11月银行间外汇市场成交量整体下降，外汇市场日均成交量环比有所下行。中国外汇交易中心（以 下简称"交易中心"）最新数据显示，11月银行间外汇市场日均交易量为1914.58亿美元，同比下降 2.57%，环比下降6.69%。人民币外汇市场日均交易量为1462.33亿美元，同比下降5.11%。 同时，国际市场消息不断。美国政府达成协议结束"停摆"，国际地缘政治紧张局势逐步缓和，使美 元指数震荡收贬，人民币对美元汇率持续走升，连续升破7.12至7.08关口，再创年内新高。交易中心数 据显示，截至11月末，人民币对美元即期汇率（CNY）收于7.0794。11月末，CFETS人民币汇率指数收 于97.92，较上月升值0.32%。 美元指数震荡收贬 人民币汇率创年内新高 从国际市场看，11月，美元降息预期前低后高，美元指数震荡收贬。11月初，美国政府仍然"停 摆"，美联储降息态度谨慎，美元指数维持窄幅波动。月中，美国政府重启，但多位美联储官员认为仍 需保持紧缩以抑制通胀，打压美元降息预期，市场避险情绪有所升温，美元指数一度升破100点关口； 同期发布的美国9月非农新增就业超预期，但失业率小幅上行并创4年新高。下半月，美联储 ...

数据来源：ICE，Wind资讯 2025年以来，美元总体走弱。上半年，美元汇率明显贬值，从年初的110附近下行至年中低点的96.98，此后持续低位震荡。四季度，随着关税局势略有缓 和，美元汇率有所回升，但仍在100点以下徘徊。与传统认识相比，2025年以来的美元走势有以下三点不同。 一是不符合关税加征国汇率应升值的认识。特朗普第一任期内六次对华加征关税，离岸人民币均在消息宣布后迅速贬值。但在此次特朗普宣布加征"对等关 税"后，美元对主要贸易伙伴货币汇率普遍贬值。相反，在美关税出现缓和迹象时，美元反而升值。 图1 美"对等关税"缓和反而引发美元升值 内容提要 2025年以来，美元总体走弱，有以下三方面原因。从政策面看，特朗普政府经济政策是本轮美元贬值的直接原因。从资金面看，外国投资结构变化导致美元 波动放大。从基本面看，美国经济增长有所放缓，未能对美元汇率形成支撑。未来，欧、日等经济体经济走弱、特朗普极端政策碰壁、美股市保持吸引力等 因素有望支持美元汇率，美元在短期内大幅走弱可能性不大，但汇率波动幅度或将变大。长期看，美元国际货币地位或将受到挑战。 一、2025年以来美元走势及值得关注的情况 二是不符合高息国汇 ...

中金研究 日本央行（正式名称：日本银行，Bank of Japan，简称"日银"）对全球金融市场有着重要影响，2022年1月以来，我们开启"中金看日银"相 关系列报告，持续追踪日本央行动向，目前已相继发布了71篇报告（详情参考文末《中金看日银》系列报告一览表）。 结论：日本央行将于12月19日(周五)中午公布议息会议的结果。目前我们认为日本央行或将在本次会议中将政策利率由0.50%加息至0.75%。 本次加息日本央行同市场沟通充分，目前市场已经基本完成了对本次会议加息的充分定价，我们认为加息后对市场的冲击或相对有限。关注植 田行长在记者招待会中对终点利率的暗示，我们认为日本央行的终点利率或在1.0-1.5%附近，2026年日本央行将实施加息1-2次，2026年末日 本央行的政策利率或在1.00-1.25%附近。最后，在通胀发生的背景下日本财政迅速边际改善，目前日本的长端利率(2%左右)明显低于日本的名 义GDP增速(5%左右)，我们对日本的财政状况并不担心。 日本通胀与利率的"现在位置"： 在介绍本次会议的影响之前，各位投资者需要了解一下日本宏观局势的"现在位置"(图表1)，通胀方面日本过 去3年的通胀中枢基 ...

