2025.05. 22 本文字数：1482，阅读时长大约2分钟 不过花旗集团认为，华盛顿不太可能"积极追求"疲软的美元，但随着美国与贸易伙伴达成降低关税 的协议，美元最终将下跌。 荷兰国际集团ING外汇策略主管特纳（Chris Turner）表示，七国集团会议上用于描述货币政策的措 辞极有可能保持不变，但任何调整都可能被证明是煽动性的，并打击美元。 摩根士丹利在最新发布的市场展望中积极看多美元资产，上调了对美国股市和美国国债的评级，但认 为随着美国相对于其他国家的经济增长溢价逐渐消退，以及美国与其他国家之间的债券收益率差距缩 小，美元将继续走弱。 "我们现在预测，美元指数在未来12个月内将再下跌9%，至91点，其中美 元对其避险同行欧元、日元和瑞士法郎的疲软最为明显。" 报告预测，到2026年第二季度，欧元/美 元将达到1.25，美元/日元将达到130。 美联储警告经济前景 第一财经记者汇总发现，近期多位美联储官员表达了对经济不确定性的担忧。 作者 | 第一财经 樊志菁 自穆迪将美国信用评级从Aaa下调至Aa1以来，美元开启新一轮跌势。周三，美元指数再次失守100 关口，美联储官员对经济前景和商业情绪的谨慎言 ...

美联储近日悄然买入436亿美元的美国国债，其中仅5月8日一天就购买了88亿美元的30年长期美债。尽管美联储并未正式称这是量化宽松（QE），但分析认 为这实则是一种"隐形宽松"。与此同时，全球央行购金需求强劲，3月全球央行购金64吨，中国购买量达30吨。今年迄今全球央行的黄金需求月均达94吨， 远超此前预计的80吨。此外，美联储的这一操作可能还利好新兴市场，尤其是资源丰富的拉美经济体，iSharesMSCI巴西ETF和iShares拉美40ETF今年已分别 涨约25.10%和24.53%。分析师认为，美联储的"隐秘动作"可能预示着市场将有大动作，黄金以及拉美市场的涨势可能进一步加速。 美联储购债的背景与影响 全球央行购金需求的强劲增长，特别是中国央行的大量购金行为，显示出市场对黄金的避险需求增加。黄金作为一种传统的避险资产，在全球经济不确定性 增加的背景下，其吸引力显著增强。 购金影响 全球央行的购金行为不仅对黄金市场产生了影响，还对相关金融市场产生了连锁反应。黄金价格的上涨不仅反映了市场对黄金的避险需求增加，也显示出市 场对全球经济前景的担忧。 新兴市场的受益与展望 购债背景 美联储近期的购债行为引发了市场的 ...

经济观察网讯5月21日，据报道称，美联储贝丝.哈玛克(Beth Hammack)表示，美联储已做好保持耐心的 准备；通胀预期一直保持在相当稳定的水平，如果这种情况发生变化，这可能是美联储需要采取行动的 一个信号。 贝丝.哈玛克表示，将需要更多时间了解贸易政策对企业决策的影响程度，目前美联储最好是按兵不 动。 贝丝.哈玛克是克利夫兰联储主席，克利夫兰联储(Federal Reserve Bank of Cleveland)是美国联邦储备系 统(美联储)的12家地区性储备银行之一，隶属于第四联邦储备区，覆盖俄亥俄州、宾夕法尼亚州西部、 西弗吉尼亚州北部及肯塔基州东部。 在今年4月25日召开的议息会议上，包括贝丝.哈玛克在内的美联储官员就表示，他们打算保持利率稳 定，直到他们对特朗普总统的移民、贸易和监管政策有更多了解。多位政策制定者指出，这些政策将如 何实施，以及其他国家和企业将如何应对，存在很大的不确定性。 5月8日召开的议息会议，宣布维持基准利率不变。这是美联储连续第三次维持利率不变，利率决议声明 较3月出现了调整，重点提及经济前景不确定上升——双重使命就业和通胀同时面临潜在威胁。美联储 主席鲍威尔认为当前美 ...

