前两天，我在交易里看到SOFR隔夜融资利率突然飙升了15个基点，差点把茶杯给打翻——大家都还没反应过来，资金 市场就已经慌成一团。奇怪的是，央行准备金利率(IORB)稳得跟老狗似的，资产负债表规模也没见剧变，为什么利率 就那么炸裂? 资产负债表规模——决定市场上有多少水(流动性)。 FIMA回购——紧急备用水龙头，海外央行随时能开来补充。 IORB利率——官方设定的水位线，让银行知道最高不能超过这个价。 SOFR——管道里实际流速，告诉你水有多渴。 咱们先从"家底"说起。美联储资产负债表自2020年春季的4万亿美元，一路翻到如今接近8.5万亿美元，靠的是不断买 债、投放流动性。表面上看，托底市场只有QE这一招，其实更细致的操作远不止买买买。 FIMA回购(Foreign and International Monetary Authorities Repo)这玩意儿，起初我也是一头雾水。它专门给海外央行和 国际货币当局准备：对方手里捏着久期长的美国国债，想要马上变现就能换成隔夜准备金。相比跨境大笔资金划转， FIMA回购干脆利索，一天后再换回就完事。关键时刻，这就是一条"应急补水"的绿色通道。 IORB利率( ...

晨会纪要（2026/01/05） 编辑人 崔健 022-28451618 SAC NO：S1150511010016 cuijian@bhzq.com 渤海证券研究所晨会纪要（2026.01.05） 宏观及策略研究 外贸环境稳定期，制造业景气重返扩张区间——2025 年 12 月 PMI 数据点评 美国货币系列：美联储资产负债表梳理——宏观经济专题 金融工程研究 公司治理专题系列报告一：公司治理对股票价格的影响——金融工程专题报 告 晨 会 纪 要 请务必阅读正文之后的声明 渤海证券股份有限公司具备证券投资咨询业务资格 1 of 6 晨会纪要（2026/01/05） 宏观及策略研究 外贸环境稳定期，制造业景气重返扩张区间——2025 年 12 月 PMI 数据点评 宋亦威（证券分析师，SAC NO：S1150514080001） 严佩佩（证券分析师，SAC NO：S1150520110001） 靳沛芃（研究助理，SAC NO：S1150124030005） 1、事件： 2025 年 12 月 31 日，统计局公布了 PMI 数据，12 月制造业采购经理指数、非制造业商务活动指数和综合 PMI 产出指数分别为 ...

美联储资产负债表基本结构 宏 观 研 究 [Table_Author] 证券分析师 周喜[Table_IndInvest] 022-28451972 zhouxi@bhzq.com 研究助理 靳沛[Table_IndInves 芃 t] SAC NO：S1150124030005 022-23839160 jinpp@bhzq.com 分析师： 周喜 SAC NO： S1150511010017 2025 年 12 月 31 日 ――宏观专题报告 美联储资产负债表是理解美元流动性变化的基础，其主要通过"双边记 账"的方式对金融体系产生影响。单就美联储扩表而言，是指美联储通 过购买资产扩大自身资产负债表规模，从而向金融市场或实体经济注入 流动性的货币政策操作。通常可以分为常规公开市场操作、非常规性量 化宽松、准备金管理购买三类。公开市场操作和准备金管理购买针对短 期国债，目的是补充银行准备金，预防流动性危机，同时影响美联储资 产负债表中的准备金账户和短期国债科目；而量化宽松则主要是指在利 率降至零下限时，美联储通过大规模购买长期资产来压低长期利率、刺 激经济的行为。 美联储资产负债表历史变动 美联储自诞生以来， ...

近日，因预测2008年金融危机而闻名的"大空头"迈克尔·伯里对美国股市的走势发出了严重警告。 "大空头"伯里，又来了！ 伯里在社交平台X上分享了一张"非常有趣"的图表，其中显示，美国家庭持有股票财富大幅攀升，最近超过了房地产财富。伯里称， 这是只在上世纪60年代末和90年代末才出现的现象，而前两次发生这种情况时，"随后的熊市持续了数年"。 作为电影《大空头》的原型人物，迈克尔·伯里近期频繁发声，对市场作出警告。12月11日，伯里引用了《金融时报》的一篇博客文 章，称美联储开始"储备管理购买"（RMPs）的计划，表明美国银行体系日益脆弱。 美联储决定停止缩减资产负债表，并宣布准备每月购买约350亿至450亿美元的国债。对此伯里表示："如果美国银行系统在没有美联储 超过3万亿美元的'生命维持'下无法运作，这并不是实力的象征，而是脆弱的迹象。" 伯里认为，美联储现在似乎在每次危机后都会扩大其资产负债表，以避免银行系统出现资金压力，这种动态有助于解释股市的强势表 现。"这种做法的实际极限可能是美国债券市场的全面国有化，即美联储拥有全部40万亿美元的美国债务。所以我猜，继续狂欢吧。" 对此，有网友回应称，"可以确定未来 ...

