来源：人大CMF 王晋斌 中国人民大学经济学院原常务副书记、国家发展与战略研究院研究员、中国宏观经济论坛（CMF）主要成员 本文字数：1851字 阅读时间：5分钟 在当前各种冲突叠加，外部环境复杂多变的背景下，对美元金融汇率稳定的好处是：有助于稳定跨境资本流动，并进一步稳定人民币汇率预期。对一篮子 货币贸易汇率较大幅度贬值的好处是：有利于出口。 美元指数大幅度下行，在相当程度上已经脱离了传统的利率平价关系。换言之，在利率平价关系等式一侧添加了风险溢价因子，风险溢价主要是对美国激 进关税政策等的补偿。与年初相比，十年期美国国债收益率从年初的4.57%下行至4月22日的4.41%，仅下行16个BP，而欧元区、日本以及英国十年期国债 上行基本在20个BP以下，美元指数竟然下行了近9%，美元出现了美国激进政策叙事导致的阶段性贬值"超调"迹象。 与去年底和今年初相比，十年期中国国债收益率在4月22日基本还处在1.65%左右。中美十年期国债收益率之差变化不大，如果纯粹从利差来看，人民币 汇率不发生较大变化也属于正常。从今年以来人民币汇率中间价和收盘价之差来看，人民币略有贬值压力，主要还是受到了关税摩擦等因素带来的预期影 ...

1. Report Industry Investment Rating No relevant information provided. 2. Core Views of the Report - The RMB is expected to maintain a volatile and slightly stronger short - term trend, with the key factors for the future being the trend of the US dollar and changes in policy attitudes [2]. - The US dollar index continues to be weak, and the US dollar is under short - term pressure due to concerns about Powell's tenure stability and a decline in economic growth expectations [3]. - The euro is expected to maintain a volatile and slightly stronger mid - to short - term trend, but it still faces downward risks if the interest rate differential logic dominates again and the US dollar rebounds [4]. - The Japanese yen is expected to remain strong in the short term, supported by the divergence in US - Japan policies and trade negotiation expectations [5]. 3. Summary by Relevant Catalogs Market Analysis US Dollar vs RMB - The RMB is relatively stable. The USD/CNY has fallen to around 7.30. China's Q1 GDP grew by 5.4% and exports in Q1 increased by 6.9% year - on - year, with a 12% growth in March, providing fundamental support. The RMB is expected to maintain a volatile and slightly stronger short - term trend [2]. US Dollar Index - The US dollar index is weak. The market's expectation of interest rate cuts within the year continues to rise, with derivatives pricing factoring in a cumulative reduction of 86.8 basis points. The US economy shows a weak recovery in the real economy, and the US dollar is under short - term pressure [3]. Other Currencies - **Euro**: The European Central Bank cut interest rates by 25 basis points. The euro is relatively strong in the short term due to the decline in confidence in the US dollar, but it may face downward risks if the US dollar rebounds [4]. - **Japanese Yen**: The Japanese yen is strong. The narrowing of the US - Japan interest rate differential is the core factor driving the appreciation of the yen. The market's expectation of an interest rate hike by the Bank of Japan within the year is postponed but the direction remains unchanged [5]. Strategy - **US Dollar vs RMB**: In the short term, the exchange rate deviates from fundamentals and the RMB is relatively strong. In the medium term, it has a basis for stable oscillation [6]. - **Japanese Yen**: The US - Japan interest rate differential continues to narrow, and the USD/JPY is in a weakening trend [6]. - **Euro**: The euro is expected to maintain a volatile and slightly stronger mid - to short - term trend [6].

Investment Rating - The industry investment rating is "Buy" [4] Core Insights - The report highlights a significant appreciation of the Renminbi against the US dollar, with the SDR to Renminbi exchange rate increasing by 1.13% during the observation period [4][10] - The report notes that the China-US interest rate differential remains stable, with the 10-year US Treasury yield rising by 8 basis points, while the 10-year Chinese government bond yield increased by 9 basis points [4][11] - The performance of Chinese assets in the US market has been strong, with the Nasdaq China Golden Dragon Index rising by 4.93%, outperforming the Nasdaq Index, which fell by 3.45% [4][11] Summary by Sections 1. Arbitrage Trading Returns - The report indicates that the Renminbi has depreciated primarily due to the strengthening of non-US currencies, with the SDR to Renminbi exchange rate at 9.64 at the end of the observation period [10] - The interest rate differential between China and the US is stable, with the 6M, 1Y, 5Y, 10Y, and 30Y differentials at -2.67%, -2.50%, -2.42%, -2.52%, and -2.65% respectively [11] - The actual annual yield from arbitrage trading on US Treasuries in Renminbi terms is calculated at 2.33% for the 10-year bonds, reflecting a decrease of 0.79 percentage points from the previous period [11] 2. SDR Major Economies Tracking - The report tracks the performance of major economies, noting that the US unemployment rate rose to 4.1% in February, higher than expected, while the manufacturing PMI fell to 50.3 [4][11] - In Europe, the ECB's hawkish stance led to a significant appreciation of the Euro, with the ECB lowering key rates by 25 basis points [10][11] - The report also highlights the performance of the A-share market, which rose by 2.43% during the observation period, indicating a strong performance compared to other major economies [11]