Core Viewpoint - The issuance of up to $4 billion in sovereign bonds by the Chinese government in Hong Kong is not merely a borrowing action but a strategic move to rewrite the rules of the financial system and test systemic pressures against the backdrop of international relations and financial dynamics [1] Group 1: Strategic Implications - The issuance represents a significant step in establishing a "China Dollar Curve," allowing for a new pricing framework for Chinese dollar-denominated bonds, which could reduce reliance on U.S. Treasury benchmarks [1] - By issuing bonds with a strong credit rating and no default history, China is positioning itself as a credible alternative in the global fixed income market, potentially altering the demand dynamics for U.S. Treasuries [1][5] Group 2: Financial Mechanics - The Chinese government holds $3.2 trillion in foreign reserves, with approximately $1 trillion in long-term U.S. Treasuries, and the issuance of short-term dollar bonds is a strategy to manage interest rate risk by introducing "negative duration" on the liability side [3] - The raised funds will be directed towards countries in need of foreign currency, creating a closed loop of "dollar assets—commodities—RMB settlement," enhancing the offshore RMB's liquidity and credit premium [3] Group 3: Geopolitical Context - The ongoing weaponization of currencies, particularly in the context of the Russia-Ukraine conflict, has led China to establish a high-credit, traceable record of transactions in the dollar system, which could serve as a reference point for international investors in extreme scenarios [4] - The issuance sends a strong signal of confidence in China's growth and currency management, contrasting with the rising fiscal deficit in the U.S., which could reshape the perception of safe assets in the long term [5] Group 4: Market Dynamics - The Federal Reserve's decision to increase the balance sheet reduction to $95 billion per month has created a structural shortage of offshore dollars, making the issuance of dollar bonds a strategic move to "repatriate" offshore dollars without depleting foreign reserves [6] - This action could mitigate the risks of currency depreciation among emerging markets due to dollar shortages, reinforcing the narrative of the RMB as a regional stabilizing anchor [6]

Core Insights - The report provides a comprehensive analysis of USD liquidity through a three-dimensional framework focusing on the federal funds market, repo market, and offshore USD market, monitoring liquidity changes across scale, price, and policy dimensions [1][3]. Federal Funds Market - The federal funds market is identified as the cornerstone of USD liquidity, with total reserves reflecting the banking system's liquidity level. As of September 2025, total reserves reached $3.2 trillion, accounting for 12.9% of total bank assets, indicating a reasonable liquidity level [1][11]. - The Federal Reserve's balance sheet has been decreasing since June 2022, but the reverse repo tool has acted as a buffer, preventing significant reserve withdrawal [1][3]. - The discount window is underutilized due to a "stigma effect," primarily activated during market crises [15]. Repo Market - The repo market serves as a crucial hub for USD liquidity, with the Secured Overnight Financing Rate (SOFR) being a key pricing benchmark. As of September 2025, the SOFR-ON RRP spread has increased to 16 basis points, indicating tightening liquidity conditions [2][18]. - The ratio of primary dealers' Treasury reverse repo to reserve balances was 0.88 in September 2025, showing an upward trend but still below crisis levels, suggesting that while liquidity is tightening, it is not at crisis levels [2][18]. - The standing repo facility established in 2021 provides a liquidity ceiling, supporting the market during disturbances [19]. Offshore USD Market - The offshore USD market has evolved towards "bondification" and "derivatization," with bonds replacing loans as the primary means of credit expansion. As of 2024, offshore USD bond balances have increased by 213.8% compared to 2007 [25]. - The liquidity in the offshore market is challenging to monitor through quantity indicators, with currency swap basis becoming a core observation metric. The trend of the currency swap basis has narrowed in 2025, indicating ample offshore USD liquidity [25][30]. - The Federal Reserve's central bank liquidity swaps and FIMA repo facility are essential tools for maintaining offshore market liquidity stability, especially during crises [34][39].

