证券研究报告 | 宏观专题报告 2025 年 11 月 25 日 辨析中国长债利率决定中的国际因素 ❑ 风险提示：国际货币金融体系变化 专题报告 谢亚轩 S1090511030010 xieyx@cmschina.com.cn 敬请阅读末页的重要说明 ❑ 在实体经济和金融市场更为开放的条件下，国际因素在中国长债利率的决 定中应发挥着越来越重要的影响作用。对此，早期研究的焦点是外汇占 款。在央行退出常态化干预外汇市场之后，一个重要的研究方向继续聚焦 发达国家货币政策溢出效应。欧洲学者 Hélène Rey 的研究将传统国际 经济学中的"蒙代尔不可能三角（Trilemma）"推进到"二元悖论 （Dilemma）"。 ❑ 最新的进展是，国际清算银行（BIS）近期研究发现，2008 年以来的"全 球流动性第二阶段"中，非银行金融机构替代商业银行成为全球国际资本 流动的主力，公共部门替代私人部门成为扩张信用的主体，政府债券为载 体的国际证券组合资本替代银行信贷成为资本流动的主要形式，外汇掉期 市场替代银行信贷市场成为主要国际金融中介市场。因此，金融跨境传导 的研究重点也从货币政策转移到金融条件（Financial Co ...

Economic Indicators - The US Redbook commercial retail sales year-on-year growth rebounded slightly to 5.9%, with a four-week moving average of 5.45%[5] - The WEI index for the US fell to 2, down from 2.27 the previous week, indicating a decrease in economic activity[4] - The German WAI index rose to approximately 0.18, up from 0.08 the previous week, suggesting improved economic conditions[4] Financial Conditions - The Bloomberg Financial Conditions Index for the US decreased to 0.511 from 0.514 a week earlier, indicating tighter financial conditions[7] - The offshore dollar liquidity is tightening, with the three-month swap basis for the yen against the dollar at -25.8bp, worsening from -24.3bp a week prior[8] - The credit spreads for US investment-grade and high-yield corporate bonds widened, with high-yield spreads at 2.91bp, compared to 2.96bp a week earlier[9] Price Trends - The RJ/CRB commodity price index stood at 302.35, reflecting a 0.5% increase from the previous week[6] - US gasoline prices rebounded to $2.93 per gallon, up 1% from the previous week[6] Interest Rate Spreads - The 10-year US-Japan government bond spread narrowed to 240.5bp from 241.6bp the previous week[10] - The 10-year Italian-German bond spread decreased to 75.5bp from 76bp a week earlier, indicating reduced risk perception in the Eurozone[10]

Core Viewpoints - Recent events in the US credit market, triggered by two regional banks disclosing loan fraud, have led to significant declines in regional bank stocks, but these incidents are viewed as isolated risks rather than a systemic crisis [2][4][5] - Analysts generally consider these defaults as individual occurrences related to specific borrowers, rather than indicative of broader systemic risks, although they do heighten market anxiety [2][9] - Key indicators to monitor include the stock prices of affected banks, credit spreads, liquidity conditions, and the US financial conditions index, which may lag in reflecting impacts on the economy [2][10][12] Summary by Sections 1. Why Did Regional Bank Stocks Plummet? - On October 16, the S&P Regional Banking Select Industry Index fell by 6.3%, the largest drop since April, due to disclosures from Zions Bancorp and Western Alliance Bancorp regarding loan fraud, exacerbating existing concerns from other recent credit events [4][14] - The bankruptcy of subprime auto lender Tricolor and the financial troubles of First Brands, which revealed significant off-balance-sheet debt, contributed to the negative sentiment [4][15] 2. Will This Evolve into a Crisis? - The recent events are assessed as isolated incidents rather than a widespread crisis, with limited overall impact [5][17] - Tricolor's bankruptcy may lead to losses of hundreds of millions for JPMorgan and Fifth Third Bancorp, while First Brands' debt is estimated at over $11.6 billion [5][17][20] 3. How Did the Market React? - Following the events, market risk sentiment was shaken, leading to declines in regional bank stocks, lower US Treasury yields, widening credit spreads, and a weaker dollar [6][23] - The S&P Regional Banking Index rebounded by 1.7% on October 17, indicating a potential stabilization in market sentiment [6][23] 4. Differences from the Silicon Valley Bank Collapse - The scale of the current issues is significantly smaller than the collapse of Silicon Valley Bank, which had total assets of $211.8 billion [7][33] - The nature of the crisis differs, with the current situation primarily involving credit risk from commercial loans, as opposed to liquidity crises stemming from asset-liability mismatches [7][34] - Economic expectations are also different, with current forecasts suggesting a lower probability of recession compared to the time of the Silicon Valley Bank crisis [7][34] 5. Perspectives from Overseas Analysts and Bankers - Analysts largely view the recent defaults as isolated incidents, with some caution from JPMorgan's CEO regarding potential losses in the credit market [9][41] - Most banks are confident in managing the situation, with some even reporting the lowest provisions in two years [9][41] 6. What to Watch Going Forward - Immediate attention should be on the stock prices of the affected banks, which have shown signs of recovery [10][45] - Monitoring credit spreads is crucial, as the underlying issue is related to borrower credit risk [10][45] - Liquidity conditions and the US financial conditions index should be tracked for potential impacts on the economy in the coming months [10][12][45]

