证券研究报告·宏观报告·宏观周报 宏观量化经济指数周报 20260301 开门红：工业、地产和出口 2026 年 03 月 01 日 [Table_Tag] [Table_Summary] 观点 ◼ 经济高频数据： 证券分析师 芦哲 执业证书：S0600524110003 luzhe@dwzq.com.cn 证券分析师 李昌萌 执业证书：S0600524120007 lichm@dwzq.com.cn 证券分析师 王洋 执业证书：S0600524120012 wangyang@dwzq.com.cn 相关研究 《市场稳定趋势延续，行业如何配 置？》 2026-02-26 《从利率曲线"久期分割"看 2026 年 货币政策空间》 2026-02-25 东吴证券研究所 1 / 17 请务必阅读正文之后的免责声明部分 ◼ 周度 ECI 指数：从周度数据来看，截至 2026 年 3 月 1 日，本周 ECI 供 给指数为 49.92%，较上周回落 0.16 个百分点；ECI 需求指数为 49.88%， 较上周环比持平。从分项来看，ECI 投资指数为 49.92%，较上周环比回 落 0.03 个百分点；ECI 消费指数 ...

Report Industry Investment Rating - The investment rating for the bond futures in the macro and finance sector is "volatile" [1] Core Viewpoints of the Report - On Friday, the main contracts of bond futures opened higher across the board and fluctuated upwards throughout the day, with the 30-year variety showing stronger performance. The 1-year inflation expectation in the US dropped from 4% to a 13-month low of 3.5%. The official manufacturing PMI in January was 49.3%, falling back below the boom-bust line. The bond futures may fluctuate in the short term, and trading investors are advised to conduct band operations [1][2] Summary by Relevant Catalogs Market Review - On Friday, the main contracts of bond futures opened higher across the board and fluctuated upwards throughout the day. The 30-year bond futures main contract TL2603 rose 0.42%, the 10-year T2603 rose 0.08%, the 5-year TF2603 rose 0.03%, and the 2-year TS2603 rose 0.02%. The Wind All A index opened lower, rose in the morning session, and slightly declined in the afternoon, closing down 0.19% from the previous trading day, forming a small Yang line with an upper shadow, with a trading volume of 2.16 trillion yuan, a slight contraction compared to the previous trading day's 2.19 trillion yuan [1][2] Important Information - Open market: On Friday, the central bank conducted 31.5 billion yuan of 7-day reverse repurchase operations and 300 billion yuan of 14-day reverse repurchase operations. With 477.5 billion yuan of reverse repurchases maturing on the same day, the net withdrawal was 146 billion yuan. - Money market: On Friday, the overnight interbank funding market rate remained flat compared to the previous trading day. The weighted average of DR001 throughout the day was 1.32%, and that of DR007 was 1.48%. - Cash bond market: On Friday, the closing yields of interbank government bonds declined compared to the previous trading day. The yield to maturity of the 2-year government bond dropped 0.37 BP to 1.36%, the 5-year dropped 1.34 BP to 1.56%, the 10-year dropped 0.67 BP to 1.81%, and the 30-year dropped 2.00 BP to 2.25%. - US policy: The US President signed an executive order to impose tariffs on countries trading with Iran, but no new tariffs have been added for now. The US and Iran held "very good talks," and the US will negotiate with Iran again next week. - US inflation expectation: The 1-year inflation expectation in the US dropped from 4% to a 13-month low of 3.5% [1] Market Logic - In January, the official manufacturing PMI was 49.3%, falling back below the boom - bust line, with the new order index at 49.2%, indicating a decline in manufacturing market demand. The business activity index of the construction industry in January was 48.8%, and that of the service industry was 49.5%, remaining below the boom - bust line for the third consecutive month. The Ministry of Finance stated that in 2026, the fiscal deficit, total debt, and total expenditure will be maintained at a necessary level. The central bank governor said that there is still room for reserve requirement ratio cuts and interest rate cuts this year [1][2] Trading Strategy - Trading investors are advised to conduct band operations [2]

● 本报记者 彭扬 （DR001）的波动性也会较往年平均水平有所收敛。"王青说。 国债买卖工具有望加力 1月29日，中国人民银行以固定利率、数量招标方式开展了3540亿元7天期逆回购操作。当日，公开市场 有2102亿元7天逆回购到期，因此实现净投放1438亿元。 专家表示，央行近期多措并举，释放明确维护流动性意图，将继续综合运用公开市场操作等多种货币政 策工具，确保流动性处于充裕水平。 节前流动性缺口压力不大 专家表示，1月以来，信贷"开门红"发力、春节前居民取现需求攀升、年初政府债供给压力阶段性抬升 等多重因素，对当前市场流动性产生一定影响。不过，央行近期对1月到期的中期借贷便利（MLF）大 幅超额续做，明确释放出主动呵护流动性的政策意图。 "考虑到2026年1月MLF净投放7000亿元，买断式逆回购净投放3000亿元，春节前已实现1万亿元左右的 中长期资金投放，相当于降准50个BP左右的效果。"兴业证券首席固收分析师左大勇说。 左大勇预计，2月初央行或逐渐重启14天期逆回购操作，且2月5日、15日左右大概率会分别开展3个月 期、6个月期买断式逆回购，预计节前流动性缺口压力不大。 为应对潜在流动性可能存在收 ...

