞口。不幸的是，国际收支统计无法解释汇率风险的变化，因此不能提供完全准确的图表来显示实际影响克朗的因素。敞口的转移可能导致克朗汇率的变化。价格影响的程度取决于参与者在不同条件下改变其克朗（SEK）敞口的意愿。例如，如果第七养老基金（瑞典养老基金）决定对其部分外国资产进行汇率对冲，这将——在其他条件不变的情况下——导致7亿瑞典克朗的资金流入，从而使克朗走强。确定六种流动解释 让我们观察六种不同的资本流动，它们可能解释为什么克朗比正常水平弱300-400%。这些解释的强度随时间变化，但涉及以下内容（无排序）：
美元的十年升值趋势。美元通常呈长期周期波动。美国固定收益和股票市场的规模吸引了私人和公共资本流向美元。欧洲债务危机（10-15年）也严重挑战了欧元相对于美元作为储备货币的角色。
追随趋势的外国模型基金。这些基金可以放大和延长最初由其他因素驱动的货币波动。我们以多种方式注意到这些基金在瑞典克朗市场的存在，并看到其重要性在近年来有所增加。
人口结构和公共财政产生储蓄盈余。人口老龄化是一个全球现象。瑞典的结构性金融储蓄盈余既体现了大型私人机构养老金储蓄，也体现了大型公共储蓄。瑞典养老基金行业对缺乏投资机会表示担忧，例如在国内有形和数字基础设施以及绿色投资方面。这意味着瑞典部分养老金资产转而流向国外。然而，对克朗的影响最终取决于这是否也意味着养老金资产汇率风险的变化。
跨国公司在海外进行再投资。瑞典公司将其在海外产生的大部分利润再投资于海外，这是合乎逻辑的。当今新的全球贸易格局意味着国际价值链需要以更强的韧性来构建。这意味着将在海外进行额外投资。只有当这些投资被出售时，才会产生对瑞典克朗的正面影响，但这可能需要很多年才能实现。
额外风险溢价。瑞典克朗是一种周期性货币，在全球增长和风险偏好良好的环境中会走强。瑞典多年来在家庭部门积累了高额债务，如今房地产行业面临挑战，这表明瑞典克朗应带有风险溢价。
非传统货币政策。瑞典央行从 2015 年起的政策——负关键利率和反复威胁进行货币干预（卖出瑞典克朗以降低通缩风险）——降低了全球对瑞典政府证券的兴趣。我们的结论是，当瑞典克朗走强的潜力未能实现时，各国央行减少了这些证券的持有量。外国投资者反而购买了抵押贷款支持证券。这显然对瑞典克朗影响有限，因为全球私人投资组合经理通常会对冲固定收益证券的持仓。
瑞典央行最新表态给人的印象是，其认为利用货币政策使瑞典克朗从当前水平永久升值的空间有限。仅仅为了提振克朗而进一步加息是一种钝器，尤其是一些投资者已经担心瑞典经济中对利率特别敏感的领域。这也可能降低通胀政策的清晰度。
6月，瑞典央行宣布将每月政府证券发行量提高至5亿瑞典克朗。其想法是，这些证券的收益率将比预期政策利率上升得更多，克朗最终将升值。瑞典政府债券收益率相对于预期政策利率仍然偏低。由于收益率低和市场运转不佳，外国投资者持续减持瑞典政府债券。我们认为，这加剧了克朗的疲软。
瑞典央行现在增发政府证券，有助于缩小政府证券与互换利率之间的收益率差。在经历了多年的低流动性和供应极其有限之后，固定收益市场可能开始重新更好地运转。这将有助于提升瑞典政府证券市场对外国投资者的吸引力，并为瑞典克朗升值提供空间。然而，积极的资金流效应预计相当有限。
瑞典央行在6月发布最新货币政策报告时宣布，正在考虑对其部分外汇储备进行货币对冲。这一决定之前将进行一项调查，预计将在“初秋”完成。如果采取这一步骤，其目的是降低瑞典央行的金融风险。根据执行委员会的说法，这不应被视为出于货币政策动机的行动。
瑞典央行已经因其证券持有遭受了约80亿瑞典克朗的大额损失，并且很可能需要在2024年初请求瑞典议会（Riksdag）注资。如果克朗升值到2022,年初的水平，估计汇兑损失总额将接近60亿瑞典克朗。货币对冲的想法可能主要反映了瑞典央行不愿承受进一步损失，但公告的时机表明，央行仍希望此类行动能导致克朗升值。然而，我们认为提议的金额（约100亿瑞典克朗）不足以产生持续的克朗升值。对克朗的积极影响并未实现；7月份克朗的升值反而与美国有利的通胀数据有关。
克朗的疲软正在增加以克朗计值的外国资产价值，但我们也面临瑞典资产被抛售的风险。如今，外国资产的总价值接近22万亿瑞典克朗。瑞典养老基金管理人正在对冲股票和固定收益证券的价值。粗略地说，如果我们使用政府运营的AP基金的基准，即最大40%的货币风险，并假设其他资产未对冲，那么克朗贬值10%将产生略高于1.7万亿瑞典克朗的正财富效应。从外国角度来看，购买瑞典公司和房地产将更便宜，在当前房地产市场面临挑战的情况下，这可能是一个稳定因素。
那么，有什么因素可以帮助瑞典克朗重回更为强劲的水平吗？答案或许部分在于财政政策，而非货币政策。例如，瑞典对外直接投资日益超过对应的外国对瑞典投资。瑞典养老金资产在国内缺乏投资替代选择，这解释了资产管理人选择投资海外的原因。这可能会产生结构性的瑞典克朗外流，尽管其对克朗汇率的实际影响取决于投资者如何管理这种货币敞口。
自1990年代初以来，瑞典公共部门债务稳步下降，而许多其他国家则增加了债务。这当然是一个艰难的平衡之举，但当通胀趋势允许时，克朗可能会受益于在数字和实物基础设施等领域创造投资机会的举措。简而言之，就是使在瑞典投资比在海外投资更具吸引力。