Core Viewpoint - The article highlights the positive economic data from the US, Eurozone, and Japan, indicating a potential recovery in manufacturing and consumer confidence, which may present investment opportunities in these regions [2][3][9]. Group 1: US Economic Data - The US August S&P PMI exceeded expectations, with the manufacturing PMI initial value at 53.3, compared to the forecast of 49.7 and previous value of 49.8 [2][9]. - The July leading index from the Conference Board met expectations, showing a month-on-month change of -0.1%, in line with forecasts [2][9]. - July housing data surpassed expectations, with new housing starts at an annualized rate of 1.428 million units, above the forecast of 1.297 million units, and revised previous value from 1.321 million to 1.358 million units [2][9]. Group 2: Eurozone Economic Data - The Eurozone's August manufacturing PMI also exceeded expectations, with an initial value of 50.5, compared to the forecast of 49.5 and previous value of 49.8 [2][9]. - The July CPI final value met expectations, with a year-on-year change of 2%, matching forecasts, while core CPI was also in line at 2.3% [2][9]. - The August consumer confidence index was below expectations, with an initial value of -15.5 against a forecast of -14.7 [2][9]. Group 3: Japanese Economic Data - Japan's August manufacturing PMI rebounded to an initial value of 49.9, up from the previous value of 48.9, while the services PMI slightly declined to 52.7 from 53.6 [3][10]. - June core machinery orders exceeded expectations, with a month-on-month increase of 3%, against a forecast of -0.5%, and a year-on-year increase of 7.6%, compared to the expected 4.7% [3][10]. - July CPI was in line with expectations, showing a year-on-year change of 3.1% [3][10]. Group 4: Upcoming Economic Data - Key upcoming US economic data includes July new home sales on August 25, July durable goods orders initial value on August 26, and August consumer confidence index on August 26 [4][11]. - In the Eurozone, July M3 year-on-year data will be released on August 28, along with the final value of the August consumer confidence index [5][12]. - Japan will report July unemployment rate and job-to-applicant ratio, July retail sales, and July industrial output initial value on August 29 [5][12]. Group 5: High-Frequency Data Review - Economic activity indices for the US and Germany showed slight improvement, with the US WEI index at 2.54% for the week of August 16, up from 2.50% the previous week [6][13]. - US retail sales showed a slight year-on-year increase of 5.9% for the week of August 15, compared to 5.7% the previous week [16][22]. - Initial jobless claims in the US were weaker than expected, with 235,000 claims for the week of August 16, against a forecast of 225,000 [24]. Group 6: Financial Conditions - The US financial conditions index remained stable, while the Eurozone's index showed a slight tightening [7][32]. - Offshore dollar liquidity remained stable, with slight fluctuations in swap points for the yen and euro against the dollar [7][34]. - Long-term bond yield spreads narrowed in the US, Japan, and Germany, indicating a potential shift in investor sentiment [7][37].

