中金-中国宏观专题报告：关税扰动对汇率影响多大？

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The short-term fluctuations in the RMB exchange rate are significantly influenced by the uncertainty surrounding US trade policies, with a model indicating that without effective policy management, the RMB may experience greater volatility than observed [1][26] - A strong positive correlation exists between certain A-share stocks and the RMB exchange rate, suggesting potential investment opportunities if the RMB appreciates [2][28] - The report highlights that the US trade policy uncertainty index has a direct impact on the RMB/USD exchange rate, particularly when the index exceeds a certain threshold [18][27] Summary by Sections Macroeconomic Research - The report discusses the impact of US trade policy uncertainty on the RMB exchange rate, emphasizing that this uncertainty has been a key factor in short-term fluctuations since October of the previous year [1][26] - A model was developed incorporating various factors such as government bond yield spreads and risk premiums to analyze the RMB exchange rate [1][23] RMB Exchange Rate and Risk Premium - The report notes that the correlation between the RMB exchange rate and the US-China 10-year government bond yield spread is strong, with a coefficient of 0.63 from August 2015 to January 2025 [5][9] - It identifies two key risk premium indicators in China: the private financing spread and the residential rental yield spread, both of which have shown a strong negative correlation with the RMB exchange rate [7][9] Impact of US Trade Policy - The US trade policy uncertainty index, which measures the frequency of discussions about trade uncertainty in major US newspapers, has shown a significant correlation with the RMB exchange rate, particularly during periods of heightened uncertainty [15][18] - The report quantifies that when the trade policy uncertainty index exceeds 280, its correlation with the RMB/USD exchange rate increases significantly [18][27] Potential Factors for RMB Appreciation - The report identifies that a decline in internal risk premiums could lead to a trend of RMB appreciation, especially if the US economy underperforms and leads to monetary easing [2][28] - It also highlights that a significant number of A-share stocks have a strong positive correlation with the RMB exchange rate, indicating potential investment opportunities if the RMB strengthens [2][28]