美国生物制药板块面临多重挑战，估值探底或现投资机会。 ①美联储隐秘购债变相QE 黄金与新兴市场或迎新机遇 美联储近日悄然买入436亿美元的美国国债，其中仅5月8日一天就购买了88亿美元的30年长期美债。尽 管美联储并未正式称这是QE（量化宽松），可能只是再投资到期债券本金，以避免资产负债表迅速缩 小，但分析认为这实则是一种"隐形宽松"。与此同时，全球央行购金需求强劲，3月全球央行购金64 吨，中国购买量达30吨。今年迄今全球央行的黄金需求月均达94吨，远超此前预计的80吨。此外，美联 储的这一操作可能还利好新兴市场，尤其是资源丰富的拉美经济体，iSharesMSCI巴西ETF和iShares拉 美40ETF今年已分别涨约25.10%和24.53%，分析称，这凸显战略性配置，旨在从美元走软与商品价格上 涨中受益。分析师认为，美联储的"隐秘动作"可能预示着市场将有大动作。黄金以及拉美市场的涨势可 能进一步加速。 评论员简佳：美联储的隐形宽松操作显示出其在当前复杂经济环境下的谨慎态度。通过悄无声息地买入 国债，美联储试图在不引起市场大幅波动的情况下，缓解资产负债表的快速缩小，为市场注入了流动 性。与此同时，全球央行 ...