【导读】"大空头"伯里警告：美国家庭股票财富超越房地产，或是长期熊市先兆 中国基金报记者 晨曦 对此，有网友回应称，"可以确定未来5到10年内会有熊市，那些预测熊市的人将获得掌 声""图表用平静的声音大声宣告了危险"。 不过，伯里的警告也引起了部分网友的质疑。有网友称自己难以负担购房，"无处可投，只能 投入股市"。亦有网友认为，指数投资日益流行，导致图表被扭曲，以及上述图表指标过于简 单，且没有考虑到"技术突破"。 "大空头"伯里，又来了！ 近日，因预测2008年金融危机而闻名的"大空头"迈克尔·伯里对美国股市的走势发出了严重 警告。 伯里在社交平台X上分享了一张"非常有趣"的图表，其中显示，美国家庭持有股票财富大幅攀 升，最近超过了房地产财富。伯里称，这是只在 上世纪 60年代末和90年代末才出现的现 象，而前两次发生这种情况时，"随后的熊市持续了数年"。 作为电影《大空头》的原型人物，迈克尔·伯里近期频繁发声，对市场作出警告。12月11 日，伯里引用了《金融时报》的一篇博客文章，称美联储开始"储备管理购买"（RMPs）的计 划，表明美国银行体系日益脆弱。 美联储决定停止缩减资产负债表，并宣布准备每月购买约 ...

Core Viewpoint - Federal Reserve Governor Christopher Waller suggests that if he were the Fed Chair, he would have halted quantitative easing (QE) earlier, indicating that the current state of the Fed's balance sheet is quite ideal [1] Group 1: Federal Reserve's Balance Sheet - Waller believes that the Fed's balance sheet will not remain static, as natural reserve demand will drive its expansion, with potential growth occurring within a month or a few months [1] - He anticipates no significant changes in fiscal stimulus measures next year [1] Group 2: Market Interest Rates - Waller notes that market interest rates are gradually rising, indicating that the Fed is nearing a state of reserve scarcity, while the neutral level of interest rates remains unclear [1] - The Fed cannot simply refrain from cutting rates due to inflation being above target for five consecutive years; more substantial justification is required [1] - If the job market shows signs of recovery, the necessity for "insurance rate cuts" will diminish [1]

Group 1 - Dallas Fed President Logan issued a strong hawkish signal, opposing further rate cuts in December unless there is compelling evidence of declining inflation or a significant cooling in the labor market [1] - Logan emphasized that current inflation remains too high and is declining slower than expected, advocating for a slightly restrictive policy to ensure sufficient economic restraint [1] - In contrast, Fed Governor Milan argued that recent data supports further rate cuts, citing weakening inflation and labor market conditions [1] Group 2 - Kansas City Fed President Schmidt joined the hawkish camp, warning that further rate cuts could undermine the Fed's inflation credibility and that recent labor market weakness is due to structural factors [2] - Schmidt expressed concerns about inflation pressures from various sectors, advocating for stable rates and opposing recent rate cuts [2] - He also supported ending the balance sheet reduction process in December while suggesting measures to keep the Fed's balance sheet as small and non-distorting as possible [2] Group 3 - Boston Fed President Collins stated that rates should remain at current levels for some time to balance inflation above the Fed's 2% target and a weak labor market [3] - Other hawkish officials, including those from Chicago and Cleveland Feds, echoed similar sentiments, cautioning against further rate cuts [3] - Support for rate cuts came from officials like Milan, Miann, Waller, and Bowman, indicating a divided stance within the Fed [3]

Core Viewpoint - The Federal Reserve's balance sheet has faced significant criticism, highlighting the need for clear communication regarding its bond holdings and intentions [1] Group 1 - Daly emphasizes the importance of public understanding of the changes in the central bank's balance sheet and its various purposes [1] - The Federal Reserve is nearing the end of its three-year plan to reduce its balance sheet, while also facing potential needs to resume bond purchases to align bank reserves with the financial system's demand [1]

Core Viewpoint - The Federal Reserve's decision to end its quantitative tightening (QT) may not be as beneficial for the stock market as most investors believe, despite the significant implications of this policy shift [1]. Group 1: Federal Reserve's Actions - The Federal Reserve has reduced its balance sheet by $2.2 trillion since June 2022, which has been a major obstacle for the stock market [1]. - Historically, the stock market has performed better during periods of quantitative tightening than during quantitative easing (QE) [1][2]. Group 2: Stock Market Performance - During the recent QT phase, the S&P 500 index had an annualized total return of 20.9%, approximately double its historical average [1]. - Since 2003, during the 12-month periods of balance sheet contraction, the S&P 500 has averaged a gain of 16.9%, compared to only 10.3% during periods of balance sheet expansion [1]. Group 3: Economic Context - The negative correlation between the Fed's balance sheet size and the stock market is linked to the economic conditions when the Fed decides to expand or contract its balance sheet [2]. - The recent QT was possible due to a strong economy, suggesting that the announcement to end QT may indicate an impending economic downturn [5].

Group 1 - The core viewpoint is that the Federal Reserve should aim for a minimal scale of its balance sheet and should not implement emergency tools for an extended period [1] - Recent data indicates a weakening job market, suggesting potential economic challenges ahead [1]