宏观与大宗商品周报：冠通期货研究报告-20260126

Report Summary 1. Market Overview - Global capital markets experienced significant volatility and divergence, influenced by Trump's tariff threats and yen fluctuations. The VIX index rose slightly, the yen strengthened after depreciation, the US dollar declined sharply, US and Japanese stocks faced pressure, while gold and silver reached new highs. The RMB appreciated, A - shares continued to correct and diverge, and the BDI index soared. Commodities showed increased differentiation [5][10]. - In the domestic market, the bond market rebounded, stock indices showed mixed performance, and commodity sectors remained strong with continued divergence. The growth - style stocks outperformed the value - style. The Wind Commodity Index had a weekly increase of 10.07%, with 6 out of 10 commodity sectors rising and 4 falling [6][16]. 2. Fed Interest Rate Expectations - The CME FedWatch tool indicates that the probability of the Fed maintaining the interest rate at 3.5 - 3.75% in January remains at 95.4%, and the probability of a 25 - bp cut to 3.25 - 3.5% is 4.6%. The market expects 1 - 2 rate cuts in 2026. The Fed's interest - rate decision is expected to keep the rate unchanged, and investors will focus on dissenting votes and accompanying statements to assess future rate - cut timing and rhythm [7][67]. 3. Sector Analysis 3.1 Capital Flows - The commodity futures market saw a significant overall inflow of funds last week. The non - ferrous metals, chemical, and precious metals sectors had the most obvious inflows, while the agricultural products sector had a significant outflow [18]. 3.2 Variety Performance - Most domestic commodity futures rose last week. The top - rising varieties were lithium carbonate, platinum, and Shanghai silver, while the top - falling ones were glass, live pigs, and iron ore [22]. 3.3 Volatility Characteristics - The volatility of the international CRB Commodity Index decreased, the Wind Commodity Index's volatility increased, and the Nanhua Commodity Index's volatility decreased. Among sectors, the coal - coking - steel - ore and grain sectors had significant volatility declines, while the chemical and oil - and - fat sectors had notable increases [25]. 4. Macro Logic 4.1 Stock Market - The four major domestic stock indices continued to correct and diverge last week. Growth - style stocks were stronger, and value - style indices declined. The valuation changes of stock indices diverged, and the equity risk premium (ERP) was at a one - year low [30][31]. 4.2 Commodities - Commodity price indices rose strongly, and inflation expectations rebounded strongly. The performance difference between commodities and stocks increased, and the difference between domestic and international commodity futures returns changed little [40][47]. 4.3 US Treasury Bonds - US Treasury yields showed mixed performance, with little change in maturity. The term spread fluctuated narrowly, real interest rates were under pressure, and the gold price reached a new high. US Treasury rates rose, the China - US spread narrowed, inflation expectations increased, financial conditions were loose, the US dollar index declined, and the RMB strengthened [57][60]. 4.4 US Economic Indicators - The US high - frequency "recession indicator" was strong, the Citi Economic Surprise Index rebounded, and the 10Y - 3M Treasury spread widened significantly and then fluctuated narrowly [62]. 5. Central Bank Policies 5.1 Fed - The Fed is likely to maintain the interest rate in January, and the market expects 1 - 2 rate cuts in 2026 [7][67]. 5.2 Bank of Japan - The Bank of Japan maintained the benchmark interest rate at 0.75%. The yen depreciated significantly and approached 160 against the US dollar. The market expects joint US - Japan intervention in the foreign exchange market [71][72]. 6. Impact of Yen Fluctuations - The yen's sharp fluctuations, especially rapid appreciation, can lead to the unwinding of global yen carry trades, resulting in tightened global market liquidity and asset - price volatility. It has different impacts on various asset classes, such as being negative for global bonds and stocks, positive for safe - haven assets, and causing oscillations and differentiation in commodities [85][86]. 7. Upcoming Events - This week, important economic data and central - bank meetings include US durable - goods orders, German business climate index, Canadian and Brazilian central - bank rate decisions, and the Fed's FOMC meeting [89].