Economic Indicators - As of January 25, 2026, the ECI supply index is at 50.06%, up 0.10 percentage points from the previous week, while the demand index remains stable at 49.84%[8] - The ECI investment index is at 49.83%, unchanged from last week, and the consumption index is at 49.65%, down 0.01 percentage points[8] - The ECI export index has increased to 50.22%, up 0.02 percentage points from last week[8] Industrial Production - The operating rate for automotive full steel tires has improved by 20.6 percentage points year-on-year, while the cement shipment rate has increased by 13.4 percentage points compared to the same period last year[2] - The overall industrial production shows significant improvement due to the timing of the Spring Festival, with various industries experiencing better operating rates compared to last year[17] Real Estate Market - The sales growth of second-hand homes continues to recover, with a year-on-year increase of approximately 10.9% for the week of January 17-23, 2026, marking the first positive year-on-year change since October 2025[2] Consumer Market - The retail sales of passenger cars are expected to rebound from a year-on-year decline of -14.0% in December 2025 to a growth of 0.3% in January 2026[2] - The "trade-in" policy has shown positive effects, with significant improvements in appliance sales during the week of January 12-18, 2026[2] Export Performance - The cumulative cargo throughput at monitored ports in January 2026 is recorded at an average of 25,967.4 million tons, reflecting a year-on-year growth of approximately 3.5%[2] - January exports are expected to maintain strong resilience, supported by a higher number of working days compared to the previous year[2] Inflation Trends - The average wholesale price of pork has increased to 18.48 yuan/kg, showing a marginal recovery, while the average price of 28 key monitored vegetables is at 5.65 yuan/kg, also reflecting a slight increase[44] - The CPI is expected to continue rising due to the seasonal demand for food products and the increase in international oil prices[2] Monetary Policy - The MLF (Medium-term Lending Facility) has been preemptively rolled over with an excess of 9,000 billion yuan, indicating a total liquidity injection of 1 trillion yuan in January 2026[16] - The ELI index stands at -0.71%, having increased by 0.07 percentage points from the previous week, indicating a slight improvement in liquidity conditions[13] Risk Factors - Uncertainties remain regarding U.S. tariff policies and the potential for policy measures to fall short of market expectations[59] - The sustainability of improvements in the real estate market is still under observation[59]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - Last week, the bond market recovered, with relatively stable credit spreads and narrowing spreads for Tier 2 and perpetual bonds. The weakening of the stock - bond seesaw effect and positive factors such as better - than - expected 30 - year Treasury bond issuance and regulatory measures on the A - share market improved bond market sentiment. Although the expected RRR cut did not materialize, the central bank's press conference sent positive signals, and the bond market may continue to repair [2][14]. - The central bank emphasized that there is still room for RRR cuts and interest rate cuts. Considering economic data and market conditions, these measures may be implemented around the Two Sessions in March. The central bank may also flexibly adjust its bond - buying operations in response to bond supply and yield curve changes [3][20]. - Despite potential disturbances to the capital market in the future, the central bank is likely to maintain loose liquidity. The DR001 central rate in January is expected to be around 1.3% - 1.35% [5][49]. - December's financial data was better than expected, but there is still pressure for the subsequent decline in social financing and M2 growth rates. The bond market may face short - term disturbances as interest rates approach previous lows, but there are signs of an interest rate peak, and there is no need to be overly pessimistic about the bond market [52][74]. 