证券研究报告·宏观报告·宏观深度报告 宏观深度报告 20260225 从利率曲线"久期分割"看 2026 年货币政策 空间 [Table_Tag] [Table_Summary] 核心观点 2026 年 02 月 25 日 证券分析师 芦哲 执业证书：S0600524110003 luzhe@dwzq.com.cn 证券分析师 王洋 执业证书：S0600524120012 wangyang@dwzq.com.cn 相关研究 《海外市场流动性有企稳迹象，情绪 或会好转【勘误版】》 2026-02-24 《市场短期进入结构混沌期，但大盘 指数仍然稳健【勘误版】》 2026-02-24 东吴证券研究所 1 / 11 请务必阅读正文之后的免责声明部分 ◼ 2025 年 5 月"降息"以来的利率市场运行特点，我们总结认为当前中债 利率曲线出现了不同影响因素驱动的"久期分割"：货币政策管住短端 利率、通胀预期在影响中端利率、财政融资主导长端利率。在"久期分 割"的市场特征下，10 年期与主要政策利率的利差、30 年期和 10 年期 利率的利差或仍有继续陡峭化的空间。 ◼ 2026 年以来利率调控思路的变化：（1）在流动性 ...

Core Viewpoint - The Chinese Yuan (RMB) has been appreciating against the US Dollar, breaking significant thresholds and reaching its highest level since May 4, 2023, driven by improved Sino-US trade relations and external economic conditions [1][2]. Exchange Rate Dynamics - On February 12, 2023, the onshore RMB opened at 6.9083 against the USD, peaking at 6.8998, while the offshore RMB reached 6.8964, both marking new highs since May 4, 2023 [1]. - The People's Bank of China set the mid-point exchange rate at 6.9457 RMB per USD, a slight depreciation of 19 basis points from the previous day [1]. Influencing Factors - The RMB's strength is attributed to the stabilization of Sino-US economic relations since November 2025 and a recent criminal investigation into the Federal Reserve Chairman, which has pressured the USD [1][2]. - Increased corporate demand for currency exchange towards the year-end is also contributing to the seasonal strengthening of the RMB, particularly following high export growth [2]. Short-term Outlook - The RMB is expected to remain strong in the short term, supported by continued export growth and high market sentiment, with limited potential for a significant rebound in the USD index [2]. Long-term Considerations - Over the year, the RMB's exchange rate will be influenced by the USD's performance, changes in external trade environments, and domestic growth policies [2][3]. - Potential depreciation pressures on the RMB may arise due to the anticipated stabilization of the USD index in 2026 and the impact of the Federal Reserve's new policies [2][3]. Impact on Trade and Residents - The current appreciation of the RMB is not expected to significantly impact export businesses, although it may affect their exchange rate gains [3]. - For residents, a stronger RMB reduces the cost of currency exchange, benefiting expenses related to travel and education abroad [3]. Policy Implications - The RMB's appreciation provides more flexibility for domestic monetary policy adjustments, potentially easing constraints on interest rate cuts [4]. - The attractiveness of RMB assets may increase due to the currency's appreciation, although the impact on cross-border capital flows remains limited [5].

Group 1: Market Overview - The central bank conducted a 7-day OMO injection of 402 billion yuan, resulting in a net injection of 78 billion yuan, indicating a marginal improvement in liquidity [1] - The bond market experienced a mixed performance, with a divergence between long-term and short-term bonds, as the market remained in a narrow fluctuation range [1] - The overall sentiment in the bond market was cautious, influenced by the stock market's volatility, leading to a general decline in bond prices [2] Group 2: Interest Rates and Yield Movements - The yield on the 10-year government bond rose by 0.45 basis points to 1.8295%, while the 30-year bond yield increased by 1.35 basis points to 2.2555% [1] - The Shibor rates showed a mixed trend, with the overnight Shibor declining to 1.3710%, down by 4.90 basis points, while the 1-month Shibor remained relatively stable [3] - The bond market saw a decrease in trading volume, with the total transaction scale dropping by 28.9 billion yuan to 207.8 billion yuan [3] Group 3: REITs Market Performance - The public REITs market showed a slight increase, with the index rising by 0.08% to 1045.72 points, reflecting a cumulative increase of 3.55% for the year [4] - There was significant divergence within the REITs sector, with consumer and high-speed sectors leading gains, while industrial park and innovation sectors faced declines [4] - The total trading volume in the REITs market increased by 23.35% to 666 million yuan, indicating a neutral trading environment [4]

Group 1: Federal Reserve Rate Cut - The Federal Reserve is expected to announce a rate cut of 25 basis points, marking the first cut in nine months, aimed at addressing signs of economic slowdown rather than a full-blown crisis [1][2] - The current economic context is characterized by "stagflation," with slowing growth and relatively high inflation, as indicated by a core PCE year-on-year growth of 2.86% and a core CPI growth of 3.2% [2] Group 2: Impact on Chinese Assets - The rate cut is anticipated to have a threefold positive impact on Chinese assets, including expanded monetary policy space, stabilization and appreciation of the RMB exchange rate, and accelerated capital reallocation [2][5] - The Chinese capital market is expected to see a wave of foreign capital inflow, benefiting from the easing of external monetary policy constraints [5] Group 3: Opportunities in A-shares and H-shares - In the A-share market, three sectors are identified as clear beneficiaries: technology growth sectors (TMT, semiconductors, AI), large financial sectors (banks, brokerages, insurance), and high-dividend stocks (electricity, oil, state-owned enterprises) [2][10] - The H-share market is more sensitive to external liquidity, with significant foreign capital allocation towards software, services, and technology hardware sectors, driven by advancements in AI technologies [3] Group 4: Automotive Industry Benefits - The automotive industry is poised to benefit from both policy and funding advantages, with a target of achieving approximately 32.3 million vehicle sales in 2025, a year-on-year growth of about 3% [6] - The expected sales of new energy vehicles (NEVs) are projected to reach around 15.5 million, reflecting a growth of approximately 20% [6] - The rate cut will lower financing costs for automakers, enhance consumer confidence, and support overall consumption, particularly in the automotive sector [7][8] Group 5: Commodity and Bond Market Effects - The rate cut is expected to positively influence the commodity and bond markets, with industrial metals like copper and aluminum anticipated to break upward, and gold prices receiving short-term support [9] - The bond market is likely to see a clear downward trend in interest rates, enhancing the investment value of government and interest rate bonds [9] Group 6: Asset Allocation Strategy - Experts recommend prioritizing equity assets in the current environment, particularly in technology growth, high-dividend blue chips, and large financial sectors, while suggesting moderate allocation to bond assets [10] - Investors are advised to be cautious of potential overvaluation in certain sectors due to pre-existing rate cut expectations [10]