The weakness of the krona is unwelcome and is a headache for both the Swedish economy and the Riksbank. Our calculations show that the krona is 10-15 per cent undervalued in the long term and should thus appreciate. Based on our analytical framework for capital flows, we identify six explanations for the SEK’s weakness over the past decade. Several flows are of a structural nature. Key rate hikes are a blunt tool for strengthening the krona and have undesirable side effects. Instead, we see that the krona can be strengthened by such actions as political decisions that make it more attractive to invest pension assets, for example, in Sweden instead of abroad.
This summer the krona reached a new record low against the euro: SEK 11.96 per EUR. According to our models, it was then around 20 per cent undervalued against the euro. Yet the problem is not a weak krona as such, but that the SEK has shown a weakening trend against both the euro and US dollar in the past decade, even though Sweden’s economy has been relatively stronger than the rest of the world. The Riksbank’s KIX exchange rate index has previously been equally weak, but during two crises: “dotcom” in 2001 and the global financial crisis in 2008.
The Riksbank cites two main reasons why the SEK has lost value recently: the krona’s smallness in a troubled world and an unfavourable short-term interest rate spread. But these more short-term factors are not enough to explain its long-term downturn. We also need an analysis of possible changes in the krona’s real exchange rate, as well as an analysis of capital flows. A stronger krona will boost the potential for reducing costs to companies and thus lowering inflation.
One of the most common ways to estimate the long-term equilibrium level of an exchange rate is to study real exchange rates. The idea is that foreign trade eventually helps real exchange rates to move towards equilibrium.
Real exchange rates can be calculated in many ways. The most common way is to use the consumer price index, but unit labour costs as well as export and import prices ─ which reflect a country’s cost and competitive position ─ are also common. Real exchange rate metrics often differ greatly. According to the chart below, based on three different estimates, today’s real exchange rate is 15-25 per cent weaker than the average over the past 30 years. Several real exchange rate metrics show a downward trend over the past decade, which may indicate that a comparison with the historical average exaggerates the deviation from equilibrium, at least in the medium term.