Economic Data Overview - Upcoming key economic data includes the June PMI for the US, Eurozone, and Japan, with specific dates for release noted[2][12][13] - Recent US retail sales fell by 0.9% in May, below the expected 0.6%, with previous values revised down[3][10] - Eurozone's May CPI final value matched expectations at 1.9%, with core CPI at 2.3%[3][10] Employment and Consumer Confidence - Initial jobless claims in the US were 245,000, aligning with expectations, while continuing claims slightly decreased to 1.945 million[5][25] - Consumer confidence indicators are set to be released next week, which may impact market sentiment[2][12] Price Trends - Global commodity prices increased by 0.8% week-on-week, while US gasoline prices rose to $3.02 per gallon, up 1.1%[6][27] - The US import price index showed a 0% change in May, exceeding the expected decline of 0.2%[3][10] Financial Conditions - US financial conditions index remained stable at 0.292, while the Eurozone index slightly declined to 0.905, indicating tighter conditions[6][31] - Long-term bond spreads narrowed between the US and Japan, as well as between the US and Germany, reflecting changing market dynamics[6][37]

Core Viewpoint - The article provides a comprehensive overview of recent economic data and events from the US, Eurozone, and Japan, highlighting trends in manufacturing, consumer confidence, and housing sales, which indicate mixed economic signals across these regions [4][10][11]. Group 1: US Economic Data - May manufacturing PMI exceeded expectations with a preliminary value of 52.3, compared to an expected 49.9 and a previous value of 50.2 [4][10]. - April existing home sales were below expectations at an annualized rate of 4 million units, while new home sales were better than expected at 743,000 units, revised down from 724,000 units [4][10]. - The Conference Board's Leading Economic Index for April matched expectations with a month-on-month change of -1%, revised from -0.7% to -0.8% [4][10]. Group 2: Eurozone Economic Data - May manufacturing PMI for the Eurozone slightly beat expectations at 49.4, compared to an expected 49.2 and a previous value of 49 [11]. - The consumer confidence index for May recorded -15.2, better than the expected -16 and revised from -16.7 to -16.6 [11]. - April CPI final value met expectations at 2.2% year-on-year, with core CPI at 2.7%, revised from a previous value of 2.4% [11]. Group 3: Japanese Economic Data - May manufacturing PMI showed a slight increase to 49, up from a previous value of 48.7, while the services PMI decreased to 50.8 from 52.4 [5]. - Core machinery orders for March significantly exceeded expectations with a month-on-month increase of 13%, compared to an expected decrease of 1.6% [5]. - April CPI was slightly above expectations at 3.6% year-on-year, with core CPI at 3.5%, exceeding the expected 3.4% [5]. Group 4: Weekly Economic Indices - The US WEI index fell to 1.9% for the week ending May 17, down from 2.07% and 2.56% in previous weeks [15]. - The German WAI index also declined to -0.29% for the week ending May 18, compared to -0.08% and -0.04% in prior weeks [16]. Group 5: Demand Indicators - US Redbook retail sales showed a slight year-on-year decline to 5.4%, down from 5.8% and 6.9% in previous weeks [17]. - Global flight numbers increased by 2.3% year-on-year, with approximately 236,700 flights executed as of May 23 [20]. - US mortgage rates rose slightly to 6.86% for a 30-year fixed mortgage, up from 6.81% and 6.76% in previous weeks [24]. Group 6: Employment Data - Initial jobless claims in the US were slightly better than expected at 227,000, compared to an expectation of 230,000 and a previous value of 229,000 [26]. - Continued claims rose to 1.903 million, up from a previous value of 1.867 million [26]. Group 7: Price Trends - Global commodity prices saw a slight increase, with the RJ/CRB commodity price index rising by 0.2% [28]. - US gasoline prices increased to $3.04 per gallon, reflecting a 1.8% rise from the previous week [28]. Group 8: Financial Conditions - Financial conditions in the US and Eurozone showed a slight tightening, with indices at 0.165 and 1.2 respectively [31]. - The long-term bond yield spread between Italy and Germany narrowed, while the spread between the US and Japan remained stable, and the US and Eurozone spread widened [37].

