NIFD季报 主编:李扬 宏观杠杆率 张晓晶 刘磊 曹婧 2025 年 2 月 2022 年 4 月 《 N IFD 季报》是国家金融与发展实验室主要的集体研 究成果之一，旨在定期、系统、全面跟踪全球金融市场、 人民币汇率、国内宏观经济、中国宏观金融、国家资产负 债表、财政运行、金融监管、债券市场、股票市场、房地 产金融、保险业运行、机构投资者的资产管理等领域的动 态 ， 并 对 各 领 域 的 金 融 风 险 状 况 进 行 评 估 。 《 N I F D 季 报》由三个季度报告和一个年度报告构成。 N I F D 季度报 告于各季度结束后的第二个月发布，并在实验室微信公众 号和官方网站同时推出； N IFD 年度报告于下一年度 2 月 份发布。 一揽子增量政策落地显效 宏观杠杆率踏上再平衡 之路 ——2024 年度宏观杠杆率报告 摘 要 【NIFD 季报】 全球金融市场 人民币汇率 国内宏观经济 宏观杠杆率 中国宏观金融 中国金融监管 中国财政运行 地方区域财政 房地产金融 债券市场 股票市场 保险业运行 机构投资者的资产管理 I 本报告负责人：张晓晶 本报告执笔人： ⚫ 张晓晶 中国社科院金融研究所 所 ...

Investment Rating - The report indicates a bullish outlook for the bond market, suggesting a continuation of the bond bull market into 2024 [3][29]. Core Insights - In 2024, developed economies began a series of interest rate cuts, with the Federal Reserve cutting rates by a total of 100 basis points throughout the year, while the European Central Bank and the Bank of England also implemented rate reductions [3][9][17]. - The People's Bank of China (PBOC) continued to enhance its monetary policy framework, including measures such as lowering reserve requirements and interest rates to support economic stability [3][25][29]. - The bond market in China saw significant activity, with total issuance reaching approximately 79.85 trillion yuan, a 12.40% increase from 2023, and net financing exceeding 20 trillion yuan, marking a 46.42% year-on-year growth [49][50]. Summary by Sections 1. Monetary Policy and Interest Rate Trends - Developed economies experienced a downward trend in inflation, prompting interest rate cuts, with the U.S. Federal Reserve, European Central Bank, and Bank of England all reducing rates [9][10][14]. - The PBOC adopted various measures to enhance the transmission of monetary policy, including structural interest rate cuts and the introduction of new monetary policy tools [25][29]. 2. Analysis of China's Bond Market Development - The bond market in China demonstrated robust performance, with a notable increase in issuance and net financing, alongside a growing reliance on bond financing tools [48][49]. - The total issuance of bonds reached nearly 80 trillion yuan, with a significant increase in local government bonds and interbank certificates of deposit [49][50]. - Despite the overall growth, there was a rebound in the number and scale of defaulted bonds, indicating rising credit risks [48]. 3. Economic Indicators and Market Sentiment - The PMI index showed a "V"-shaped recovery, reflecting improved economic sentiment driven by monetary and fiscal policy measures [33]. - CPI remained low throughout the year, while PPI showed a slight recovery mid-year, indicating ongoing challenges in effective demand [34][36]. - The overall financing environment was characterized by a significant increase in government bond financing, which accounted for a larger share of total social financing [37][48].

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The 2024 Central Economic Work Conference prioritizes boosting consumption and expanding domestic demand, proposing a "more proactive" fiscal policy and "moderately loose" monetary policy [3][4] - The report identifies five major tasks for 2025, including risk mitigation, stabilizing the stock market, addressing the impact of Trump 2.0, inventory reduction in real estate, and expanding domestic demand [3][11] - The report emphasizes that a deficit rate of over 8% is necessary to maintain sufficient fiscal spending intensity, given the decline in hidden fiscal expenditures and land finance [4] Summary by Sections Learning from the Central Economic Work Conference - The focus has shifted to insufficient demand as a primary challenge since 2021, with a consistent emphasis on proactive fiscal and stable monetary policies [7][8] Five Major Tasks for 2025 - **Risk Mitigation**: Involves debt replacement to alleviate local government hidden debt risks, which is considered the least difficult task [13][15] - **Stabilizing the Stock Market**: The stock market is at historical low valuations, requiring long-term capital formation through pension system reforms [19][20] - **Trump 2.0**: The potential impact of Trump's policies is expected to be more severe than before, with significant implications for the Chinese economy [28][30] - **Inventory Reduction**: The real estate market faces a long and challenging process of inventory reduction due to demographic shifts and population decline [37][40] - **Expanding Domestic Demand**: This task is deemed the most challenging, necessitating structural reforms and increased household consumption [44][46] Implementation of "More Proactive" Fiscal Policy - The report discusses the need to optimize fiscal expenditure structure and maintain a high deficit rate to support fiscal spending [4][9]

