宏观专题：美债札记·一，美债收益率，框架及展望

Group 1: Framework and Analysis - The report presents a framework for analyzing U.S. Treasury yields, integrating "real interest rates + inflation expectations" and "risk-neutral rates + term premiums" as two main paradigms of nominal yield analysis[2] - The combined framework results in a four-factor model for U.S. Treasury yields, which includes expected real interest rates, inflation expectations, actual risk premiums, and inflation risk premiums[3] - The analysis indicates that from September 16, 2024, to October 31, 2024, the U.S. 10-year Treasury yield (US10Y) increased by 66.99 basis points (bp), with contributions from various factors: expected real interest rates (E(RIR) +13.64bp, 20.36%), inflation expectations (E(π) +9.72bp, 14.51%), risk premium (TP_RRP +32.29bp, 48.20%), and inflation risk premium (TP_IRP +11.34bp, 16.93%)[4] Group 2: Economic Indicators and Predictions - The expected real interest rate (E(RIR)) reflects strong economic resilience in the U.S., with a potential short-term maintenance at relatively high levels due to the impact of Trump's policy 2.0[6] - Inflation expectations (E(π)) have been slightly revised upwards, but the Federal Reserve maintains a long-term inflation target around 2%, suggesting limited future contributions to Treasury yields from this factor[6] - The term premium related to inflation risk (TP_IRP) is influenced by potential inflation volatility, with the likelihood of significant spikes being low due to the Fed's normalization path and political uncertainties[7] Group 3: Market Trends and Future Outlook - Recent trends indicate that U.S. Treasury yields are showing signs of peaking, with upward momentum slowing down, suggesting that the most intense phase of trading related to Trump may have passed[8] - The report anticipates that by the end of 2024, the 10-year Treasury yield may oscillate around 4.7%, particularly if economic resilience continues and the December FOMC meeting results in a pause in rate hikes[9] - In the medium to long term, while normalization of monetary policy is expected to continue, the downward movement of nominal rates may be limited due to the influence of term premiums on long-term yields, potentially leading to a "bear steepening" of the yield curve[9]