Core Viewpoint - The report provides an overview of key economic data and events from the US, Eurozone, and Japan, highlighting trends in retail sales, industrial production, consumer confidence, and inflation metrics, which are crucial for understanding the current economic landscape and potential investment opportunities [5][6][11]. Group 1: Upcoming Economic Data - Key economic data to be released this week includes the March preliminary PMI for the US, Eurozone, and Japan, as well as various consumer confidence indices and housing data [2][3][4][12][13]. Group 2: Recent Economic Data and Events Review - In the US, the FOMC maintained the policy interest rate, aligning with market expectations, and slowed the pace of balance sheet reduction [5][10]. - February retail sales in the US were below expectations, with a month-on-month increase of only 0.2%, compared to the expected 0.6% [5][10]. - Industrial production in the US exceeded expectations with a month-on-month increase of 0.7% [5][10]. - The US housing market showed resilience with February's existing home sales at an annualized rate of 4.26 million units, surpassing the expected 3.95 million [5][10]. - Eurozone's February CPI was slightly below expectations at 2.3% year-on-year, while the core CPI remained stable at 2.6% [6][11]. - Japan's CPI for February was higher than expected at 3.7% year-on-year, indicating persistent inflationary pressures [6][11]. Group 3: High-Frequency Data Review - The US economic activity index showed a slight decline, with the WEI index at 2.32% for the week of March 15, down from 2.59% the previous week [5][13]. - In Germany, the economic activity index improved, with the WAI index rising to 0.3% [5][13]. - Retail sales in the US showed a minor year-on-year decline, with the Redbook retail sales index at 5.2% [7][16]. - Global flight numbers decreased by 3.1% compared to the previous year, indicating a slowdown in travel demand [7][19]. - The US mortgage rate remained stable at 6.67%, with a slight decline in mortgage application indices [7][22]. Group 4: Employment and Price Trends - Initial jobless claims in the US were in line with expectations at 223,000, indicating stable employment conditions [7][24]. - Global commodity prices increased, with the RJ/CRB commodity price index rising by 1% [7][27]. - US gasoline prices remained stable at $2.94 per gallon, reflecting minimal fluctuations in fuel costs [7][27]. Group 5: Financial Conditions - Financial conditions in the US and Eurozone showed marginal easing, with indices rising to 0.301 and 1.381 respectively [7][29][31]. - Offshore dollar liquidity showed signs of easing, with slight narrowing in swap points for the yen and euro against the dollar [7][32]. - Long-term bond yield spreads indicated a narrowing between US and Japanese bonds, while spreads between US and Eurozone bonds widened [7][35].

Core Viewpoints - The article discusses recent economic data from the US, Eurozone, and Japan, highlighting trends in inflation, employment, and financial conditions [2][4][10]. Group 1: Important Data Review - In February, the US PPI increased by 3.2% year-on-year, lower than the expected 3.3% and previous 3.5%, with a month-on-month change of 0% against an expected increase of 0.3% [9]. - The US CPI for February grew by 2.8% year-on-year, below the expected 2.9% and previous 3%, with a month-on-month increase of 0.2% [9]. - The Eurozone's Sentix investor confidence index for March rose to -2.9, significantly above the expected -8.4 and previous -12.7 [10]. - Germany's January exports fell by 2.5% month-on-month, contrary to the expected growth of 0.5% [10]. - Japan's 2024 Q4 real GDP annualized quarter-on-quarter growth was revised down to 2.2%, below the expected 2.8% [10]. Group 2: Weekly Economic Activity Index - The US WEI index increased to 2.65% for the week of March 8, up from 2.24% the previous week [13]. - The German WAI index rose to 0.51% for the week of March 9, compared to 0.24% the previous week [13]. Group 3: Demand - The US Redbook retail sales year-on-year growth rate decreased to 5.7% for the week of March 8, down from 6.6% the previous week [14]. - The US mortgage application numbers increased, with the MBA market composite index rising to 269.3, an 11.2% week-on-week increase [15]. Group 4: Employment - Initial jobless claims in the US fell to 220,000 for the week of March 8, down from 222,000 the previous week [16]. - Continuing claims also decreased to 1.87 million, compared to 1.90 million the previous week [16]. Group 5: Prices - The RJ/CRB commodity price index was 302.67 on March 14, a 0.1% decrease from the previous week [17]. - The US gasoline retail price was $2.95 per gallon on March 10, down 0.1% from the previous week [17]. Group 6: Financial Conditions - The Bloomberg financial conditions index for the US was 0.20 on March 14, down from 0.27 the previous week [18]. - The Eurozone's Bloomberg financial conditions index increased to 1.30, up from 1.17 the previous week [18]. - Offshore dollar liquidity showed deterioration, with the yen and euro swap basis against the dollar decreasing [19]. Group 7: Bond Yield Spread - The 10-year bond yield spread between the US and Eurozone narrowed, with the US-EU spread at 135.6 basis points, down from 144.7 basis points the previous week [21].

