宏观流动性系列一：日本央行加息短期影响有限

Report Industry Investment Rating - Not provided in the report Core Viewpoints - The current interest rate hike space in Japan mainly comes from the triple improvement of inflation, finance, and interest rate structure, allowing the benchmark interest rate to be slightly raised from 0.75% to about 1% in the next 1 - 2 years. The policy divergence of "US rate cuts and Japan rate hikes" will narrow the US - Japan interest rate spread from about 300bp to 200bp, reducing the profit space of yen carry trades and triggering a re - balance of global assets. Overall, this round of interest rate and spread convergence is more likely to bring about a mild repricing rather than a systemic shock [2]. - The core feature of yen carry trades lies in its large - scale hierarchical liability structure rather than a single - direction yen short position. The entire liability pool consists of three parts: the upper layer is a few billion dollars in futures shorts with limited volume but high volatility; the middle layer is a highly leveraged liability pool of over 10 trillion US dollars formed through foreign exchange swaps, forwards, and swaps, which is most sensitive to interest rate spreads and fluctuations; the bottom layer is over 10 trillion US dollars in long - term overseas assets of Japan, with a slower adjustment rhythm. The middle layer, which is the largest in scale and highest in leverage, truly affects systemic fluctuations [3]. - Although the reversal of yen carry trades will trigger market fluctuations, the conditions for triggering a global liquidity shock are not fully met: Japan's interest rate hike rhythm is moderate, high - leverage positions have been cleared in advance, and the Fed's liquidity has not tightened. In the short term, it is more likely to see a temporary repricing of high - valuation and long - duration assets rather than a systemic stampede; only in the extreme scenario of Japan's continuous and significant over - expected interest rate hikes and a strong policy divergence with the US can the cross - asset liquidity risk be significantly magnified [4]. Summary by Directory From the Cause of Inflation to See Japan's Interest Rate Hike Space - Combining economic, inflation, and fiscal dimensions, it can be roughly outlined that Japan's current interest rate hike space is from exiting extreme easing to returning to a normal and slightly loose state. That is, in the next 1 - 2 years, it is feasible to slowly raise the policy interest rate from 0.75% to about 1%. However, extending to 1.5% - 2% or higher requires stronger growth and nominal income support. Otherwise, with the existing debt stock, market concerns about fiscal sustainability will heat up sharply. This round is more like multiple small - step interest rate hikes to around 1%, allowing the long - end to be repriced gradually, rather than an American - style continuous and large - scale interest rate hike cycle [8]. Monetary Policy Divergence, Yen Depreciation, and Yen Carry Trades - In the past five years, Japan's monetary policy has shown an obvious divergence from the global trend. While major economies have aggressively raised interest rates under the constraint of high inflation, Japan did not exit negative interest rates until March 2024 and only slightly raised interest rates by 25bp in January 2025, with a policy rhythm much slower than the global average. The monetary policy divergence has led the US - Japan policy interest rate spread to reach nearly 560bp at its peak in 2023, resulting in a significant strengthening of the US dollar and an accelerated depreciation of the yen since 2022. Japan's low interest rates, a significantly enlarged US - Japan interest rate spread, and the yen's depreciation have provided an excellent profit environment for yen carry trades and released liquidity globally through the path of borrowing yen and buying high - interest - rate assets. This is also the reason for the continuous rise of assets such as technology - represented stocks, commodities, and digital currencies in the past [10]. Yen Depreciation Pushes Up Japan's Inflation Pressure, Leading to Passive Monetary Tightening - The side effects of the continuous depreciation of the yen are forcing the Bank of Japan to raise interest rates. On the one hand, the weakening yen has raised the prices of imported energy and food. Japan's high dependence on foreign countries means that imported inflation is inevitable. On the other hand, after 30 years of structural adjustment, changes in the labor market structure have led to a continuous increase in domestic wages. Japan's core CPI has been running above 2% since 2022, marking the end of the deflation era. In this context, the Bank of Japan's recent release of a clearer signal of interest rate hikes is a response to the rising inflation center and the risk of a wage - inflation spiral, aiming to stabilize the yen exchange rate and inflation expectations before the doubts about sovereign credit intensify [18]. Japan's High Fiscal Debt Reality Constrains the Upside Space of Interest Rates - Japan's "lost 30 years" is also the 30 years of large - scale fiscal stimulus. The fundamental reason why Japan has been able to maintain roughly controllable finances under the premise of a debt/GDP ratio exceeding 200% in the past two decades is the continuous decline in the average interest payment rate. With the recovery of the inflation environment, market concerns about Japan's fiscal sustainability are also increasing, further pushing down the yen and pushing up long - term interest rates, forming a "dual pressure of exchange rate and interest rate." Currently, driven by the Bank of Japan's interest rate hikes and the rise of long - term interest rates, the average fiscal interest payment rate has turned upward, and the proportion of interest payments has also begun to rise slightly. The fiscal tolerance for interest rate hikes has obviously decreased [27]. From the Monetary Policy Divergence to See the Compression Space of Interest Rate Spreads - In the next year, the policy divergence of "US rate cuts and Japan rate hikes" will dominate the profit structure and capital flow of yen carry trades. In the current environment of still high interest rate spreads, this divergence will drive the nominal interest rate spread to narrow slowly, and the narrowing rhythm determines whether carry positions will be moderately re - balanced or trigger concentrated liquidation in extreme scenarios. In the baseline scenario, the interest rate spread narrows but does not reverse, and the carry space still exists; while the stress scenario requires the resonance of both the rapid weakening of the US and the rapid interest rate hikes in Japan to possibly lead to a sharp decline or even an inversion of the interest rate spread. Overall, the probability of the extreme combination is low, but its potential disturbances need to be vigilant [33]. Dismantling the Scale and Structure of the Yen Carry Trade Liability Pool - Overall, yen carry trades have evolved from the traditional single - direction bet into a large and complex hierarchical liability system. The different sources of funds, leverage structures, and risk exposures at different levels determine their volatility patterns and vulnerability points. When interest rate spreads narrow and exchange rate fluctuations intensify, short - term price shocks are often triggered by leveraged funds in the upper and middle layers, while it is the global allocation of Japanese institutions at the bottom layer that truly affects the cross - cycle capital flow. Therefore, understanding the systemic risk of yen carry trades lies not in simply looking at the scale of speculative short positions, but in identifying the behavioral constraints and re - balance rhythms of different layers [37]. Yen Carry Trade Reversal and Global Liquidity Shock - Currently, the macro and policy conditions may cause fluctuations but are not sufficient to trigger a systemic liquidity shock. The market has already factored in Japan's interest rate hike path in advance, and high - leverage yen short positions have been significantly cleared in the previous round of shocks. The Fed is in a stage of slow interest rate cuts, and the US dollar liquidity has not tightened significantly, making potential de - leveraging more likely to manifest as asset re - pricing rather than a full - scale stampede. On this basis, the key risk of yen carry trades is gradually shifting from short - term event shocks to the adjustment of capital flow driven by long - term changes in the interest rate spread pattern [43].