Our is thus that the real exchange rate is currently 10-15 per cent weaker than its long-term equilibrium. Several factors point in this direction. Sweden’s large current account surplus indicates that the krona is undervalued. For a long time, Swedish prices rose more slowly than international prices, which ─ all else being equal ─ tends to result in an even weaker real exchange rate in the long run (assuming that the nominal exchange rate does not appreciate). In recent years, Swedish wages and salaries have also risen more slowly than international ones, reinforcing this picture. Since prices and wages move slowly, it is more likely that any adjustment in real exchange rates will take place through stronger nominal exchange rates. Real exchange rates are important in SEB’s model estimates of long-term bilateral exchange rates. According to the models, the long-term exchange rate is 9.50 per EUR and 8.00 per USD: 20 and 27 per cent stronger, respectively, than today's rates.
Estimates of real exchange rates are uncertain, and differences in how prices and wages are measured can probably explain some of the trend in the krona’s real exchange rate. However, large and persistent trade and current account (C/A) surpluses support the thesis that the krona is weaker than its long-term equilibrium. Over the past 30 years, the C/A surplus has averaged 5.5 per cent of GDP, a level surpassed by only a few countries in the world. Sweden’s external position ─ total assets minus foreign claims on Sweden ─ currently totals more than 40 per cent of GDP (70 per cent if direct investments are stated at market value). The fact that much of Sweden’s large savings has been channelled abroad is one important reason why the real exchange rate has been weak for a long time. A growing proportion of currency transactions are driven by investments and savings rather than by trade in goods and services, which is probably an important reason why real exchange rates have increasingly diverged from trend.
Exchange rate analysis of capital flows in the balance of payments (BoP) is easier if flows are divided into autonomous and accommodating flows. The idea behind this classification is that autonomous flows occur independently of other balance-of-payment flows, for example due to changing expectations or various structural factors. But accommodating flows arise solely because autonomous flows need to be offset.
One common classification of the BoP involves viewing the C/A balance as an autonomous flow and the financial balance as an accommodating one. As mentioned above, countries like Sweden with a C/A surplus are expected to show an appreciating currency against deficit-ridden countries. The price of foreign currency in relation to the krona needs to fall ─ and the krona to strengthen ─ in order to stimulate increased purchases of foreign assets, which is a factor that complicates the flow analysis.
Another way to analyse the connections between balance-of-payments flows and exchange rate movements is to look at changes in the foreign currency exposure of different sectors. Such exposure arises when a sector has an asset or liability in foreign currency. Unfortunately, balance-of-payments statistics cannot explain changes in currency risk and thus do not provide a fully accurate picture of what has actually affected the krona. A transfer of exposure can lead to a change in the krona exchange rate. The degree of price impact is determined by how interested participants are in changing their SEK exposure krona under various conditions. For example, if the 7th AP Fund (a Swedish pension fund) decides to currency-hedge some of its foreign assets, this would ─ all else being equal ─ lead to an inflow of SEK 300-400bn and thus a stronger krona. Identifying six explanations for flows Let us observe six different capital flows that may explain why the krona is 10-15 per cent weaker than normal. The explanations vary in strength over time but are related to the following (no ranking):
The US dollar’s ten-year appreciation trend. The dollar normally moves in long cycles. The volume of US fixed income and equity markets has attracted both private and public capital to the USD. The European debt crisis of 2010-12 also seriously challenged the role of the euro as a reserve currency compared to the USD.
Trend-following foreign model funds. These funds can amplify and prolong currency movements that are initially driven by other factors. In various ways, we note the presence of these funds in the SEK market and see that their importance has increased in recent years.
Demographics and public finances generate savings surpluses. An ageing population is a global phenomenon. Sweden's structural financial savings surplus is an expression of both large private institutional pension savings and large public savings. The Swedish pension fund industry has expressed concern about the lack of investment opportunities, for example in domestic physical and digital infrastructure and green investments. This means that some of Sweden’s pension assets are going abroad instead. However, the impact on the krona is ultimately determined by whether this also means a change in the currency risk in pension assets.
Multinational companies reinvest abroad. It is quite logical that Swedish companies allow a significant percentage of the profits they generate abroad to be reinvested abroad. Today’s new global trade landscape implies that international value chains need to be built with increased resilience. This means that additional investments will be made abroad. Only when these investments are sold does a positive krona effect arise, but it may take many years before this happens.
