1、热门叙事及核心逻辑是什么？美联储降息→人民币升值→或损害出口竞争力。 2、叙事逻辑的不严密之处在哪？1）美联储降息"未必"等于美元趋势走弱；2）人民币升值"未必"等于 出口竞争力受损。 3、怎么看待后续人民币汇率？我们认为，首先人民币汇率估值中性，不存在高低估问题。内部来看， 人民币汇率在出口韧性与政策呵护下，有稳定的基础，但趋势性大幅回升的基本面动能或仍有待进一步 积累，同时政策层面逆周期因子影子近期持续平抑升值波动；外部来看，美国预防式降息或有助于支撑 其经济增长和资产价格相对优势，叠加美元指数空仓交易已较为极致，单边持续走弱的压力或有限。因 此人民币对美元出现趋势性大幅升值概率或不高。不过，5月以来的人民币升值或已释放部分企业待结 汇头寸，人民币汇率可承受的波动区间或相应拓宽，且仍需注意，剩余积压外汇盘在重要整数7.0关口 可能释放，放大升值波动。 放长远来看，只有经济基本面支持下的大幅升值才是持续的、能承受的、合意的。汇率虽然在短期看起 来总像是可动用的工具和原因，但长期而言理应是经济的结果，人力难以硬蛮之，倾向于是基本面的后 验而非先验。人民币汇率未来取决于很多复杂因素。但稳定波动（升值幅度不大 ...

宏观研究 证 券 研 究 报 告 【宏观专题】 美联储降息≠人民币升值≠出口承压——汇 率升值叙事的三重纠偏 ❖ 核心观点：1、热门叙事及核心逻辑是什么？美联储降息→人民币升值→或损 害出口竞争力。 2、叙事逻辑的不严密之处在哪？1）美联储降息"未必"等于美元趋势走弱； 2）人民币升值"未必"等于出口竞争力受损。 3、怎么看待后续人民币汇率？我们认为，首先人民币汇率估值中性，不存在 高低估问题。内部来看，人民币汇率在出口韧性与政策呵护下，有稳定的基础， 但趋势性大幅回升的基本面动能或仍有待进一步积累，同时政策层面逆周期因 子影子近期持续平抑升值波动；外部来看，美国预防式降息或有助于支撑其经 济增长和资产价格相对优势，叠加美元指数空仓交易已较为极致，单边持续走 弱的压力或有限。因此人民币对美元出现趋势性大幅升值概率或不高。不过， 5 月以来的人民币升值或已释放部分企业待结汇头寸，人民币汇率可承受的波 动区间或相应拓宽，且仍需注意，剩余积压外汇盘在重要整数 7.0 关口可能释 放，放大升值波动。 放长远来看，只有经济基本面支持下的大幅升值才是持续的、能承受的、合意 的。汇率虽然在短期看起来总像是可动用的工具和原因 ...

期货研究报告|外汇专题报告 2025-12-23 规模收敛但未转向，结售汇格局依旧平衡 研究院 研究员 蔡劭立 高聪 021-60828524 gaocong@htfc.com 从业资格号：F3063338 投资咨询号：Z0016648 联系人 朱思谋 0755-23887993 zhusimou@htfc.com 从业资格号：F03142856 投资咨询业务资格： 证监许可【2011】1289 号 核心观点 11 月结售汇与涉外收付款顺差回落主要反映结构与节奏调整，企业结售汇与套保行为 趋于理性，跨境资金流动整体平稳，未出现方向性变化。美元在通胀与就业数据未形 成连续验证的背景下仍处区间内再定价阶段，短期缺乏趋势性驱动。受此影响，美元 兑人民币整体维持区间运行，短期主要围绕 7.0–7.1 波动，方向性突破仍有待新的宏 观变量出现。 ■ 数据核心看点 11 月银行结售汇顺差虽由 176.79 亿美元回落至 156.50 亿美元，但外汇供求格局并 未发生实质变化。顺差回落主要来自代客结售汇顺差收窄（214.26 亿美元降至 164.23 亿美元），而银行自身逆差收敛（-37.48 亿美元降至 -7.73 亿美 ...

