2025年宏观展望之三：美债利率如何看？

Market Trends and Interest Rate Analysis - US Treasury yields experienced significant volatility in 2024, with long-term yields rising over 80BP from January to April, then falling over 140BP from April to September, and rising again over 80BP from September to November[9] - The 10-year US Treasury yield fluctuated between 3.6% and 4.8% throughout 2024, with notable peaks in April and November[10] - US Treasury volatility index remained elevated throughout 2024, particularly during economic uncertainty periods, reaching levels comparable to past crises like the 2008 financial crisis[11][12] Interest Rate Decomposition - Long-term US Treasury yield movements were primarily driven by real interest rates, contributing approximately 70% of the nominal yield changes[14][15] - Inflation expectations played a secondary role in yield fluctuations, with 10-year inflation expectations ranging between 2.0% and 2.35% throughout 2024[16][23] - Term premium contributed significantly to yield movements, particularly during periods of economic policy uncertainty, with real term premium increasing by nearly 40BP from September to November[28][29] Economic and Policy Factors - US economic indicators showed mixed signals, with strong Q1 performance (PMI above 50) followed by weakening in Q2-Q3 (PMI below 48)[19][20] - Federal Reserve policy shifts significantly impacted yields, with a 50BP rate cut in September and market expectations of 2 rate cuts in 2025[21][49] - Trump's election prospects and potential policy changes contributed to increased inflation expectations and term premium volatility in late 2024[22][36] Market Expectations and Projections - Market expectations for Fed rate cuts fluctuated dramatically, with 100BP cut probability dropping from 100% in October to 50% by November[33][34] - ARDL model projections suggest 10-year Treasury yields in 2025 could range between 3.5%-4.5% in neutral scenarios, with potential for 4.5%-5.5% in pessimistic scenarios[50] - US household financial health remains strong, with net worth reaching $163.8 trillion in Q2 2024 and mortgage payments at 5.9% of disposable income, similar to pre-pandemic levels[41][42]