Investment Rating - The report does not explicitly provide an investment rating for the industry or specific funds. Core Insights - Chile has established two sovereign funds, the Economic and Social Stabilization Fund (ESSF) and the Pension Reserve Fund (PRF), to address macroeconomic shocks and long-term pension liabilities [6][12]. - As of June 30, 2024, the ESSF has a net asset value of approximately $4.52 billion, while the PRF has a net asset value of about $9.11 billion, totaling around $14.63 billion, which is 4.4% of Chile's GDP for 2023 [6][12]. - The PRF's investment policy aims for an annualized return exceeding Chile's CPI + 2% over a 10-year period, with a probability greater than 60% [17]. - The current asset allocation of the PRF is 69% fixed income and 31% equities, reflecting a risk-return profile similar to a 30/70 global stock-bond mix [19][35]. Summary by Sections Sovereign Funds Overview - Chile's pension system reform in the 1980s led to the establishment of the ESSF and PRF to manage economic stability and pension reserves [6][8]. - The ESSF is designed to support fiscal spending during economic downturns, while the PRF is focused on pension and public welfare reserves [12][49]. Fund Performance and Asset Allocation - The PRF's asset allocation has evolved, with significant changes in response to economic conditions, including a shift towards higher equity exposure [22][28]. - As of June 30, 2024, the PRF's asset allocation includes 34% government-related bonds, 8% inflation-linked bonds, 13% corporate bonds, 8% high-yield bonds, 6% U.S. mortgage-backed securities, and 31% equities [19][33]. Recent Changes and Trends - The ESSF's asset allocation is currently 81% in sovereign bonds, 4% in inflation-linked bonds, and 15% in U.S. mortgage-backed securities, reflecting a conservative approach due to fiscal pressures [50][60]. - The PRF has seen a reduction in equity exposure and an increase in government-related bonds, indicating a shift towards lower-risk assets in response to changing fiscal conditions [32][33]. Geographic and Currency Exposure - The PRF primarily invests outside of Chile, with a significant allocation to U.S. assets, which accounted for approximately 49% of the total portfolio as of mid-2024 [40]. - The fund's currency exposure is predominantly in major developed currencies, with a notable increase in U.S. dollar exposure due to recent asset allocation changes [65][66].

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Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The report indicates that the US dollar index exhibited a "V-shaped" trend in Q3 2024, impacting global foreign exchange markets. The dollar index fluctuated between 100 and 106, with a notable depreciation of 5.2% followed by a 4% appreciation [2][6][8] - The report anticipates that the US 10-year Treasury yield will remain high, projected to fluctuate between 3.5% and 4.2% in 2025, influenced by "Trump Policy 2.0" which may lead to increased short-term risk-free rates and expanded term and risk premiums [2][30][31] - The report suggests that the Chinese yuan may continue to face depreciation pressure against the US dollar, with expectations of a trading range between 7.0 and 7.1 in 2025 [32] Summary by Sections Global Foreign Exchange Market Overview - In Q3 2024, the dollar index's "V-shaped" trend dominated the global foreign exchange market [5] - The dollar index fluctuated between 100.35 and 105.81, with a 5.2% decline followed by a 4% increase [6][8] - Various currencies appreciated against the dollar, including the Thai baht (6.7%), Malaysian ringgit (6.4%), and Japanese yen (5.3%) [8] Impact of Trump's Presidency on US Treasury Yields - Following Trump's re-election, the US 10-year Treasury yield rose from 3.63% to 4.42%, an increase of 79 basis points [19] - The report discusses the influence of short-term risk-free rates, term premiums, and risk premiums on Treasury yields, predicting a high yield environment [20][30] Future Exchange Rate Trends - The report outlines that the yuan's exchange rate against the dollar is expected to remain under pressure, with a projected range of 7.0-7.1 in 2025 [32] - The report highlights that the Japanese yen will also face depreciation pressure, with expected fluctuations between 145 and 155 against the dollar in the remaining months of 2024 [32]