Report Summary Core Views - In April, both sides of foreign exchange settlement and sales volume increased, with the scale of settlement and sales rising simultaneously, and the overall deficit slightly expanding. The significant growth of forward net settlement reflects the improvement of enterprises' settlement expectations and more proactive hedging behavior [3]. - The US dollar index fluctuated weakly, and the Federal Reserve maintained a wait - and - see stance. After the withdrawal of the counter - cyclical factor, the fluctuation range of the RMB exchange rate increased [3]. Data Core Highlights Foreign Exchange Market Supply - Demand Structure - In April 2025, the bank foreign exchange settlement and sales deficit was $4.257 billion, slightly expanding from the previous value of - $1.967 billion. The scale of both settlement and sales increased, indicating higher activity in enterprises' foreign exchange transactions. The surplus of bank customer - related foreign exchange settlement and sales expanded from $96 million to $589.3 million, while the deficit of banks' own foreign exchange settlement and sales expanded from - $2.063 billion to - $10.15 billion [4]. - The spot exchange rate of the US dollar against the RMB rose 0.34% month - on - month, and the market trading activity declined slightly, with the average spot inquiry trading volume falling to $42.234 billion [4]. Forward Transaction Structure - In April, the forward market continued to recover. The forward settlement signing amount increased by $4.358 billion month - on - month, and the forward sales signing amount decreased by $2.193 billion, driving the cumulative outstanding forward net settlement amount to expand from $903 million to $5.231 billion. The forward purchase performance amount increased by $7.519 billion, much higher than the increase in settlement performance [5]. - The forward settlement hedging ratio rose to 8.59%, the highest point this year, while the forward purchase hedging ratio dropped to 4.3% [5]. Securities Investment - In April, the foreign - related receipts and payments under securities investment changed from a surplus of $7.37 billion to a deficit of $12.493 billion. The trading volumes of both the Shanghai - Hong Kong Stock Connect and the Shenzhen - Hong Kong Stock Connect decreased, and the two - way difference narrowed. However, the bond custody volume of overseas investors in RMB bonds rose to 29,781.5 billion yuan [6]. Goods Trade - In April, the goods trade surplus narrowed, dragging down the foreign exchange settlement and sales surplus. The global manufacturing PMI fell from 52 in March to 50.8 in April, and China's manufacturing PMI dropped to 49, returning to the contraction range. The US manufacturing PMI remained at 51.2, while Japan and the Eurozone were still in the contraction range [6]. Exchange Rate Views - The US inflation shows an initial slowdown trend, but the Fed maintains a cautious policy stance. The US core CPI in April fell to 2.8% year - on - year, and the PPI also declined month - on - month. However, the Fed did not adjust its policy, and the US dollar index fell to around 100 [8]. - The easing of tariffs boosted expectations, and the exchange rate fluctuated more after the withdrawal of the counter - cyclical factor. In May, the RMB exchange rate fluctuated around 7.20. After the withdrawal of the counter - cyclical factor, the exchange rate was more driven by market supply and demand, and the short - term fluctuation range increased. The 1 - year USDCNY swap point dropped to - 2160, and the RMB exchange rate may show a two - way shock pattern in the short term [8].

Group 1: Report Investment Rating - There is no information about the industry investment rating provided in the report. Group 2: Core Views - The USD/CNY exchange rate showed a weak and volatile trend from late April to early May, with the stage high around 7.35 and then falling back to 7.27. The offshore RMB appreciated rapidly during the May Day holiday due to multiple factors such as improved Sino - US trade expectations, a callback in the US dollar index, and a warming of market risk appetite. The US dollar index fell about 4.5% in April, a relatively large monthly decline in recent years. The implied volatility of options first rose and then fell, and the implied volatility of call options declined, making the RMB exchange rate more two - way fluctuating [4]. - In April, China's macro data weakened month - on - month but was better than expected overall, while US growth data fell short of expectations. China's manufacturing PMI dropped to 49.0, indicating short - term pressure on the manufacturing industry, but the high - tech manufacturing PMI remained in the expansion range of 51.5, and the non - manufacturing business activity index was 50.4, with the service industry's recovery momentum continuing. In the US, the ISM manufacturing PMI in April slipped to 48.7, and the first - quarter GDP was - 0.3%, driving the Citigroup Economic Surprise Index significantly lower; during the same period, China's CESI continued to rise and was higher than that of the US at the end of April [4]. - The Sino - US interest rate spread remained inverted, the short - end interest rate spread became more stable in its fluctuations, and more statements on trade policies brought short - term disturbances to the exchange rate. The better - than - expected non - farm payrolls in April slightly pushed up the short - end yield of US Treasuries, while the yield of Chinese government bonds remained low due to policy expectations, pushing the spread structure to stabilize at a high level. The basis and swap points of USD/CNY rose simultaneously, indicating that the market was re - evaluating the exchange rate path. Sino - US frequent statements on tariff issues from April to May, although no clear policies were implemented, strengthened the policy game signal and affected market pricing and trading behavior [5]. - The deficit in foreign