Core Insights - The report constructs a "3×3" matrix for analyzing USD liquidity, focusing on the federal funds market, repo market, and offshore USD market, while monitoring liquidity changes across scale, price, and policy dimensions [1][6][8] - Current structural pressures on USD liquidity are attributed to the Federal Reserve's balance sheet reduction and large-scale debt issuance, but the likelihood of a comprehensive liquidity crisis remains low under non-extreme conditions due to robust policy tools [1][3][6] Federal Funds Market - The federal funds market is the cornerstone of USD liquidity, with a focus on scale indicators. The Fed's balance sheet reduction since June 2022 has decreased total assets to 74.1% of the June 2022 level, but reverse repo tools (RRP) have provided a buffer, maintaining reserves at $3.2 trillion as of September 2025, which is 12.9% of total bank assets [1][13] - The effective federal funds rate (EFFR) remains stable within the interest on reserves balance (IORB) of 4.15% and ON RRP of 4.0%, with discount window usage being restrained due to stigma effects [1][17] Repo Market - The repo market is a critical liquidity hub, with the secured overnight financing rate (SOFR) and primary dealer market-making capabilities as core observation points. Since September 2025, SOFR has fluctuated around the upper limit of the rate corridor, with a spread to ON RRP increasing to 16 basis points, indicating marginal tightening [2][20] - The ratio of primary dealer reverse repos to reserves has risen to 0.88, reflecting ongoing pressure, although it remains below crisis levels [2][20] Offshore USD Market - The offshore USD market has shown characteristics of "bondification" and "derivatization," with currency swap basis as a key observation indicator. Since 2025, the cross-currency basis for euro/USD and yen/USD has narrowed, indicating maintained offshore liquidity [2][27] - The use of central bank currency swaps and FIMA repo facilities during crises serves as significant signals of systemic liquidity pressure, with both tools available to address liquidity needs across various market levels [2][35][38] Future Outlook - Future USD liquidity faces multiple contraction pressures, including ongoing balance sheet reduction by the Fed and increased Treasury issuance, which may lead reserves to drop below $3 trillion by September 2025, approaching a critical threshold of $2.7 trillion [3][6] - The Fed has established a multi-layered liquidity management toolset, which includes the discount window, SRF, FIMA repo, and central bank currency swaps, to mitigate systemic risks under non-extreme conditions [3][6]

Group 1: RMB Exchange Rate Trends - Since August 25, 2025, the RMB has experienced a smooth appreciation trend, ending a previous three-week narrow fluctuation[6] - The RMB exchange rate is expected to remain above 7 for the year, with significant appreciation dependent on the stability of the Chinese economy and high-quality development[3] - The RMB has a considerable "rebound" potential, contingent on the pace of the decline in the US-China interest rate differential[7] Group 2: Market Influences - Recent adjustments in the RMB central parity rate are primarily driven by a weakening US dollar, aligning with normal pricing mechanisms[17] - The RMB's relative weakness against the US dollar reflects the impact of the second round of US-China trade disputes, with a maximum depreciation of 9.2% noted[9] - The RMB's exchange rate is closely related to the US-China interest rate differential, with a significant correlation observed since 2022[14] Group 3: Capital Flow Dynamics - Positive changes in cross-border capital flows are noted, including a sustained high trade surplus and a slowdown in China's outward direct investment[43] - The average monthly trade surplus in foreign exchange payments increased from $33.9 billion to $70.7 billion, indicating a doubling effect[27] - The shift from "currency hoarding" to "currency settlement" among foreign trade enterprises has catalyzed RMB appreciation, with the critical threshold around 7[30] Group 4: Risk Factors - Risks include the potential underperformance of growth stabilization policies, deterioration in US-China trade negotiations, and unexpected resilience in the US economy[2] - The RMB's appreciation may face challenges if the market's expectations for its stability do not solidify, particularly around the 7 mark[41]