3. Summary by Relevant Catalogs 3.1 1 - month RRR cut did not materialize, but the central bank's press conference sent positive signals in terms of policy and bond - buying space - The central bank emphasized that there is still room for RRR cuts and interest rate cuts. External factors do not strongly constrain interest rate cuts, and the reduction of the central bank's re - lending rate creates conditions for interest rate cuts. The RRR cut may be postponed due to concerns about overheating in the capital market [3][20]. - The central bank can tolerate M2 and social financing growth rates being higher than the target to a certain extent and may maintain a loose liquidity environment to support credit. The central bank also elaborated on the significance of Treasury bond trading and may increase the scale and extend the term of bond purchases [4][27]. 3.2 Mismatch between capital injection and leakage caused fluctuations, and the non - implementation of the RRR cut did not hinder capital loosening - In December, the decline in government deposits was lower than expected, resulting in a lower - than - expected excess reserve ratio of 1.6%. The capital remained loose possibly due to abundant non - bank liquidity [32]. - In the first week of January, the excess reserve ratio was estimated to be only 0.9% due to OMO net withdrawal and government bond net payment. External disturbances such as government bond net payment, maturity of repurchase agreements, and North Exchange IPO subscriptions led to a temporary tightening of capital, but the situation eased after the central bank's operations [38]. - In the next month, factors such as tax payments, government bond payments, and cash - withdrawal demand may disrupt the capital market. However, the central bank's attitude indicates that the capital market is unlikely to experience significant fluctuations, and the DR001 central rate in January is expected to be around 1.3% - 1.35% [44][49]. 3.3 December's financial data was better than expected, but the subsequent social financing and M2 growth rates may continue to decline - In December, new credit was 9100 billion yuan, better than expected. Corporate credit improved, but household credit was weak. The decline in household short - term and medium - long - term loans shows that the real estate market is still clearing, and households are repairing their balance sheets [52]. - December's new social financing was 2.21 trillion yuan, and the stock's year - on - year growth rate dropped to 8.3%. Although it was better than expected, there is still pressure for a decline in the subsequent social financing growth rate due to the high base of Q1 credit and the slowdown in government bond net supply [58]. - In December, the M2 growth rate rose to 8.5%. The increase was mainly due to factors such as bank foreign exchange settlement surplus and non - bank deposit base effects. However, the M1 growth rate declined, indicating a possible slowdown in deposit activation [59][65]. 3.4 Interest rates are approaching previous lows and may face disturbances, but the trend of shock repair is still expected to continue - After last week's repair, the yields of Treasury bonds of various maturities (except ultra - long - term) are lower than those at the end of 2025. Although the market may face short - term disturbances as interest rates approach previous lows, the strong configuration willingness of banks and insurance companies is a clear signal of an interest rate peak [74]. - There is no need to be overly pessimistic about the bond market. If the capital remains loose and government bond supply does not cause the expected impact, the 10 - year Treasury bond may break through the December low of 1.83%. It is recommended to maintain a certain leverage and participate in the trading opportunities of 10 - year policy - financial bonds [8][74].