exchange settlement and sales narrowed, and the capital flow improved. In March 2025, the deficit in bank foreign exchange settlement and sales dropped to $2 billion, a significant reduction from February. The willingness to settle and purchase foreign exchange in the forward market both increased, with the settlement rate of foreign exchange receipts rising to 50.51% and the purchase rate of foreign exchange payments rising to 58.88%. The surplus in banks' foreign - related payments and receipts on behalf of customers reached $49.2 billion, and the net inflow of funds under the goods trade increased 1.2 times year - on - year, still being the main supporting force. The capital account deficit narrowed to $13 billion, with foreign investors continuously net - buying RMB bonds, and the allocation of bonds and equities improved simultaneously, indicating that foreign funds' preference for RMB assets had recovered [5]. - The RMB is expected to be relatively strong in the short term, and the USD/CNY exchange rate is expected to enter a period of shock consolidation. Against the background of the callback of the US dollar index, the repair of the Sino - US expectation gap, and the warming of market risk appetite, the RMB has been relatively stable. Looking ahead, the exchange rate direction will still be comprehensively affected by Sino - US trade policies, signs of a slowdown in the US economy, and related policy expectations, and the stage - by - stage fluctuations may intensify. Short - term trend judgment still needs to closely monitor event evolution and data feedback [6]. Group 3: Summary by Directory 1. USD/CNY Exchange Rate - General Situation - From late April to early May, the USD/CNY exchange rate was generally weak and volatile, falling from a high of around 7.35 in mid - April to around 7.27 in early May, with the RMB strengthening intermittently. The offshore RMB appreciated rapidly during the May Day holiday, reflecting the combined effects of Sino - US trade easing expectations, US dollar adjustment, and a warming of market risk appetite. The US dollar index continued to decline in April, with a monthly decline of about 4.5%, one of the larger monthly declines in recent years. The decline was mainly affected by the weak economic growth in the first quarter of the US and the market's uncertain expectations about the Fed's interest - rate cut path this year [10]. 2. Volume - Price Observation - From April to early May 2025, the volatility of the USD/CNY options market generally increased, but signs of a local decline began to appear. Compared with March, the implied volatility from April to early May was generally stronger, indicating that the market's expectation of exchange - rate fluctuations had increased. However, in early May, the implied volatility of the call side of USD/CNY options declined, narrowing the gap with the put side, suggesting that the market's expectation of the US dollar's unilateral appreciation had weakened [17]. - The RMB counter - cyclical factor has been running below 10% steadily, indicating a stable exchange - rate operation. The 3 - month interest rates of offshore and onshore RMB have remained inverted, indicating a tight supply of offshore funds. However, in May, the inversion margin narrowed slightly, reflecting a marginal easing of cross - border liquidity tension [17]. - In early May, the yield of US Treasuries was generally higher than the average in April, especially at the short end, and the market's bet on the Fed's short - term policy shift has weakened. Nevertheless, the yield of 10 - year US Treasuries has fallen from the high in April, indicating that long - term interest rates are still in an adjustment channel. The yield of Chinese government bonds was weaker than last week and last quarter, and the market's expectation of further flexible adjustment of domestic policies has increased [17]. - The basis and swap points of USD/CNY generally showed an upward trend, reflecting the market's need to re - price the exchange - rate fluctuation direction in the short term under the influence of the Sino - US interest - rate spread and market risk - aversion demand. The change in the exchange - rate price is still coupled with the macro - expectation, but the directional signal is not clear, and it mainly shows structural adjustment and defensive pricing for event catalysis in the short term [18]. 3. Macroeconomic - Chinese Macroeconomic Data - In April 2025, China's economic sentiment indicators generally declined, but domestic demand, high - tech manufacturing, and the service industry maintained a certain degree of resilience. The official manufacturing PMI fell to 49.0%, down 1.5 percentage points from the previous month, falling back into the contraction range, indicating a phased decline in the manufacturing industry's prosperity level. However, the high - tech manufacturing PMI was 51.5%, significantly higher than the overall manufacturing level, reflecting the continued structural optimization trend [32]. - The non - manufacturing business activity index was 50.4%, slightly lower than the previous month but still in the expansion range, indicating that the service and construction industries generally maintained a recovery momentum. The new order and business expectation indicators increased month - on - month, indicating an improvement in market demand and business confidence. However, the employment index remained below the critical point, indicating that the recovery of business employment was still slow. In general, the composite PMI output index in April was 50.1%, lower than the previous month, indicating that the economy generally maintained expansion but with a slowdown in momentum [32]. 