郁观海外系列之七：美日利率下行启示录

Japan's Interest Rate Policy and Bond Market - Japan's slow rate cuts took 7.5 years to reach zero interest rates, starting from 6% in 1991 and reaching 0.5% by 1995[1] - During 1993-1994, 2-year JGB yields fell by 100bp to 1.75%, while 10-year JGB yields dropped by 60bp to 3.6%[3] - In 1995-1996, 2-year JGB yields fell by 63bp to 0.32%, while 10-year JGB yields only dropped by 16bp to 2.95%[4] - From 1996-1998, 10-year JGB yields fell by 180bp to 1.5%, while 2-year yields only dropped by 70bp[5] - In zero-rate environments, 10-year JGB yields averaged 1.3%, with quarterly lows of 0.6% and highs of 1.89%[7] U.S. Interest Rate Policy and Bond Market - The U.S. reached zero interest rates in just 15 months, starting from 4.5-4.75% in 2007 and reaching 0-0.25% by December 2008[9] - During 2008, 2-year U.S. Treasury yields fell from 3.05% to 0.65%, while 10-year yields dropped from 4.27% to 2.08%[11] - In the zero-rate period (2008-2015), 10-year U.S. Treasury yields averaged 2.6%, with lows of 1.43% and highs of 4.01%[12] Key Insights from Rate Cuts - Long-term yields may fall more than short-term yields during rate cut pauses, as seen in Japan's 180bp drop in 10-year yields vs. 70bp in 2-year yields[14] - After reaching zero rates, long-term yields may rebound, as seen in Japan's 53bp rise in 10-year yields and the U.S.'s 99bp rise in 10-year yields[15] - Inflation expectations heavily influence long-term yield pricing, with Japan's 10-year yields at 1.3% (-0.4% CPI) vs. the U.S.'s 2.6% (1.7% core CPI)[16]