Investment Rating - The report indicates a slightly improved pattern in the general public budget's revenue and expenditure, suggesting a cautious optimism in fiscal management [2][4]. Core Insights - The report emphasizes the need for a proactive "expansionary" fiscal policy to address insufficient domestic demand and improve fiscal revenue [2][59]. - It highlights the increasing pressure on government fund revenues, with a significant decline in land transfer income impacting local government finances [9][10]. - The report notes that the fiscal deficit as a percentage of nominal GDP has risen, indicating a growing fiscal challenge [15][19]. Summary by Sections General Public Budget - In Q3 2024, the general public budget revenue was 47,146 billion yuan, a year-on-year decrease of 0.8%, with the decline narrowing by 2.4 percentage points compared to Q2 [4]. - The general public budget expenditure increased by 1.9% year-on-year to 65,208 billion yuan, with a slight acceleration in growth [4][5]. - The fiscal deficit for the general public budget reached 18,062 billion yuan, up 9.5% year-on-year [4]. Government Fund Revenue - The report indicates a significant decline in government fund revenues, with a total of 10,946 billion yuan in Q3, down 27.9% year-on-year [9]. - Local government fund revenues fell by 30.4%, primarily due to a 34.2% drop in land transfer income [9][10]. Fiscal Deficit and Debt Issuance - The report states that the fiscal deficit for the first three quarters of 2024 reached 38,720 billion yuan, with a combined deficit of 68,307 billion yuan for both public and government funds [15]. - The issuance of special bonds by local governments increased significantly in Q3, with a total of 32,093 billion yuan issued [20]. Domestic Demand and Economic Growth - Insufficient domestic demand is identified as a major contradiction in the current macroeconomic environment, with retail sales growth slowing to 3.3% year-on-year [32]. - The unemployment rate showed a slight decline, averaging 5.1% in the first three quarters, but structural employment issues remain prominent [38]. Monetary and Credit Conditions - The report highlights a tightening monetary supply, with M1 showing a negative growth of 7.4% and social financing down by 12% [43][44]. - The overall credit demand is weak, reflecting a challenging financial environment for both businesses and consumers [43]. Policy Recommendations - The report advocates for an expansionary fiscal policy to stimulate domestic demand and mitigate debt risks, emphasizing the importance of fiscal reforms [59][60].

Macro Leverage Overview - The macro leverage ratio increased by 2.5 percentage points in Q3 2024, rising from 295.6% at the end of Q2 to 298.1% [2][5] - The total macro leverage ratio rose by 10.1 percentage points in the first three quarters of 2024, with non-financial corporate leverage increasing by 6.2 percentage points and government leverage by 4.2 percentage points, while household leverage decreased by 0.3 percentage points [5][7] - The nominal GDP growth rate remained low, with actual GDP growing by 4.6% year-on-year in Q3, while nominal GDP grew by only 4.0%, leading to a passive rise in the macro leverage ratio [9] Household Sector Leverage - Household leverage decreased by 0.3 percentage points in Q3 2024, dropping from 63.5% at the end of Q2 to 63.2% [5][14] - Residential mortgage loans have been declining for six consecutive quarters, with total household loan growth slowing to 3.0% in Q3 2024 [14][17] - Household savings increased by 4.4% year-on-year, with per capita disposable income reaching 30,941 yuan, a 5.2% increase compared to the same period in 2023 [20][21] Non-Financial Corporate Sector Leverage - Non-financial corporate leverage increased by 0.3 percentage points in Q3 2024, rising from 174.3% at the end of Q2 to 174.6% [5][26] - Corporate debt growth slowed to 7.3% year-on-year in Q3, with corporate loan growth falling to 9.9%, below the 10% threshold [26][30] - Fixed asset investment growth declined to 3.4% year-on-year in the first three quarters of 2024, with real estate investment falling by 10.1% [35][37] Government Sector Leverage - Government leverage increased by 2.5 percentage points in Q3 2024, rising from 57.8% at the end of Q2 to 60.3% [5][39] - Central government leverage increased by 1.2 percentage points, while local government leverage rose by 1.3 percentage points in Q3 [39] - The fiscal deficit rate in 2023 reached 3.87%, the highest in nearly two decades, but still significantly lower than that of the US and Japan, indicating room for further fiscal expansion [49] Financial Sector Leverage - The asset-side financial leverage ratio increased by 0.4 percentage points in Q3 2024, while the liability-side ratio rose by 2.2 percentage points [42] - Bank-to-non-bank lending as a percentage of total assets declined, indicating an improvement in banks' ability to serve the real economy [44] Fiscal Policy and Economic Recovery - Fiscal policy has shown a pro-cyclical trend, with fiscal expenditure growth significantly lower than nominal GDP growth, weakening its role in economic stabilization [46] - International comparisons suggest that China's fiscal policy has significant room for expansion, with the fiscal deficit rate remaining below that of major developed economies [48] - The government's pro-cyclical behavior has hindered private sector balance sheet repair, with private sector credit expansion remaining weak [50]