1. Report Industry Investment Rating - The report does not mention the industry investment rating [1][5] 2. Core Viewpoints of the Report - The central bank's reduction of various structural monetary policy tool interest rates by 25bp reflects support for the "five major articles of finance", helps stabilize the net interest margin of banks, and indicates a continued loose monetary policy, but does not directly lead to an immediate decline in interest rates or a follow - up reduction in LPR [5][13][14] - There is still room for reserve requirement ratio cuts (130bp) and interest rate cuts in 2026, but the probability of a comprehensive interest rate cut is low before the Two Sessions and the first release of 2026 economic data [5][14] - The central bank will increase liquidity injection, and the overnight interest rate is expected to be slightly lower than 1.40%, which does not mean a tightening of liquidity [20] - In 2026, the central bank's treasury bond trading will mainly cooperate with fiscal policies, and it is more concerned about risks of large - scale unilateral changes in interest rates [22] 3. Summary by Relevant Catalogs 3.1 Structural Monetary Policy Interest Rate Cuts - On January 15, 2026, the central bank announced a series of monetary and financial policies, including a 0.25 - percentage - point cut in various structural monetary policy tool interest rates. After the cut, the 1Y agricultural and small - business re - loan and other special tool interest rates are 1.25%, lower than the 7DOMO policy rate [5][8][13] - The reduction in interest rates can reduce banks' interest - paying costs and help stabilize the net interest margin. It is estimated that by the end of December 2025, the balance of the central bank's structural monetary policy tools will be around 5.4 trillion yuan, and the interest savings after the rate cut will be about 13.5 billion yuan. Even if all tools are fully utilized, the interest savings will only slightly exceed 20 billion yuan [5][13] - The interest rate cut does not directly lead to a decline in interest rates, and it does not meet the conditions for an LPR follow - up reduction [5][13] 3.2 Future Reserve Requirement Ratio and Interest Rate Cut Space - The central bank stated that there is still room for reserve requirement ratio and interest rate cuts in 2026 [14] - The current average statutory deposit reserve ratio of financial institutions is 6.3%, and it is expected that 5% is the bottom line, leaving a 130bp cut space [14] - The main constraint for interest rate cuts is the pressure on banks' net interest margins. Although there are factors conducive to stabilizing the net interest margin, the probability of a comprehensive interest rate cut before the Two Sessions and the first release of 2026 economic data is low [14] 3.3 Follow - up Capital Market Conditions - The central bank will continue to increase liquidity injection, keep liquidity abundant, and guide the overnight interest rate to run around the policy rate [20] - The overnight interest rate in December 2025 was generally below 1.30%. Due to the dislocation of repurchase operations, the overnight interest rate rose to 1.30% - 1.40%. It is estimated that an overnight interest rate slightly lower than 1.40% is appropriate, which does not mean a tightening of liquidity [20] 3.4 Follow - up Treasury Bond Trading - In 2025, the net investment of repurchase operations was 3.8 trillion yuan, mainly achieved through treasury bond trading [22] - Two perspectives can be used to observe the central bank's treasury bond holdings. In 2025, the balance of the central bank's claims on the central government decreased by 67 billion yuan, while the balance of other institutions' treasury bond holdings increased by 37 billion yuan, and the balance of local government bond holdings of other institutions increased by 290 billion yuan [22] - In 2026, the central bank's treasury bond trading will mainly cooperate with fiscal policies, help ensure the smooth issuance of treasury bonds at a reasonable cost, and play a role in preventing market risks. The adjustment of the 10 - year treasury bond yield range may not represent a clear regulatory target [22] 3.5 Other New Monetary and Financial Policies - Merge and use the agricultural and small - business re - loan and rediscount quotas, increase the agricultural and small - business re - loan quota by 500 billion yuan, and set up a private enterprise re - loan quota of 1 trillion yuan [8] - Increase the science and technology innovation and technological transformation re - loan quota by 400 billion yuan and expand the scope of support [8] - Merge and manage the private enterprise bond financing support tool and the science and technology innovation bond risk - sharing tool, with a total re - loan quota of 200 billion yuan [8] - Reduce the minimum down - payment ratio for commercial housing loans to 30% to support the de - stocking of the commercial real estate market [9]

Core Viewpoint - The People's Bank of China (PBOC) signals that there is room for further interest rate cuts and reserve requirement ratio (RRR) reductions in 2026, aiming to support economic stability and reasonable price recovery [5][6]. Monetary Policy Adjustments - The average RRR for financial institutions is currently 6.3%, indicating potential for RRR cuts [5]. - The PBOC plans to lower the interest rates of various structural monetary policy tools to enhance support for key sectors and weak links [14][17]. - A reduction of 0.25 percentage points in the re-lending and re-discount rates will take effect on January 19, 2026, with new rates set for different loan terms [14]. Government Bond Operations - The PBOC will flexibly conduct government bond trading operations to maintain liquidity and support the smooth issuance of government bonds [8]. - In 2025, the total issuance of government bonds reached 16 trillion yuan, with a net increase of 6.6 trillion yuan, indicating a robust bond market [8]. Support for Commercial Real Estate - The minimum down payment ratio for commercial property loans has been reduced from 50% to 30%, aimed at stimulating the commercial real estate market [10]. Exchange Rate Policy - The PBOC maintains a clear and consistent exchange rate policy, emphasizing stability in the RMB exchange rate and rejecting competitive devaluation [12]. Support for Private Enterprises - The PBOC has increased the re-lending quota for supporting agriculture and small enterprises by 500 billion yuan, now including medium-sized private enterprises [16]. - The total quota for re-lending to private enterprises is set at 1 trillion yuan, with terms aligned with existing policies [16]. Price Stability Considerations - The CPI rose by 0.8% year-on-year in December 2025, marking the highest level since March 2023, prompting the PBOC to focus on promoting reasonable price recovery as part of its monetary policy [20].