Investment Rating - The industry investment rating is "Recommended," indicating an expected increase in the industry index by more than 5% over the next 3-6 months compared to the benchmark index [51]. Core Insights - The Eurozone's investor confidence index saw a significant rebound in March, with the Sentix index rising to -2.9, surpassing expectations of -8.4 and the previous value of -12.7 [8]. - In the U.S., the Producer Price Index (PPI) for February was lower than expected, while the Consumer Price Index (CPI) showed an unexpected decline [7][9]. - The U.S. financial conditions are tightening, while the Eurozone is experiencing a loosening of financial conditions, as indicated by the Bloomberg financial conditions index [28]. Summary by Sections 1. Important Data Review - U.S. February PPI increased by 3.2% year-on-year, below the expected 3.3% and previous 3.5% [7]. - Eurozone's investor confidence index rebounded significantly in March [8]. - Japan's GDP for Q4 2024 was slightly revised down [7]. 2. Weekly Economic Activity Index - The U.S. WEI index rose to 2.65% for the week of March 8, up from 2.24% the previous week [14]. - Germany's WAI index increased to 0.51% for the week of March 9, compared to 0.24% the previous week [14]. 3. Demand - U.S. retail sales growth, as measured by the Redbook index, decreased to 5.7% year-on-year from 6.6% the previous week [17]. - Mortgage rates in the U.S. rose slightly to 6.65%, while mortgage applications increased by 11.2% [20]. 4. Employment - Initial jobless claims in the U.S. fell to 220,000, down from 222,000 the previous week [22]. 5. Prices - The RJ/CRB commodity price index was 302.67, showing a 0.1% decline from the previous week [25]. - U.S. gasoline prices decreased to $2.95 per gallon, down 0.1% from the previous week [25]. 6. Financial Conditions - The Bloomberg financial conditions index for the U.S. was 0.20, down from 0.27 the previous week, indicating tightening conditions [28]. - Offshore dollar liquidity has worsened, with the yen and euro swap basis against the dollar showing declines [28]. 7. Bond Yield Spread - The 10-year bond yield spread between Germany and Portugal narrowed, with spreads of -49.3bp and -106.0bp respectively [33].

Core Viewpoint - The article highlights the mixed signals in economic data from the US, Eurozone, and Japan, indicating a resilient service sector in the US, while manufacturing shows signs of weakness. Employment data is also showing marginal deterioration, suggesting potential risks in the economic outlook [2][5][6]. Economic Data Review - US service sector remains strong with the S&P Services PMI at 51, exceeding expectations of 49.7, while ISM Manufacturing PMI is at 50.3, below the expected 50.5 [5][14]. - Eurozone manufacturing, inflation, and employment data exceeded expectations, with the manufacturing PMI at 47.6, CPI at 2.4%, and unemployment rate at 6.2% [6][15]. - Japan's unemployment rate rose to 2.5%, higher than expected, but the service sector PMI remains robust at 53.7 [6][15]. High-Frequency Data - US economic activity index declined to 2.24, while Germany's index increased to around 0.41 [7][17]. - US retail sales growth rebounded to 6.6% year-on-year [8][18]. - Mortgage rates in the US decreased to 6.63%, with mortgage applications rebounding by 14.1% [9][19]. - Initial jobless claims in the US increased to 221,000, while continuing claims rose to 1.897 million [10][21]. Financial Conditions - Financial conditions in the US and Eurozone are tightening, with the Bloomberg Financial Conditions Index for the US at 0.27 [11][23]. - The US high-yield corporate bond spread widened to 2.91 basis points [25]. - The US-Euro bond yield spread narrowed significantly by approximately 44.9 basis points to 134.5 basis points [12][27].