Core Insights - The article celebrates the 75th anniversary of "China Finance" magazine, highlighting its role in documenting and participating in the evolution of China's financial sector [1] - The concept of social financing scale (社融) is introduced as a unique financial macro-monitoring and regulatory indicator in China, established through collaborative efforts over five years [2][3] - The article discusses the regional disparities in social financing, noting that the share of social financing increment in central and western regions has increased significantly from 38.6% in 2015 to 43.6% in 2024, indicating a shift in financial resource allocation [4] Social Financing Scale - Social financing scale is recognized as a significant indicator for macroeconomic monitoring and has been included in central economic work reports for 15 consecutive years [2] - The theoretical foundation and international experiences related to social financing are explored, emphasizing its relevance to China's financial policy innovations [3] Regional Development - The article emphasizes the regional structural characteristics of social financing, reflecting economic disparities and development trends across China [4] - The increase in social financing in central and western regions suggests enhanced financial support for these areas, while the northeastern region has seen a decline in its share [4] Financial Reform - The article discusses the need for coordinated reforms in interest rates, exchange rates, and capital account openness as essential conditions for the internationalization of the Renminbi [5][6] - It highlights that capital account openness in China is a managed process rather than a free flow of capital, with a focus on optimizing the path to reduce risks [6] Currency and Virtual Currency - The article argues that virtual currencies, such as Bitcoin, lack the essential characteristics of money, primarily due to the absence of state credit support [8][9] - It points out the volatility of virtual currencies, which undermines their function as a stable medium of exchange, contrasting them with state-backed currencies [10]

- The report constructs a quantitative timing indicator for the US Dollar Index by integrating five key factors: US economic fundamentals, US interest rate advantage, USD long-short position differences, global financial stress, and US fiscal deficit[1][16][22] - The construction process involves detrending, denoising, and standardizing these factors, followed by equal-weighted synthesis to form the final timing indicator[2][25] - The timing indicator is effective in predicting the US Dollar Index's upward trend when it is above the zero axis and marginally rising, with a success rate of 74.1% in such conditions[2][29][35] Model and Factor Construction 1. **Model Name**: US Dollar Timing Indicator - **Construction Idea**: Integrate multiple economic and financial factors to predict the US Dollar Index's movements[1][16] - **Construction Process**: 1. Identify five key factors influencing USD demand: US economic fundamentals, US interest rate advantage, USD long-short position differences, global financial stress, and US fiscal deficit[1][16][22] 2. Detrend the factors with long-term trends using rolling HP filter[25] 3. Denoise and standardize the factors[25] 4. Combine the factors with equal weights to form the final timing indicator[25] 5. The indicator uses zero as the historical fluctuation center, indicating a tendency for the USD Index to rise when above zero[25] - **Evaluation**: The indicator effectively predicts the USD Index's upward trend when above zero and marginally rising, with a 74.1% success rate[2][29][35] Model Backtesting Results 1. **US Dollar Timing Indicator** - **0 Axis Above + Marginally Rising**: 74.1% probability of USD Index rising next month[29][35] - **0 Axis Above + Marginally Falling**: 48.0% probability of USD Index rising next month[35] - **0 Axis Below + Marginally Rising**: 35.4% probability of USD Index rising next month[35] - **0 Axis Below + Marginally Falling**: 49.0% probability of USD Index rising next month[35] - **Overall Sample**: 52.3% probability of USD Index rising next month[35]

Core Viewpoint - The article discusses the recent fluctuations in the Hong Kong Interbank Offered Rate (Hibor) and its implications for the international monetary system, particularly in the context of the "de-dollarization" trend and the structural changes in global finance [2][25]. Group 1: Hibor Mechanism - Hibor reflects the average overnight borrowing rates among 20 major banks in Hong Kong and is influenced by the Hong Kong Monetary Authority's (HKMA) efforts to maintain a fixed exchange rate with the US dollar [3][5]. - The HKMA's actions to stabilize the currency involve adjusting liquidity in the banking system, which directly impacts Hibor rates [5][6]. Group 2: Hibor's Unexpected Low Levels - From May to August, Hibor experienced a significant drop from over 4% to near 0%, remaining at historical lows for three months before rising again [6][10]. - The prolonged low levels of Hibor were attributed to a decrease in the attractiveness of US dollar assets, which reduced the scale of carry and arbitrage trades that typically influence Hibor [6][15]. Group 3: International Monetary System Implications - The sustained low Hibor levels are seen as a reflection of the ongoing restructuring of the international monetary system, moving from a dollar-centric model to a more diversified framework [25][27]. - The article highlights two trends in this restructuring: fragmentation, indicating a return to local preferences in capital allocation, and diversification, where investors increasingly favor alternative assets like the Chinese yuan [27][15].