支持品类：支持十年期国债、十年期国开债、三十年期债券、地方债、银行二永债、TLAC非资本债、 NCD同业存单七大品种。 机构分类：支持银行、券商、广义基金、保险和其他类型机构5大类型机构。 指数示例：每条曲线代表某一类机构对该品种的买卖力量指数数值变化，直观展现其在不同时段的交易 倾向。 新华财经北京1月9日电为更全面地覆盖固收交易品类，新华财经债券市场情绪雷达持续迭代完善，近期 上新国利货币"同业存单买卖力量对比指数"。该指数聚焦流动性强、交易活跃的货币市场工具——同业 存单（NCD），填补了短端交易品类的市场情绪监测空白，助力用户更精准把握短期资金面变化和机 构博弈格局，进一步丰富和完善新华财经债券市场势能指数体系。 国利货币"买卖力量对比指数"是基于实时交易数据，追踪不同类型机构在特定时段内对特定类型债券的 买入／卖出行为，计算量化出的综合情绪指标。 数值区间：该指数数值区间为（-100,100），指数绝对值越大表示买卖力量对比越强。其中，(0,100)代 表"买入力量"大于"卖出力量"；(-100,0)代表"买入力量"小于"卖出力量"；0代表买入、卖出力量均衡； 0*代表无有效交易发生。 更新频率：以 ...

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The current RMB exchange - rate appreciation is more likely the third scenario where domestic entities' risk preference changes, so it does not benefit Hong Kong stocks, and the sustainability of the RMB's strength is questionable. It is hoped that future RMB appreciation will be the first scenario, corresponding to the burst of the US tech bubble [17]. - In the de - leveraging cycle, the bias of the stock - bond ratio in favor of equities is limited, and the value style has a higher probability of relative dominance [9][58]. Summary by Directory 1. National Balance Sheet Analysis - **Liability Side**: In November 2025, the liability growth rate of the real sector was 8.6% (previous value 8.7%), expected to decline to around 8.3% in December. The money market continued to loosen marginally last week. The central bank's stance indicates that the goal of stabilizing the macro - leverage ratio remains unchanged, waiting for the quantitative fiscal target from the Two Sessions in 2026 [2][16]. - **Fiscal Policy**: Last week, the net increase in government bonds was 1707 billion yuan (higher than the planned 1148 billion yuan), and the planned net increase next week is 174 billion yuan. The government liability growth rate is expected to decline to around 12.4% in December from 13.1% in November [2][18]. - **Monetary Policy**: Last week, the average weekly trading volume and price of funds increased, and the term spread widened. The one - year Treasury yield dropped to 1.29% at the weekend. The market may have over - anticipated a 2026 interest - rate cut. The term spread between the ten - year and one - year Treasuries widened to 55 basis points. The money - market loosening may be approaching its limit [3][18]. - **Asset Side**: In November, physical quantity data showed signs of stabilizing at a low level. The full - year nominal economic growth target for 2025 is 4.9%, and it is necessary to confirm whether 5% will be the central target for China's nominal economic growth in the next 1 - 2 years [3][19]. 2. Stock - Bond Cost - Effectiveness and Stock - Bond Style - **Economic Cycle**: Since 2011, China has entered a downward cycle of potential economic growth, which seems to have ended in Q4 2024. The Chinese government put forward three policy goals in 2016. Currently, the convergence on the liability side is not over but has limited space. If the valuation of the US technology sector is re - evaluated, global funds may flow to China [6][20]. - **Last Week's Market Performance**: The money market continued to loosen, risk preference rose, and the growth style dominated. The stock - bond ratio favored stocks. The ten - year Treasury yield rose 1 basis point to 1.84%, the one - year yield dropped 7 basis points to 1.29%, and the 30 - year yield remained stable at 2.22%. The broad - based rotation strategy underperformed the CSI 300 by - 0.32 pct last week and - 5.41 pct since July 2024 [7][21]. - **Investment Recommendations**: Bonds at the long end are considered to have investment value. For equities, a neutral stance is taken, with a focus on style. Before seeing the government's bond - issuance plan, the value style is expected to dominate. This week, the Shanghai 50 Index (60% position), the CSI 1000 Index (20% position), and the 30 - year Treasury ETF (20% position) are recommended [8][22]. 3. Industry Recommendations - **Industry Performance Review**: This week, A - shares rose with increased trading volume. Among Shenwan primary industries, non - ferrous metals, national defense and military industry, power equipment, electronics, and building materials had the largest increases, while beauty care, social services, banks, coal, and food and beverage had the largest declines [28]. - **Industry Crowding and Trading Volume**: As of December 26, the top five crowded industries were electronics, power equipment, machinery, national defense and military industry, and non - ferrous metals. The trading volume of the whole A - share market rebounded. Transportation, non - ferrous metals, and other industries had the highest trading - volume growth rates, while banks, coal, and other industries had the largest declines [31][32]. - **Industry Valuation and Earnings**: This week, the PE(TTM) of non - ferrous metals, national defense and military industry, and other industries increased the most, while that of social services, beauty care, and other industries decreased the most. Industries with high 2024 full - year earnings forecasts and relatively low current valuations include banks, securities, and others [36][37]. - **Industry Prosperity**: Externally, there was a marginal decline. The global manufacturing PMI decreased in November, and export growth rates of some countries changed. Domestically, the second - hand housing price dropped, and quantity indicators fluctuated. The highway truck traffic volume declined, and the industrial capacity utilization rate showed a fluctuating trend [41]. - **Public - Fund Market Review**: In the fourth week of December, most active public - fund equity funds outperformed the CSI 300. As of December 26, the net asset value of active public - fund equity funds slightly increased compared to Q4 2024 [55]. - **Industry Recommendations**: In the de - leveraging cycle, the stock - bond ratio favors equities to a limited extent, and the value style is more likely to dominate. The recommended A + H dividend portfolio includes 13 stocks, and the A - share portfolio includes 20 stocks, mainly in industries such as banks, telecommunications, and oil and petrochemicals [9][58].