Extra risk premiums. The krona is a cyclical currency that strengthens in environments of global growth and good risk appetite. Sweden has built up a high level of debt in its household sector for many years and now has challenges in the real estate sector, which suggests that the krona should carry a risk premium.
Unconventional monetary policy. Riksbank policies from 2015 onwards ─ negative key interest rates and repeated threats of currency interventions (selling SEK to reduce deflation risk) ─ reduced the world’s appetite for Swedish government securities. Our conclusion is that central banks reduced their holdings of these securities when the potential for a stronger SEK failed to materialise. Foreign investors instead bought mortgage backed securities. This has apparently had a limited effect on the SEK since global private portfolio managers normally hedge holdings in fixed income securities.
The Riksbank’s latest communication gives the impression that it sees limited opportunities to use monetary policy to help the krona appreciate permanently from its current levels. Hiking its policy rate even more merely to strengthen the krona is a blunt weapon, especially because some investors are already worried about particularly interest rate-sensitive segments of the Swedish economy. It may also reduce the clarity of inflation policy.
In June, the Riksbank announced that it would step up its issuance of government securities to SEK 5 billion per month. The idea is that the yields on these securities will rise more than the expected policy rate and that the SEK will eventually appreciate. Swedish government bond yields are still low in relation to the expected policy rate. Foreign investors have continuously reduced their holdings of Swedish government bonds due to low yields rates and a poorly functioning market. We believe that this has contributed to the weakening of the krona.
The fact that the Riksbank is now issuing more government securities is helping to narrow the yield spread between government securities and swap rates. The fixed income market may begin to function better again after years of low liquidity and very limited supply. This will help make the Swedish government securities market more attractive to foreign investors and provide room for the Swedish krona to appreciate. However, the positive flow effect is expected to be rather limited.
When the Riksbank published its latest monetary policy report in June, the central bank announced that it was considering currency hedging part of its foreign exchange reserve. This decision will be preceded by an inquiry that is expected to be completed in the “early autumn”. Such a step, if taken, will aim to reduce the Riksbank’s financial risk. According to the Executive Board, it should not be regarded as an action motivated by monetary policy.
The Riksbank has already suffered large losses on its securities holdings of around SEK 80 billion and will most likely need to ask the Riksdag (Parliament) for a capital injection early in 2024. If the krona appreciates to the same level as at the start of 2022, the estimated exchange loss will total nearly SEK 60 billion. It is likely that the currency hedge idea mainly reflects the Riksbank’s reluctance to sustain further losses, but the timing of the announcement suggests that the central bank still hopes that such action will lead to an appreciation of the krona. However, we do not believe that the amount proposed, about SEK 100 billion, is large enough to generate lasting krona appreciation. Positive effects on the krona did not materialise; the SEK appreciation that took place in July was instead related to favourable US inflation data.
The weakness of the krona is increasing the value of foreign assets in krona terms, but we are also risking a sell-off of Swedish assets. Today the value of foreign assets totals nearly SEK 22 trillion. Swedish pension fund managers are hedging the value of shares and fixed income securities, for example. Roughly speaking, if we use the government-run AP Funds’ benchmark of a maximum 40 per cent currency risk and assume that other assets are unhedged, a 10 per cent krona depreciation would have a positive wealth effect of just over SEK 1.7 trillion. From a foreign point of view, it would be cheaper to buy Swedish companies and real estate, which in the current situation of real estate market challenges might be a stabilising factor.
So is there anything that can help the Swedish krona return to stronger levels? Perhaps the answer lies partly with fiscal policy rather than monetary policy. For example, Swedish direct investment abroad has increasingly exceeded the corresponding foreign investments in Sweden. The lack of investment alternatives for Swedish pension assets in Sweden explains the choice of asset managers to invest abroad. This can generate a structural SEK outflow, although the actual effect on the krona exchange rate depends on how this currency exposure is managed by investors.
Swedish public sector debt has decreased steadily since the early 1990s, while many other countries have increased theirs. It is of course a difficult balancing act, but when the inflation trend allows it, the krona could benefit from initiatives to generate investment opportunities in such areas as digital and physical infrastructure. It is simply a matter of making it more attractive to invest in Sweden than abroad.
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