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高盛测算:美元高估了16%,如果宏观基本面“重大变化”,可能快速调整、甚至超调
华尔街见闻· 2025-05-06 10:28
以下文章来源于追风交易台 ,作者追风交易台 追风交易台 . 全球宏观研究、交易、配置,你不能错过 美元贬值可能还没结束? 据追风交易台消息,高盛分析师Teresa Alves在5月1日的报告中表示,美元目前被高估约16%, 这一估值错配主要由全球资金追逐美国卓越回报前景所驱动。 随着美国回报优势逐渐减弱,美元的高估状态可能将逐步纠正。这对投资者意味着美元资产价值可能面临中期调整压力。 美元高估约16% 高盛采用两种主要模型——GSDEER和GSFEER——评估美元估值, 结果显示实际贸易加权美元指数较其公允价值高出约16%。 美国经常账户赤字与美元调整 高盛研究指出,美元高估程度高度依赖于经常账户"标准水平"的假设。 当前美国实际经常账户赤字约4%,如果经常账户赤字缩小至2.6%,将对应约16.5%的美元调整;若进一步缩小至2%(接近IMF2023年标准值),则可能导致 22%的美元贬值;若降至1%,可能需要31%的美元贬值才能实现。 研究强调,由于美国是相对封闭的经济体(出口占GDP约11%),相比其他更开放的经济体,需要更大幅度的汇率调整才能弥合同等规模的经常账户缺口。 高盛强调,美元估值本身并不是催化剂 ...
高盛测算:美元高估了16%,如果宏观基本面“重大变化”,可能快速调整、甚至超调
Hua Er Jie Jian Wen· 2025-05-06 08:36
Core Viewpoint - Goldman Sachs analysts indicate that the US dollar is currently overvalued by approximately 16%, driven by global capital chasing the superior return prospects of the US. As the US return advantage diminishes, the overvaluation of the dollar may gradually correct, suggesting potential mid-term adjustment pressure on dollar-denominated assets [1][4]. Valuation Models - Goldman Sachs employs two primary models, GSDEER and GSFEER, to assess dollar valuation, revealing that the actual trade-weighted dollar index is about 16% above its fair value [2]. - The GSDEER model, an enhanced version of purchasing power parity (PPP), shows that the dollar is overvalued by approximately 15% against the trade-weighted index, particularly against the yen, yuan, euro, and Canadian dollar, with the most significant mismatches against the yen and yuan [2]. - The GSFEER model, which focuses on economic imbalances, indicates that the dollar is overvalued by about 17%, with over 16% attributed to the deviation of the US current account deficit from its "standard level" [2]. Current Account Deficit and Dollar Adjustment - The degree of dollar overvaluation is highly dependent on the assumptions regarding the current account "standard level." Currently, the US actual current account deficit is around 4% [3]. - If the current account deficit narrows to 2.6%, it could correspond to a 16.5% adjustment in the dollar; further reduction to 2% (close to the IMF 2023 standard) could lead to a 22% depreciation; and a reduction to 1% may require a 31% depreciation [3]. - The research emphasizes that due to the relatively closed nature of the US economy (with exports accounting for about 11% of GDP), a more significant exchange rate adjustment is necessary to address a similar-sized current account gap compared to more open economies [3]. Historical Context and Future Outlook - Historical examples show that currencies can rapidly adjust to fair value when significant macroeconomic changes occur, as seen with the British pound post-Brexit and the euro during gas price shocks [3]. - Goldman Sachs suggests that the overvaluation of the dollar has been a persistent phenomenon in recent years, but as the relative return advantage of the US diminishes and potential policy shifts occur, the market may witness a gradual adjustment of the dollar to a more reasonable valuation level [4].