华泰证券指出，2025年的债券市场是典型的"非牛非熊的震荡市"，利率结束了长达四年的单边下行，十 年期国债在1.6-1.9%的狭窄区间反复震荡。市场运行特征出现新变化，比如对宏观经济脱敏、波动加大 和股债跷跷板。对投资者而言，今年也是对"低利率"环境感受最为深刻的一年：票息回报大幅降低，资 本利得难于获取，仅有的几波行情演绎速度也很快，对框架和操作都带来极大挑战。今年的债券市场有 几个重要主题：一是敬畏趋势的同时更要相信常识，二是波段交易说易行难，三是震荡市也不乏结构性 机会，四是债市生态深刻变革，五是看股做债的背后是大类资产配置方向切换。 ...

Group 1 - In 2025, major asset performance showed significant differentiation, with gold prices rising over 60%, A-shares experiencing a structural bull market, and the bond market entering a phase of volatility [1][6] - The driving forces behind these trends include a domestic financial cycle downturn, a restructuring of the global economic order, and a deepening industrial revolution led by AI [6][7] - The bond market faced challenges due to the "asset shortage" logic weakening and economic rebalancing policies entering a phase of turbulence [6][7] Group 2 - For 2026, the market is expected to be in a complex transitional phase, with a strategic focus on defensive positioning while tactically seeking structural opportunities in commodities and equities [2][10] - The stock market is anticipated to see a profit-driven rally supported by improved economic fundamentals, ample liquidity, and reasonable valuations, particularly in sectors like AI and semiconductors [3][15] - The bond market is projected to experience a wide fluctuation in yields, with the ten-year government bond yield expected to range between 1.6% and 2.1% [3][47] Group 3 - The commodity market is expected to continue structural differentiation, with basic metals like copper and aluminum benefiting from global fiscal expansion and industrial upgrade demands [3][63] - Gold is anticipated to undergo a phase of high-level consolidation, supported by weakened dollar credit and central bank purchases, while facing short-term volatility [3][74] - The investment logic for commodities is shifting from traditional economic cycles to a focus on strategic scarcity and essential resources, particularly in the context of global security and industrial needs [3][64][66]

