广发证券 资深宏观分析师 陈礼清 博士 chenliqing@ gf.com.cn 广发宏观郭磊团队 报告摘要 第一， 今年以来， 人民币汇率走势与国内资产走势维持着同步性。在7月份的报告《容易被忽视的本轮人民币升值》中，我们认为4月中旬以来人民币升值主要是 风险溢价的变化驱动，短期内的演绎需要观察中美贸易条件、逆周期政策、供求关系如何接续等线索。在这篇报告中，我们进一步构建了一套基于企业居民等微观 主体、外汇衍生品资金等来实时监测汇率预期的方法论体系，以期对汇率短期走势做到"看一步半走一步"。 第二， 先来介绍汇率预期因素与其他大类资产预期的独特性。一是反身性，学术研究发现汇率升贬预期具有自我实现性，存在汇率超调风险，因此政策层同样需要 保持关切；市场交易者（以索罗斯为代表）则强调外汇市场的连续反身系统，而普通权益的反身性只是短暂间歇存在。"投机性资本"在外汇与股票市场上的影响力 有显著差异，而投机性的资本看重"总回报率"又反过来容易受市场未来汇率预期驱动，最终短期可能出现"基本面"对汇率的影响链条被投机性资本扭曲的现象。二 是异质性。由于不同主体对于国内基本面存在不同理解、外汇信息传递过程中也可能存在时滞 ...

Core Viewpoint - The relationship between U.S. interest rate changes and China's monetary policy is complex, and the assumption that China should simply "loosen" its monetary policy when the U.S. lowers rates is overly simplistic [1][3][12]. Group 1: Impact of U.S. Interest Rate Changes - When the U.S. Federal Reserve lowers interest rates, it increases global dollar liquidity, but this does not automatically lead to capital flowing into China [3][5]. - Conversely, when the U.S. raises interest rates, it attracts capital back to the U.S., putting pressure on China and potentially leading to significant capital outflows [5][10]. - In 2016, the capital outflow from China reached approximately $485.3 billion due to U.S. interest rate hikes, highlighting the impact of U.S. monetary policy on China's financial stability [5][10]. Group 2: China's Monetary Policy Response - China's monetary policy is not simply reactive; it requires careful consideration of various factors such as the China-U.S. interest rate differential, expectations for the yuan's exchange rate, and capital control policies [9][10]. - In 2022, during a period of U.S. monetary easing, China adopted a strategy of increasing exchange rate flexibility and controlling capital inflows while encouraging moderate capital outflows, rather than blindly loosening monetary policy [7][10]. - The complexity of capital flows means that a simplistic view of U.S. interest rate changes leading to immediate policy shifts in China is misleading [12][14].

Group 1: Hot News - A so - called "resignation letter of Federal Reserve Chairman Powell" circulated on social media "X", but it was fake. Federal Housing Finance Agency Director Pulte believes Powell will resign soon, while the US Treasury Secretary and Trump have different views on his resignation and interest rate cuts [2][3] - In Q2 2025, financial institutions' RMB loans reached 268.56 trillion yuan, up 7.1% year - on - year. RMB real estate loans were 53.33 trillion yuan, up 0.4%. Real estate development loans were 13.81 trillion yuan, up 0.3%, and personal housing loans were 37.74 trillion yuan, down 0.1% [2] - The State Administration of Foreign Exchange said the market has no obvious unilateral expectation of RMB appreciation or depreciation, and trading is rational [3] Group 2: Key Focus - Key commodities to focus on are coking coal, soda ash, coke, industrial silicon, and glass [4] - Night - session performance: Non - metallic building materials rose 2.57%, precious metals 29.35%, oilseeds 12.26%, soft commodities 2.90%, non - ferrous metals 19.19%, coal - coking - steel - ore 14.73%, energy 3.13%, chemicals 11.92%, grains 1.19%, and agricultural and sideline products 2.75% [4] Group 3: Commodity Futures Positions - The chart shows the changes in commodity futures positions in the past five days for different sectors [5] Group 4: Performance of Major Asset Classes - In the equity category, the Shanghai Composite Index rose 0.62% daily, 3.99% monthly, and 6.86% annually. Other indices like S&P 500, Hang Seng Index also have different performance [6] - In the fixed - income category, 10 - year, 5 - year, and 2 - year treasury bond futures all had negative changes [6] - In the commodity category, CRB commodity index, WTI crude oil, London spot gold, LME copper, and Wind commodity index had different price movements [6] - In other categories, the US dollar index and CBOE volatility also showed specific changes [6] Group 5: Major Commodity Trends - The report presents the trends of various commodities such as the Baltic Dry Index, CRB spot index, WTI crude oil, London spot gold, LME copper, etc., and also shows the risk premium of some equity indices [7]

Core Viewpoint - The current market does not have a clear expectation for the appreciation or depreciation of the Renminbi, with rational and orderly trading observed in the foreign exchange market [1] Summary by Relevant Categories Market Expectations - The foreign exchange market indicators, including forward and options markets, show no significant expectation for the Renminbi to appreciate or depreciate [1] Market Behavior - Overall, there are no irrational trading behaviors such as panic buying or selling, indicating a stable trading environment [1]