Quantitative Models and Construction Methods Model Name: Net Liquidity - **Construction Idea**: Net liquidity is derived from the Federal Reserve's balance sheet, focusing on the core components of cash in circulation and bank reserves[2] - **Construction Process**: - Calculate net liquidity as total assets minus Treasury General Account (TGA) and reverse repos - Formula: $ \text{Net Liquidity} = \text{Total Assets} - \text{TGA} - \text{Reverse Repos} $ - This represents the base money supply under the money multiplier effect, directly determining the amount of money available for transactions and credit activities in the market[2][21] - **Evaluation**: Net liquidity effectively reflects the real available funds in the market, providing a clearer signal than total assets[31] Model Name: Federal Reserve Credit Support - **Construction Idea**: Federal Reserve credit support is based on the quality of collateral purchased by the Fed, aiming to enhance credit by buying lower-grade collateral[2] - **Construction Process**: - Construct the credit support indicator as the ratio of long-term government bonds, federal agency bonds, and mortgage-backed securities (MBS) to cash in circulation, reserves, and reverse repos - Formula: $ \text{Credit Support} = \frac{\text{Long-term Government Bonds} + \text{Federal Agency Bonds} + \text{MBS}}{\text{Cash in Circulation} + \text{Reserves} + \text{Reverse Repos}} $ - This indicator is smoothed and compared year-over-year to identify the direction of credit support changes[2][42] - **Evaluation**: The credit support indicator is significantly negatively correlated with credit spreads, indicating its effectiveness in reducing default risk in the economy[42] Model Name: Fed Sentiment Index - **Construction Idea**: The Fed Sentiment Index captures the sentiment of Federal Reserve officials' public statements to predict policy tendencies[3] - **Construction Process**: - Use Natural Language Processing (NLP) to analyze the sentiment of Fed officials' speeches, interviews, tweets, etc. - Assign scores ranging from extremely dovish to extremely hawkish - Calculate the total sentiment score daily to provide timely and comprehensive interpretations of Fed communication[57][59] - **Evaluation**: The Fed Sentiment Index improves the accuracy of predicting federal funds rates and bond yields, offering better differentiation for the S&P 500 compared to low-frequency document signals[59] Model Name: Market Implied Rate - **Construction Idea**: The market implied rate tracks the market's expectations of future interest rate changes based on federal funds rate futures contracts[3] - **Construction Process**: - Calculate the implied rate as $ 100 - \text{futures price} $ - Focus on the price difference between futures contracts maturing in the next month and those maturing in the month of the upcoming FOMC meeting - Smooth the quarterly differences to identify marginal changes in market expectations[68][72] - **Evaluation**: The market implied rate indicator leads actual policy rate adjustments, providing early signals of policy shifts[72] Model Name: Announcement Surprise - **Construction Idea**: Announcement surprise captures the unexpected impact of FOMC meeting decisions on market expectations[3] - **Construction Process**: - Use the price changes of federal funds rate futures contracts maturing three months after the meeting to calculate the difference between actual and implied rate changes - Sample high-frequency data 10 minutes before and 20 minutes after the meeting to precisely capture the policy expectation gap[74][75] - **Evaluation**: Announcement surprise effectively identifies the unexpected tightening or easing of Fed policies, with significant impacts on bond yields[74] Model Backtest Results Net Liquidity - **Annualized Excess Return**: 5.1% relative to S&P 500 equal-weight benchmark[92] - **Annualized Excess Return**: 7.2% relative to Nasdaq 100 equal-weight benchmark[92] - **Maximum Drawdown Reduction**: 15% for S&P 500, 31% for Nasdaq 100[92] Federal Reserve Credit Support - **Annualized Sharpe Ratio**: Enhanced for most assets during periods of increased credit support[48] Fed Sentiment Index - **Annualized Excess Return**: Significant differentiation for S&P 500 returns in hawkish vs. dovish sentiment periods[61] Market Implied Rate - **Annualized Excess Return**: Effective in predicting policy shifts, leading actual rate adjustments[72] Announcement Surprise - **Bond Yield Impact**: Higher future bond yields in unexpected easing scenarios compared to unexpected tightening scenarios[76] Quantitative Factors and Construction Methods Factor Name: Net Liquidity - **Construction Idea**: Derived from the Federal Reserve's balance sheet, focusing on cash in circulation and bank reserves[2] - **Construction Process**: - Calculate net liquidity as total assets minus TGA and reverse repos - Formula: $ \text{Net Liquidity} = \text{Total Assets} - \text{TGA} - \text{Reverse Repos} $ - This represents the base money supply under the money multiplier effect, directly determining the amount of money available for transactions and credit activities in the market[2][21] - **Evaluation**: Net liquidity effectively reflects the real available funds in the market, providing a clearer signal than total assets[31] Factor Name: Federal Reserve Credit Support - **Construction Idea**: Based on the quality of collateral purchased by the Fed, aiming to enhance credit by buying lower-grade collateral[2] - **Construction Process**: - Construct the credit support indicator as the ratio of long-term government bonds, federal agency bonds, and MBS to cash in circulation, reserves, and reverse repos - Formula: $ \text{Credit Support} = \frac{\text{Long-term Government Bonds} + \text{Federal Agency Bonds} + \text{MBS}}{\text{Cash in Circulation} + \text{Reserves} + \text{Reverse Repos}} $ - This indicator is smoothed and compared year-over-year to identify the direction of credit support changes[2][42] - **Evaluation**: The credit support indicator is significantly negatively correlated with credit spreads, indicating its effectiveness in reducing default risk in the economy[42] Factor Name: Fed Sentiment Index - **Construction Idea**: Captures the sentiment of Federal Reserve officials' public statements to predict policy tendencies[3] - **Construction Process**: - Use NLP to analyze the sentiment of Fed officials' speeches, interviews, tweets, etc. - Assign scores ranging from extremely dovish to extremely hawkish - Calculate the total sentiment score daily to provide timely and comprehensive interpretations of Fed communication[57][59] - **Evaluation**: Improves the accuracy of predicting federal funds rates and bond yields, offering better differentiation for the S&P 500 compared to low-frequency document signals[59] Factor Name: Market Implied Rate - **Construction Idea**: Tracks the market's expectations of future interest rate changes based on federal funds rate futures contracts[3] - **Construction Process**: - Calculate the implied rate as $ 100 - \text{futures price} $ - Focus on the price difference between futures contracts maturing in the next month and those maturing in the month of the upcoming FOMC meeting - Smooth the quarterly differences to identify marginal changes in market expectations[68][72] - **Evaluation**: Leads actual policy rate adjustments, providing early signals of policy shifts[72] Factor Name: Announcement Surprise - **Construction Idea**: Captures the unexpected impact of FOMC meeting decisions on market expectations[3] - **Construction Process**: - Use the price changes of federal funds rate futures contracts maturing three months after the meeting to calculate the difference between actual and implied rate changes - Sample high-frequency data 10 minutes before and 20 minutes after the meeting to precisely capture the policy expectation gap[74][75] - **Evaluation**: Effectively identifies the unexpected tightening or easing of Fed policies, with significant impacts on bond yields[74] Factor Backtest Results Net Liquidity - **Annualized Excess Return**: 5.1% relative to S&P 500 equal-weight benchmark[92] - **Annualized Excess Return**: 7.2% relative to Nasdaq 100 equal-weight benchmark[92] - **Maximum Drawdown Reduction**: 15% for S&P 500, 31% for Nasdaq 100[92] Federal Reserve Credit Support - **Annualized Sharpe Ratio**: Enhanced for most assets during periods of increased credit support[48] Fed Sentiment Index - **Annualized Excess Return**: Significant differentiation for S&P 500 returns in hawkish vs. dovish sentiment periods[61] Market Implied Rate - **Annualized Excess Return**: Effective in predicting policy shifts, leading actual rate adjustments[72] Announcement Surprise - **Bond Yield Impact**: Higher future bond yields in unexpected easing scenarios compared to unexpected tightening scenarios[76]