报告摘要 1、金融时序预测和神经网络模型 针对金融时间序列的预测，经历了从传统计量模型、到传统机器学习模型、再到深度学习模型的三个主要 发展阶段。深度学习模型能够较好适应金融时间序列的非平稳、非线性、高噪声和长记忆性等复杂特征， 是当前主流的金融时序预测方法之一。 神经网络模型（Neural Networks，NN）是一种模仿人脑神经元连接结构设计的机器学习模型，也是深度 学习的基础结构。循环神经网络（RNN）及其变种模型，如长短期记忆神经网络（LSTM），是专为处理 序列数据而设计的网络，具备记忆性和参数共享等优势。LSTM是为解决传统RNN的长期依赖问题而专门 设计的模型，通过引入特有的"门控机制"和记忆单元，不仅有效缓解了传统RNN的梯度消失/爆炸问题，而 且能够过滤序列中的噪声与无关信息，增强对不规则数据的鲁棒性。在进行债券收益率预测时，LSTM的 上述优势使其能够有效处理长时期的时间序列，同时过滤噪声，精准捕捉收益率的动态变化规律。 2、基于堆叠LSTM模型的国债收益率预测 本报告采用了三层堆叠LSTM+Dropout正则化的经典稳健架构来构建十年期国债收益率预测模型，初步探 索深度学习模型在固收量 ...

点击注册小程序 查看完整报告 特别申明： 本订阅号中所涉及的证券研究信息由光大证券研究所编写，仅面向光大证券专业投资者客户，用作新媒体形势下研究 信息和研究观点的沟通交流。非光大证券专业投资者客户，请勿订阅、接收或使用本订阅号中的任何信息。本订阅号 难以设置访问权限，若给您造成不便，敬请谅解。光大证券研究所不会因关注、收到或阅读本订阅号推送内容而视相 关人员为光大证券的客户。 今 日 聚 焦 【宏观】胶着的医保谈判，不确定的政府停摆——《大国博弈》系列第九十二篇 2025年，拜登加强型医保成为两党政治博弈工具，也成为了牵动资本市场的重要线索。目前，两党仅就3个部 门的全年预算（占比11%）达成一致，剩余9个部门预算将在2026年1月30日到期。而在12月11日的医保投票 中，双方再次否决对方提案，导致圣诞节假期前解决医保的希望基本破灭。明年一季度，应对医保和政府关 门，可能有四种场景，也对应不同的资产价格表现。 （赵格格）2025-12-15 您可点击今日推送内容的第1条查看 【金工】交易信心有所提振，后市仍将震荡上行——金融工程市场跟踪周报20251215 本周A股震荡上行，市场量能有所提振。沪深300、中 ...

总量研究 基于堆叠 LSTM 模型的十年期国债收益率预测 ——量化学习笔记之一 2025 年 12 月 15 日 2、 基于堆叠 LSTM 模型的国债收益率预测 构建混合模型。将 LSTM 模型与传统计量模型或其他机器学习模型相结合，构建 如 ARIMAX-LSTM、CNN-LSTM-ATT 等混合模型，能够发挥不同模型优势，弥补 单一 LSTM 模型缺陷，提升预测精度。 本报告采用了三层堆叠 LSTM+Dropout 正则化的经典稳健架构来构建十年期国 债收益率预测模型，初步探索深度学习模型在固收量化领域的应用和效果。 模型以 2021 年初至数据获取当日（截至 2025 年 12 月 12 日）的十年期国债收 益率为数据标的，以过去 60 个交易日的收益率一阶差分作为输入特征，以未来 一周的收益率一阶差分作为预测目标来构建时间序列样本。最终构建出一个包含 约 13 万个可调参数的中等复杂度的 LSTM 神经网络模型，模型于第 27 轮训练 迭代出最优模型，针对测试集预测的平均绝对误差为 1.43BP，最优模型预测本 周（2025 年 12 月 15 日-2025 年 12 月 19 日）十年期国债收益率整 ...

文 ： 华创证券研究所副所长 、首席宏观分析师 张瑜（执业证号：S0360518090001） 联系人： 文若愚（微信 LRsuperdope） 核心观点 1、分析十年期国债收益率存在三种框架。站在国别视角，十年期国债收益率表征该国的无风险收益率，应 该与该国的经济增速和投资回报相对应；站在资金视角，十年期国债表征资金的价格，应该与经济周期和 资产配置周期相匹配；站在政策视角，利率是货币政策工具，十年期国债收益率应该与政策利率和融资结 构相匹配。 2、国别经验来看，在开启非常规货币政策之前（政策利率降至0%之前），4%~5%的名义GDP通常对应代 表无风险利率的十年期国债收益率在2%~5%之间，1.5%~2.5%的股息率同样对应代表无风险利率的十年期 国债收益率在2%~5%之间。 3、供需框架来看，企业居民存款剪刀差抬升对应实体经济对资金需求强劲，该指标领先十年期国债收益率 一年左右，且过去一年持续向上修复；非银投资差值（非银机构向实体投放资金-非银机构存款）抬升对应 金融机构风险偏好抬升，该指标领先十年期国债半年左右，且自2024年10月以来趋势抬升。 4、政策视角来看，以2022年，2023年和2024年 ...