Investment Rating - The industry investment rating is "Buy" with the previous rating also being "Buy" [4] Core Insights - The report highlights a significant appreciation of the Renminbi against the US dollar, with the SDR to Renminbi exchange rate at 9.64, reflecting a 1.13% increase from the beginning of the observation period [10] - The report notes that the China-US interest rate differential remains stable, with the 10-year US Treasury yield increasing by 9 basis points, while the differential stands at -2.52% [11] - Chinese assets have shown strong performance in the US market, with the Nasdaq China Golden Dragon Index rising by 4.93%, outperforming the Nasdaq Index, which fell by 3.45% [11] Summary by Sections 1. Arbitrage Trading Returns - The report indicates that the Renminbi has depreciated primarily due to the strength of non-US currencies, with the 6M, 1Y, 5Y, 10Y, and 30Y China-US Treasury yield differentials recorded at -2.67%, -2.50%, -2.42%, -2.52%, and -2.65% respectively [11] - The actual annual returns from arbitrage trading in US Treasuries, when converted to Renminbi, are 3.68%, 2.44%, 2.33%, and 2.30% for 1Y, 5Y, 10Y, and 30Y respectively, showing a decline compared to the previous period [11] 2. SDR Major Economies Tracking - The report tracks key economic indicators, noting that the US unemployment rate rose to 4.1% in February, higher than expected, while the manufacturing PMI fell to 50.3 [11] - In Europe, the HICP inflation rate for February was reported at 2.4% year-on-year, with a slight month-on-month decline [11] 3. Performance of Major Economic Indices - The A-share market performed well, with the Wind All A Index increasing by 2.43% during the observation period [11] - The report also highlights the performance of various Chinese banks, all rated as "Buy," with their respective stock prices and estimated reasonable values provided [5]

文 ： 华创证券研究所副所长 、首席宏观分析师 张瑜（执业证号：S0360518090001） 联系人： 李星宇（18810112501） 核心观点 1）2024Q3跨境资本流动格局与过去三个季度相似，外资继续净流入而内资继续净流出，只是跨境资本净流出规模转为扩大。2）2024Q3跨境资本净流出的主要驱 动因素是内资流出4200亿美元，达到2021Q1以来的最高水平。3）随着中美利差有所回升，外资直接投资由净流出转为净流入。4）外汇储备由回落转为增加940亿 美元，规模达到十年来第二高的水平，主要反映估值效应。 报告摘要 跨境资本净流出规模扩大，内资流出规模达2021年以来最高水平。 2024Q3跨境资本继续净流出，净流出额为1934亿美元。2024Q3跨境资本继续净流出，净流出1934亿美元。2024Q3跨境资本净流出的主要驱动因素是内资流出 4200亿美元，达到2021Q1以来的最高水平。哪些因素推动2024Q3内资流出规模明显扩大？一是汇率变化以及资产价格上涨令外汇储备因为估值效应而增长；二是 中国企业积极实施"走出去"战略，对外直接投资持续增加；三是中国投资者通过"港股通"和"基金互认"等渠道购买境外 ...

Core Viewpoints - The article analyzes the current real exchange rate of the RMB from the perspectives of export demand, capital flow, and exchange rate determination theory, concluding that the RMB is currently reasonably valued and may experience short-term fluctuations within a specific range [1][5]. Group 1: Export and Trade Demand - The actual effective exchange rate indicates that the RMB has released downward pressure, supported by strong export performance and trade surpluses, with current account surpluses projected at $253 billion for 2023 and $422 billion for 2024 [2]. - Since 2024, the RMB has depreciated less against the USD compared to other non-USD currencies, and the RMB exchange rate index against a basket of currencies shows an upward trend [2]. Group 2: Capital Flow and Investment Demand - The estimated RMB exchange rate midpoints based on the China-US interest rate differential and risk premium are 7.50 and 7.35, respectively, indicating potential short-term depreciation pressure [3]. - The negative correlation between the China-US interest rate differential and the RMB exchange rate has been high at 93.2% since 2022, suggesting that the equilibrium exchange rate may range from 7.4 to 7.6 [3]. Group 3: Exchange Rate Determination Theory - The BEER (Behavioral Equilibrium Exchange Rate) model is deemed more effective for estimating the RMB's equilibrium exchange rate, which is projected to be between 7.3 and 7.4, with a central value of 7.35 [4]. - The relative purchasing power parity theory suggests a long-term appreciation potential of the RMB to around 6.8, while absolute purchasing power theory indicates a possible undervaluation of nearly 40% [4]. Group 4: Market Sentiment and Economic Indicators - The RMB exchange rate is expected to remain around the equilibrium midpoint of 7.30, with short-term fluctuations anticipated between 7.20 and 7.35, influenced by international balance of payments, market behavior, and sentiment [5]. - Recent manufacturing PMI data indicates a stable economic environment, with the manufacturing sector showing resilience and potential for recovery in PPI readings [6].