当全球金融市场的焦点集中在美债走势之时，日本超长期国债的结构性风险正悄然的攀升，"供需错 位"导致日本债券拍卖遇冷，超长期日债收益率跳涨或导致全球金融市场震动，而作为日本国债最大的 买家，日本央行的量化紧缩能否持续推进再次出现了较大的不确定性。 截至5月20日发稿，日本20年期国债收益率跃升至2.555%，为2000年10月以来的最高水平；日本30年期 国债收益率上涨13个基点至纪录高点3.10%；40年期国债收益率则跃升10个基点至3.591%的历史最高 点。日本基准10年期国债收益率一度升至1.525%，为3月底以来高位。 日本债券市场的供需失衡也令日本央行陷入两难局面，一方面若日本央行持续推进量化紧缩（QT）， 可能导致长端债券收益率继续上行，引发债市剧烈波动，使持债机构面临巨大账面损失，最终甚至可能 迫使央行重启收益率曲线控制（YCC）或重新实施负利率。 另一方面，如果日本央行选择提前放弃紧缩政策，重新启动量化宽松（QE），虽然有助于缓解市场波 动，但可能加剧通胀压力，导致日元大幅贬值、资本外流。 日债收益率上升的"连锁反应" 日本央行的量化紧缩能否持续？ 当地时间5月20日，日本财务省进行的1万亿日 ...

Group 1: Monetary Policy Overview - Monetary policy is a core macroeconomic tool that directly affects market liquidity, credit costs, and economic structure [1] - Interest rates and quantitative easing (QE) are the two key methods used by central banks to adjust the economy [1] Group 2: Interest Rate Tools - Interest rate tools influence economic behavior by adjusting funding costs, primarily including benchmark interest rates, reserve requirements, and discount rates [11] - The mechanism involves a transmission path where a decrease in benchmark interest rates leads to lower bank loan rates, reduced corporate financing costs, and increased investment and consumption [1][11] - In 2024, the Federal Reserve raised interest rates to 5.5% to combat high inflation by increasing borrowing costs to suppress demand [3] - In 2025, the People's Bank of China lowered interest rates by 0.6 percentage points to support financing for the real economy [4] - Advantages of interest rate tools include direct transmission and quick effects, while limitations include the zero lower bound (ZLB) constraint, which cannot address deep deflation [5] Group 3: Unconventional Liquidity Injection - When interest rates approach zero, central banks inject liquidity into the market by purchasing long-term bonds and other assets, with tools including asset purchase programs and credit facilities [6] - The mechanism involves expanding the central bank's balance sheet, increasing base money, enhancing banking system liquidity, and promoting credit expansion [8] - Advantages include breaking the zero interest rate constraint and directly increasing liquidity, while risks may include potential asset bubbles and uncontrolled inflation [12] Group 4: Coordination of Interest Rates and QE - In normal times, interest rate tools are primarily used for precise adjustments, while in crisis periods, QE and interest rate tools work together as a "dual easing" combination [13][14] - Interest rate tools typically show faster transmission effects (1-3 months) compared to QE (6-12 months) [15] - Interest rate tools cover the entire market, while QE focuses on specific sectors, with potential side effects including exchange rate volatility and increased wealth inequality [15][16] Group 5: Future Trends and Challenges - Innovations in interest rate tools include negative interest rate policies attempted in the Eurozone and Japan, though their effectiveness remains uncertain [18] - The challenge of exiting QE is highlighted by the Federal Reserve's 2017 balance sheet reduction, which led to rising U.S. Treasury yields and increased market volatility [20] - The integration of digital currencies may enhance the direct impact of interest rate policies and allow for more precise liquidity control through blockchain technology [22][23] Group 6: Summary of Policy Roles - Interest rates serve as the "steering wheel" determining the direction of funding costs, suitable for regular adjustments [24] - QE acts as the "accelerator/brake," modulating economic momentum through liquidity scale adjustments in extreme situations [25] - The principle of coordination suggests prioritizing interest rates while using QE as a safety net, with a gradual exit strategy to avoid market turmoil [26]

