汇率高频追踪20260126

General Information - Report Title: Exchange Rate High-Frequency Tracking [1] - Analysts: Zhang Jing (Qualification No. F3022617, Investment Consultation No. Z0013604), Cheng Xiaoqing (Qualification No. F3083989, Investment Consultation No. Z0018635) [2] Report Core View - The recent upward movement of the 10V US Treasury yield and dollar fluctuations are mainly due to three factors: the risk of a stronger US Treasury yield caused by a stable US labor market and strong inflation; the tariff uncertainty from the "Greenland conflict" reigniting concerns about de-dollarization; and the spillover effect of Japanese bond yields. If inflation remains at a relatively high level and the labor market stays in a "low-speed balance," the short-term path of Fed monetary easing may be unsupported, and the dollar index may show a "weak first, then strong" pattern [2] Summary by Related Content Exchange Rate Core Logic - The risk of a stronger US Treasury yield is due to a stable US labor market, especially the unemployment rate, and strong inflation. As the PMI employment index and initial jobless claims have not deteriorated significantly, the market's expectation of this year's interest rate cut has been postponed [2] - The "Greenland conflict" has led to tariff uncertainty, reigniting concerns about de-dollarization. Trump's policies have affected some sovereign investors' asset allocation decisions, and if policy uncertainty persists, it may lead to a broader reevaluation of US Treasury asset allocation by international capital [2] - The spillover effect of Japanese bond yields: On January 19, Kao Ichimasa announced the dissolution of the parliament for early elections and proposed more radical tax cuts, causing market concerns about the deterioration of Japan's fiscal situation. Poor Japanese bond auction results have also deepened concerns about long-term bond demand [2] Economic Index Tracking - The difference between the US and European Citi Economic Surprise Index has rebounded [3] - The difference between the US and European long-term inflation expectations is in a certain range [5] - The difference between the US and European short-term interest rate expectations has increased [7] - The US long-term inflation expectation has risen [7] - The US short-term interest rate expectation has changed [9] - The VIX index has fallen back to a low level [11] - The euro swap basis shows that the pressure on cross-border dollar liquidity is limited [13] - The CFTC net position shows that the dollar maintains a net negative position exposure [17] - The term spread continues to narrow when looking at US Treasury deficit concerns and the dollar trend from the 30 - 10Y spread (in reverse order) and the 10Y swap spread [19] Correlation with Other Assets - There is a certain relationship between the dollar index and the gold-to-copper ratio [24] - There is a relationship between the dollar and copper prices, and copper prices have changed [27] - There is an inverse relationship between the dollar and crude oil prices, and crude oil prices have changed [29] - There is a relationship between the US dollar-yuan central parity rate and the spot exchange rate [35]