Investment Rating - The report indicates a positive investment outlook for the stock market, driven by multiple policy measures aimed at boosting market confidence and stabilizing the economy [2][4][7]. Core Insights - The economic situation in China is stabilizing, with recent policies reinforcing expectations for high-quality development and boosting market confidence, particularly in the stock market [2][4]. - The "white list" policy for the real estate market is being implemented to stabilize the sector, ensuring that financing for these projects is protected from judicial actions [16][17]. - The management regulations for financial leasing companies have been upgraded to enhance industry standards and risk management [8][9]. - The recent adjustments in monetary policy, including lowering interest rates and reserve requirements, are expected to reduce borrowing costs and stimulate domestic consumption and investment [5][6]. Summary by Sections Section 1: Boosting Stock Market Confidence - A series of monetary policy adjustments have been announced to directly support the stock market, including lowering the reserve requirement ratio and policy interest rates [4][5]. - The adjustments are expected to save households approximately 150 billion yuan annually in interest payments, stimulating consumption and investment [5]. Section 2: Upgrading Financial Leasing Company Regulations - The new regulations allow financial leasing companies to expand their leasing asset categories and enhance risk management practices [8][9]. - The regulations also permit the establishment of specialized subsidiaries for vendor leasing, improving asset management [10]. Section 3: Strengthening Management of Criminal Cases in Financial Institutions - New guidelines have been issued to improve the management of criminal cases within financial institutions, focusing on risk prevention and enhancing operational efficiency [13][14]. - The reporting timeline for significant cases has been extended to ensure thorough investigations and accountability [14][15]. Section 4: Implementation of the "White List" Policy in Real Estate - The "white list" policy aims to protect financing for specific real estate projects from judicial actions, ensuring that funds are used for project completion [16][17]. - This policy is part of broader measures to stabilize the real estate market and protect buyers' rights [19]. Section 5: Addressing Local Government Debt Risks - Recent policies have been introduced to manage local government debt more effectively, including extending the timeline for debt restructuring and allowing for the inclusion of non-standard debts in restructuring efforts [20][21]. - The new guidelines aim to provide a clearer framework for managing local government financing platforms and their associated risks [22][23]. Section 6: Regulatory Outlook - The report highlights a positive economic outlook for the fourth quarter of 2024, with GDP growth expected to remain strong and consumer markets recovering [27][28]. - However, it emphasizes the need for ongoing vigilance regarding financial risks, particularly in the real estate and local government debt sectors [28][29].

Investment Rating - The report indicates a positive outlook for the stock market, suggesting a potential recovery following recent policy changes aimed at stabilizing the real estate market and boosting investor confidence [3][19]. Core Insights - The A-share market experienced a significant rebound in the third quarter of 2024, with the Shanghai Composite Index rising by 12% and the ChiNext Index increasing by nearly 30% [7][11]. - The report highlights the influence of monetary policy changes, particularly the Federal Reserve's interest rate cuts, which have contributed to a favorable environment for stock valuations [5][19]. - The real estate market's recovery is crucial for the sustained strength of the stock market, as ongoing challenges in the sector could hinder overall market performance [14][34]. Summary by Sections Stock Market Performance - Global major stock indices showed an upward trend in Q3 2024, with the Dow Jones increasing by 8.21% and the S&P 500 by 5.53% [5]. - The A-share market saw a V-shaped recovery, with significant gains in late September following favorable policy announcements [7][19]. Market Outlook - The report warns of potential irrational exuberance in the market, with trading volumes and investor enthusiasm reaching historical highs [32][33]. - The ability to address real estate sector challenges will significantly impact future stock market developments [34]. Policy Impact - Key policy measures announced include interest rate cuts, adjustments to mortgage requirements, and new financial tools to support stock purchases [19][20]. - The report emphasizes the importance of gradual policy implementation to avoid market overheating [36]. IPO and Fundraising Trends - New stock issuance has slowed, with only 65 IPOs in 2024 compared to previous years, indicating a tightening of market conditions [21][22]. - Public fund asset sizes have stagnated, reflecting cautious investor sentiment [26][29]. Fund Performance - Equity funds showed positive average returns in Q3 2024, with stock funds and mixed-asset funds leading the gains [29][31].