4. Macroeconomic - US Macroeconomic Data - In April 2025, the US macro data presented a combination of "stable employment, declining manufacturing, and policy wait - and - see", and the market's expectation of the Fed's policy path has been adjusted. The non - farm payroll data in April showed that the US added 177,000 non - farm jobs, higher than the expected 138,000, indicating that the labor market remained resilient. The unemployment rate remained at 4.2%, the same as the previous value, and the labor - force participation rate rose to 62.6%, with the participation rate of the core labor - force group aged 25 - 54 reaching a seven - month high, reflecting a solid employment foundation. However, the non - farm payroll data for March and February were revised down by a total of 58,000, indicating that the previous employment growth may have been overestimated [35]. - In terms of manufacturing, the ISM manufacturing PMI in April dropped to 48.7, back into the contraction range, the largest monthly decline this year. Detailed data showed that the new order and output indicators both weakened significantly, and the employment index declined for the third consecutive month. The increase in input costs and order uncertainty caused by tariff policies are weakening enterprises' willingness to replenish inventory and expand production. The final value of the Markit manufacturing PMI was 50.2, also lower than the initial value and expectations, further verifying the lack of growth momentum in the manufacturing industry [36]. 5. RMB Three - Factor Fitting - As of early May, the Sino - US Treasury yield spread generally remained inverted. Recently, the short - end yield of US Treasuries rebounded rapidly due to better - than - expected non - farm payrolls, while the yield of Chinese government bonds remained low under the influence of policy expectations, leading to a slight stabilization after an increase in the short - end spread inversion margin [38]. - From April to early May 2025, there were more statements related to Sino - US trade policies, and the market's attention to tariff - policy changes increased. As of early May, neither side had announced a specific negotiation schedule or clear policy documents, but both had shown a willingness to communicate. The market generally believed that there was still uncertainty about the pace of policy implementation. Under this background, the external - demand sub - index of China's manufacturing industry weakened in April, and the US ISM manufacturing survey also showed that tariffs had an impact on the cost side and delivery rhythm [45][46]. - In April 2025, the Citigroup Economic Surprise Index (CESI) showed an expanding difference in Sino - US macro - expectations. China's CESI rebounded and turned positive, reflecting that the domestic macro data were generally better than expected, mainly due to the improvement in high - tech manufacturing, non - manufacturing business activities, and export data, which drove the market's expectation of short - term domestic - demand repair and policy support to improve. In contrast, the US CESI fell from a high in March and continued to decline in April, falling into negative territory, mainly dragged down by lower - than - expected first - quarter GDP, weak retail, and ISM manufacturing data, indicating a significant adjustment in the market's expectation of US growth momentum [47]. 6. Capital Flows from the Perspective of Foreign - Exchange Settlement and Sales - Foreign - Exchange Market Supply - Demand Balance - The deficit in foreign - exchange settlement and sales narrowed significantly, and market expectations became more stable. In March 2025, the bank's foreign - exchange settlement was $189.6 billion, and sales were $191.6 billion, with the deficit narrowing to $2 billion from $10.4 billion in February. This change reflects the phased stabilization of the RMB exchange rate, the rationalization of enterprises' and residents' foreign - exchange purchase behavior, and the alleviation of the market's concern about the RMB's unilateral depreciation [49]. - The behavior of forward foreign - exchange settlement and sales was adjusted, and the demand for hedging increased. In March, the willingness for forward foreign - exchange settlement and sales in the market adjusted structurally. After excluding the performance factor, the settlement rate of foreign - exchange receipts increased to 50.51% month - on - month, indicating an enhanced willingness of export enterprises to lock in exchange rates. At the same time, the purchase rate of foreign - exchange payments increased to 58.88% month - on - month, indicating that enterprises actively increased their foreign - exchange purchase exposure to strengthen the hedging of US - dollar risks in the context of increasing trade and macro uncertainties [49]. - In March 2025, the bank's foreign - related income on behalf of customers was $692 billion, and payments were $642.8 billion, with a foreign - related payment - receipt surplus of $49.2 billion, further expanding from $29 billion in February. By item, the net inflow of cross - border funds under the goods trade in the first quarter reached $206.3 billion, a 1.2 - fold increase year - on - year, still being the main source of funds. The net outflow of cross - border funds in the service trade increased 25% year - on - year, with the outflow under travel increasing 12%, but the overall situation remained controllable. The stability of the cross - border payment - receipt structure has been enhanced, providing a basic support for the foreign - exchange market [50]. - The capital account deficit continued to narrow, and the deficit in March narrowed to $300 million from $13 billion in February. The securities investment account turned into a surplus, and foreign investors' willingness to allocate bonds increased significantly. Data showed that from February to March, foreign investors cumulatively net - bought $26.9 billion of domestic bonds, an 84% increase year - on - year; from April 1 to 18, they further net - bought $33.2 billion, maintaining a high - speed allocation rhythm. The allocation of equities also stabilized, indicating that foreign investors' confidence in RMB assets had recovered [52].