1月15日，国新办举行新闻发布会，介绍货币金融政策支持实体经济高质量发展成效。中国人民银行新闻发言 人、副行长邹澜重磅宣布八项政策，为2026开年货币政策实施奠基。与此同时，邹澜就降准降息等总量政 策、恢复国债买卖、当前物价走势等进行解释与预测。整体来看，2026年货币政策将继续以"适度宽松"为基 调，把促进经济稳定增长、物价合理回升作为重要考量，保持流动性合理充裕，同时各类结构性货币政策工 具精准发力。 结构性工具：降利率、增额度、合并整理 八项政策中，多数为针对结构性货币政策工具的调整，包括降利率、增额度、合并整理。 具体来看，一是下调各类结构性货币政策工具利率0.25个百分点。各类再贷款一年期利率从目前的1.5%下调到 1.25%，其他期限档次利率同步调整。 二是将支农支小再贷款与再贴现打通使用，增加额度，并单设民营企业再贷款。合并使用支农支小再贷款与 再贴现额度，增加支农支小再贷款额度5000亿元，总额度中单设一项民营企业再贷款，额度1万亿元，重点支 持中小民营企业。 三是增加科技创新和技术改造再贷款额度并扩大支持范围。将科技创新和技术改造再贷款额度从8000亿元， 增加4000亿元至1.2万亿元，并 ...

1. Report Industry Investment Rating No information provided in the content. 2. Core View of the Report The current bond market decline is due to the constraint of the "impossible triangle," and before the supply pressure of ultra - long bonds is fully digested by the market, the bond market is unlikely to have a trend - based opportunity. It is expected that the long - end yield will continue to show a weak and volatile trend. The long - end yield of the 30 - year Treasury bond is expected to fluctuate in the range of 2.2% - 2.4%, and the bond market may have a phased repair opportunity in the second half of the first quarter of 2026 [2][8][41]. 3. Summary According to the Directory 3.1 Current Bond Market's "Impossible Triangle" Since the second half of 2025, the bond market has been falling continuously. After the People's Bank of China's unexpected "hawkish" Treasury bond trading operation in November 2025, the market is worried about the carrying pressure of ultra - long - term interest - rate bonds, and the supply of ultra - long bonds has become the core contradiction. From early November 2025 to January 7, 2026, the yield of the 30 - year Treasury bond rose by about 20 basis points, and the price of the ultra - long - term Treasury bond futures (TL) fell by nearly 6 yuan. The current market decline is due to the "impossible triangle" constraint, that is, the following three cannot hold simultaneously: fiscal policy continues to lengthen the debt issuance duration, the central bank does not buy long - duration Treasury bonds, and does not change the interest - rate risk sensitivity index restrictions for banks [4][15]. 3.2 Outlook for the People's Bank of China's Treasury Bond Trading Operations in 2026 It is expected that the People's Bank of China will continue to mainly buy short - duration Treasury bonds, maintaining a "high - frequency and small - volume" monthly operation mode, and guiding the market to reduce irrational expectations and excessive attention to this tool. Treasury bond trading will return to a normal and regular liquidity management tool, and its impact on the bond market will be neutral. Overseas experience shows that large - scale purchases of long - term bonds usually occur when the policy rate drops to a very low level or even zero. Since the domestic policy rate still has a 140 - basis - point space, it is too early for unconventional policies. The current Treasury bond trading operations of the Chinese central bank are more similar to Reserve Management Purchases (RMP) rather than Quantitative Easing (QE) [5][19][20]. 3.3 Outlook for Fiscal Debt Issuance Duration in 2026 Theoretically, when interest rates continue to adjust, local governments will shorten the debt issuance duration. However, this process may face two problems. First, it is a slow process for local governments to actively shorten the duration. The proportion of new local bonds in the stock of local bonds is not high, and the increase in interest expenditure caused by long - duration debt issuance is not significant in the short term, so the possibility of local governments significantly shortening the duration in the short term is low. Second, the term arrangement of local government bond issuance has high flexibility, and the Ministry of Finance does not restrict the scale and quantity of long - term local bond issuance. Therefore, the overall duration of local government stock debt is difficult to significantly shorten in a short time [23]. 