就在全世界都在密切关注美国国债是否会因穆迪下调评级暴跌时，真正的债券市场崩溃发生在地球另一边的日本。 日本20年期国债迎来自2012年以来最差拍卖，投标倍数跌至2.5倍，尾差飙升至1987年以来最高水平，这场债券灾难已经引发日本40年期国债收益率突破历史 高点，达3.59%。 随着日本央行量化紧缩(QT)计划受到质疑，投资者需警惕全球债券市场动荡可能引发的连锁反应，尤其是对持有日债、美债的机构投资者而言。 史诗级崩溃：日本债券拍卖惨败 日本财务省周二进行的1万亿日元（约69亿美元）20年期国债拍卖录得灾难性结果。投标倍数仅为2.5倍，远低于上月的2.96倍，创下自2012年以来的最低水 平。 更为震撼的是，尾差（Auction Tail，即平均价格与最低接受价格之间的差距）飙升至1.14，为1987年以来最高水平。 作为 债券拍卖的"温度计" ，尾差越大，意味着 市场需求极为低迷，买家基本不愿意接盘长期国债 。投资者对当前价格不买账，风险变高。 据媒体报道，日本央行本周将与市场参与者进行磋商，以评估其量化紧缩计划的进度。 国内政治因素也使日本央行关于量化紧缩政策的决定变得复杂。日本议员正在讨论是否需要减税或增 ...

美联储此举对部分新兴市场资产或构成利好，尤其是拉美等资源丰富、藏有实物资产的经济体。今年以来，iShares MSCI巴西ETF（EWZ）和 iShares拉美40 ETF（ILF）分别上涨约24%，凸显出从美元走软与商品价格上涨中受益的战略性配置。 分析认为，美联储的"静悄悄动作"或预示市场将有大动作。尽管QE通常提振美股，但在美元信任度下降、地缘政治紧张加剧背景下，黄金、比特 币和拉美市场或更具避险价值与盈利潜力，有望成为真正的"风暴避难所"。（陈十一） 【环球网财经综合报道】美联储近日悄然展开"隐秘操作"，买入436亿美元美国国债，其中5月8日单日购入88亿美元30年长期美债，其余348亿美 元于上周早些时候完成。分析师认为，美联储虽称只是将到期债券本金再投资以避免资产负债表迅速缩小，未正式称其为量化宽松（QE），但实 质上买债行为难掩"隐形宽松"本质，如此操作并非其常规之举，买入规模亦不容小觑。 一些交易员已察觉此动态，精明投资者亦应予以关注，商品交易员对这类货币"障眼法"尤为敏感。 全球央行购金热潮持续。高盛数据显示，今年3月全球央行购金需求强劲，购入64吨黄金，中国为最大可识别买家，当月购入30吨 ...

就在全世界都在密切关注美国国债是否会因穆迪下调评级暴跌时，真正的债券市场崩溃发生在地球另一边的日本。 日本20年期国债迎来自2012年以来最差拍卖，投标倍数跌至2.5倍，尾差飙升至1987年以来最高水平。这场债券灾难已经引发日本40年期国债收益率突破历 史高点，达3.59%。随着日本央行量化紧缩(QT)计划受到质疑，投资者需警惕全球债券市场动荡可能引发的连锁反应，尤其是对持有日债、美债的机构投资 者而言。 史诗级崩溃：日本债券拍卖惨败 日本财务省周二进行的1万亿日元（约69亿美元）20年期国债拍卖录得灾难性结果。投标倍数仅为2.5倍，远低于上月的2.96倍，创下自2012年以来的最低水 平。 更为震撼的是，尾差（Auction Tail，即平均价格与最低接受价格之间的差距）飙升至1.14，为1987年以来最高水平。 "结果比我预期的还要糟糕。30年和40年期债券因财政扩张风险和流动性下降而遭到抛售，但市场条件恶化现已蔓延至此前相对稳定的20年期债 券。" 作为债券拍卖的"温度计"，尾差越大，意味着市场需求极为低迷，买家基本不愿意接盘长期国债。投资者对当前价格不买账，风险变高。 这场债市惨败立即引发日本国债期货 ...