Group 1: Macroeconomic Framework - The ten-year government bond yield reflects the risk-free rate of a country and should correspond to the country's economic growth and investment returns[1] - Prior to unconventional monetary policy, a nominal GDP growth of 4%-5% typically corresponds to a ten-year bond yield of 2%-5%[2] - Currently, China's nominal GDP growth is approximately 4.2%, while the ten-year bond yield is around 1.85%[4] Group 2: Supply and Demand Perspective - The increase in the corporate-resident deposit gap indicates strong demand for funds in the real economy, leading the ten-year bond yield by about one year[9] - The non-bank investment gap has been rising since October 2024, suggesting an increase in financial institutions' risk appetite, which leads the ten-year bond yield by about six months[9] - The corporate-resident deposit gap has risen by 9% over the past year, indicating a higher probability of an increase in the ten-year bond yield[9] Group 3: Policy Perspective - As of 2022, 2023, and 2024, the ten-year bond yield has declined more than the policy rate by 12bp, 38bp, and 30bp respectively, indicating limited further downward space for yields[10] - The current expectation of unconventional monetary policy for 2025 has cooled, suggesting a gradual return of the ten-year bond yield to normal levels[3] - Historical experience shows that during periods of government-led leverage increases, the probability of significant interest rate hikes remains low[11]

Group 1 - The global market has been unstable since October last year, with the ten-year Treasury yield rising from 3.8% to 4.1% despite the Federal Reserve's interest rate cuts [1] - The total federal debt has exceeded $35 trillion, raising concerns about the sustainability of U.S. fiscal policy [1] - Pacific Investment Management Company (PIMCO) announced a reduction in long-term U.S. Treasury holdings and shifted investments to UK and Australian bonds, reflecting a broader trend among Wall Street firms [3] Group 2 - The U.S. federal deficit is projected to grow significantly, reaching $1.7 trillion for the fiscal year 2024, increasing the risk associated with long-term bonds [3] - In November, a $20 billion auction of 20-year bonds saw a bid-to-cover ratio of only 2.46, below the average of 2.6, indicating weak demand [5] - Foreign holdings of U.S. Treasuries have decreased, with China reducing its holdings to $800 billion and Japan and the EU also slowing their purchases [5] Group 3 - The Nasdaq index is heavily reliant on companies like Google and Tesla, while the Dow Jones has seen a decline of 3.2% over seven consecutive days [7] - The correlation between economic growth and debt is strong, with a projected GDP growth of 2.5% in 2024 largely dependent on federal spending [7] - Following PIMCO's reduction in holdings, bond volatility (VIX) increased by 15%, with investors shifting towards gold and euro-denominated bonds [7] Group 4 - The Federal Reserve is expected to add $1.6 trillion in new debt in 2024, with 40% of this being absorbed by domestic institutions [9] - The Fed's meeting in December is anticipated to result in at least a 25 basis point rate cut to alleviate borrowing costs [9] - Current economic indicators show an employment rate of 4.2% and a core PCE inflation rate of 2.8%, exceeding the 2% target [9] Group 5 - The Federal Reserve adjusted the federal funds rate to a range of 4.25% to 4.5%, marking the third rate cut of the year [11] - There was dissent from Cleveland Fed President Loretta Mester, who expressed concerns about potential inflation rebound [11] - The Fed also modified its balance sheet policy, reducing the monthly limit on Treasury redemptions starting in April 2025 [11] Group 6 - The yield on 20-year bonds reached 5.047% in November, with a bid-to-cover ratio hitting a new low for the month [13] - After the Fed's decision, the ten-year yield dropped to 4.06%, stabilizing the auction process [13] - The exchange rate dynamics have influenced inflation, with the Chinese yuan depreciating by 15% in 2023, affecting U.S. import costs [13] Group 7 - The U.S. debt situation has become increasingly problematic since Trump's presidency, with the debt reaching $36.22 trillion at the time of his inauguration [15] - The demand for 20-year bonds remains low, with primary dealers holding 25% of the shares and foreign investors at 69% [15] - To stabilize the market, Trump initiated economic discussions with China, although there is currently no annual review agreement in place [15]