3.4 Views on Adjusting Banks' Interest - Rate Sensitivity Indicators Although the adjustment of interest - rate sensitivity indicators can increase the bond - allocation capacity of large banks to some extent, the maturity mismatch trend between the asset and liability ends of banks has been deepening in recent years, and the adjustment of indicators is difficult to significantly expand the ability of large banks to undertake long - term bonds. According to the revision of the regulatory standards for interest - rate risk in the banking book by the Basel Committee in July 2024, the interest - rate parallel upward shock parameter should be lowered from 250BP to 225BP. Based on the data of the six major banks at the end of 2024, this parameter adjustment can release about 1.23% of the indicator space on average, corresponding to about 172.2 billion yuan of Tier - 1 capital. In the scenario of still considering a 250 - basis - point extreme shock and calculating based on the modified duration of 8.35 years of the stock local government bonds, it is expected to add about 824.568 billion yuan of bond - allocation capacity for large banks. However, the maturity mismatch between assets and liabilities of banks is still deepening, with the liability side showing a trend of current - account and non - bank deposits, and the asset side showing a long - term trend, so the ability of banks to undertake long - term bonds is still limited [35]. 3.5 Outlook for the Bond Market The bond market still faces the constraint of the "impossible triangle." Before the supply narrative of ultra - long bonds is fully priced, there is no obvious opportunity to bottom - fish in the bond market. The view of a weak and volatile long - end yield is maintained, and the yield of the 30 - year Treasury bond may be further adjusted to 2.4%. After the supply pressure of ultra - long bonds is fully digested by the market, the bond market may have a phased repair opportunity, which may occur in the second half of the first quarter of 2026. At that time, the dynamic balance among fiscal debt issuance rhythm, central bank operation attitude, and bank allocation behavior will be the key to determining the market direction [8][41].

Core Viewpoint - The bond market is experiencing significant declines, with long-term bonds facing increased selling pressure and widening yield spreads, indicating a challenging environment for investors [3][5][6]. Group 1: Market Performance - On December 4, the bond market saw a notable decline, with the 30-year government bond futures contract dropping over 1%, marking the largest single-day decline in recent times [3][5]. - The yield on the 30-year special government bond reached approximately 2.28%, while the 10-year bond yield rose to 1.8525% [6][5]. - The yield spread between 30-year and 10-year government bonds has widened to around 43 basis points, reflecting a significant shift in market sentiment [6][12]. Group 2: Market Dynamics - The ongoing decline in the bond market is attributed to a combination of trading behaviors and a lack of positive market signals, leading to heightened panic among investors [7][9]. - Banks and non-bank financial institutions are primarily responsible for the selling pressure, as many institutions seek to realize gains from previous investments amid market volatility [9][10]. - The recent regulatory changes regarding public fund redemption fees have contributed to increased selling pressure, particularly among public funds and brokerages [11][12]. Group 3: Future Outlook - Despite the short-term bearish sentiment, many institutions maintain a cautiously optimistic view on the long-term trend of the bond market, anticipating potential recovery as liquidity conditions improve [14]. - Analysts suggest that the current high yields on long-term bonds may present buying opportunities, especially if monetary policy shifts towards easing [14][13]. - The upcoming central bank operations, including a planned 10 billion yuan reverse repurchase agreement, are expected to influence market liquidity and investor sentiment [14][12].