宏 观 研 究 "流动性笔记"系列之七 2025 年 12 月 27 日 美联储扩表与 QE 时代的终结 世 界 经 济 相关研究 - 证 券 研 究 报 告 美联储开启了"常态化"扩表的新阶段，其提供准备金的方式有两种：准备金管理购买（RMP） 和机构证券本金再投资。交易台从 12 月 12 日开始实施 RMP，首月规模为 400 亿美元，预计 2026 年 4 月之前将保持高位，此后或放缓至平均 200-250 亿美元/月。 （二）RMP 的本质：货币市场流动性管理，与 QE 存在本质区别 证券分析师 赵伟 A0230524070010 zhaowei@swsresearch.com 陈达飞 A0230524080010 chendf@swsresearch.com 赵宇 A0230524080007 zhaoyu2@swsresearch.com 王茂宇 A0230521120001 wangmy2@swsresearch.com 李欣越 A0230524080004 lixy@swsresearch.com 联系人 陈达飞 A0230524080010 chendf@swsresearch.com 本 ...

2025.12.10 本文字数：2573，阅读时长大约4分钟 作者 |第一财经 韦薇 美股距离年底还有近10个交易日，"降息交易"成为交易员的头号关注事项。 当前，市场对12月（本周四）降息概率的定价已接近90%（三周前的低谷约为30%）。在结束量化紧缩 后，美联储是否会以某种形式重启扩表以增加市场流动性，也备受瞩目。 在降息气氛的烘托下，美股似乎正从"人工智能（AI）泡沫论"中复苏，重新备战年底的"圣诞反弹"。据 第一财经获悉，高盛对冲基金主管帕斯卡列洛（Tony Pasquariello）在最新的交易笔记中提及，就在三 周前，各种投资者情绪指标都处于低迷状态，标普500指数跌破50日移动均线，客户大幅卖出，而如 今，隐含波动率大幅下降，多头头寸重新充盈，标普500指数距离突破高点仅差毫厘。 鹰派降息+扩表？ 事实上，由于最新劳动力数据发布延迟，市场预期的波动尤为剧烈。景顺亚太区全球市场策略师赵耀庭 对第一财经提及，就在不久前，市场对12月份降息的预期概率只有20%，但是就在最近这几天概率上升 到近100%。"虽然在这段时间美国经济数据几乎没有出现什么新的进展，但市场预期却出现如此剧烈的 摆动，这说明未来这 ...

Core Viewpoint - The market is currently focused on the high probability of a rate cut by the Federal Reserve in December, which has risen to nearly 90% from about 30% three weeks ago, indicating a shift in investor sentiment towards a potential "Santa Rally" in the stock market [1][2]. Group 1: Interest Rate Expectations - The market anticipates a third consecutive rate cut of 25 basis points, lowering the federal funds rate to a range of 3.5%–3.75% [2]. - Concerns about the labor market are driving the rationale for rate cuts, with the unemployment rate rising to 4.4% and the unemployment rate for college graduates aged 20-24 reaching 8.5%, up 3.5 percentage points from 2022 [2][3]. - The Federal Reserve's balance sheet has decreased to $6.5 trillion, with bank reserves at $2.9 trillion, leading to speculation about the potential resumption of quantitative easing to enhance market liquidity [3][4]. Group 2: Market Sentiment and Seasonal Trends - Despite a surprising sell-off in November, traders are preparing for a "Santa Rally," as December typically shows strong seasonal performance for U.S. stocks [5]. - The Nasdaq 100 index has historically outperformed other indices in December, with an average increase of 1.7%, and if it records positive returns, the average gain could rise to 6% [6]. - The Russell 2000 index has shown even stronger performance, with a December average return of 2.3% and a monthly average positive return of 4.3%, indicating its stability and potential for higher returns compared to major benchmarks [6]. Group 3: Long-term Market Outlook - Major Wall Street firms maintain a positive outlook for the market heading into 2026, with Morgan Stanley projecting the S&P 500 to reach 7800 points, supported by strong earnings growth and operational leverage [7]. - Bank of America adopts a more cautious stance, forecasting the S&P 500 to end 2026 at 7100 points, citing concerns over liquidity and the shift in capital expenditure priorities [8]. - There is a consensus among institutions regarding the ongoing earnings divergence, with AI leaders showing resilience while smaller companies may have greater recovery potential [8].

美联储是否会以某种形式重启扩表以增加市场流动性，备受瞩目。 市场普遍预期，美联储将连续第三次降息25个基点（BP），把联邦基金利率区间降至3.5%–3.75%。 高盛认为，降息理由充分：就业增长不足以匹配劳动力供给增长，失业率已连续三个月上升至4.4%； 多项劳动力市场紧张度指标整体走弱。 数据显示，受过大学教育的劳动者就业市场的恶化尤为显著。20-24岁大学毕业生的失业率已攀升至 8.5%，比2022年的低点高出3.5个百分点。大学毕业生占美国劳动力的40%以上，约占美国劳动收入的 55-60%。这一关键人群就业机会的进一步恶化，或许反映AI和其他提高效率措施的影响可能会对消费 支出产生不成比例的负面影响，并最终导致进一步的降息。 美股距离年底还有近10个交易日，"降息交易"成为交易员的头号关注事项。 当前，市场对12月（本周四）降息概率的定价已接近90%（三周前的低谷约为30%）。在结束量化紧缩 后，美联储是否会以某种形式重启扩表以增加市场流动性，也备受瞩目。 在降息气氛的烘托下，美股似乎正从"人工智能（AI）泡沫论"中复苏，重新备战年底的"圣诞反弹"。据 第一财经获悉，高盛对冲基金主管帕斯卡列洛（Ton ...

Group 1 - The Federal Reserve Chairman Jerome Powell announced a 25 basis point interest rate cut during the October FOMC meeting, bringing the total rate cut since June of last year to 150 basis points, indicating that more cuts are likely to come [1] - Powell hinted at the end of quantitative tightening (QT) during a meeting in Philadelphia, confirming that the Fed will officially end its balance sheet reduction on December 1 [1] - The historical context shows that since the establishment of the Fed in 1913, the dollar has lost 97% of its purchasing power, with $100 in 1913 now equivalent to $3.20 [1] Group 2 - The primary reason for the dollar's depreciation has been the severing of its link to gold, with the introduction of quantitative easing (QE) in the 21st century, which involves the Fed creating money to purchase government bonds, thus eroding the value of existing dollars [4] - Following the 2008 financial crisis, the Fed expanded its balance sheet from $900 billion to $4.5 trillion through multiple rounds of QE, creating approximately $3.6 trillion, resulting in a 20% decrease in dollar purchasing power by the end of the QE period [4] - During the COVID-19 pandemic, the Fed created $3.3 trillion in 2020 alone, which accounted for about 20% of the total circulating dollars at that time, leading to a significant increase in the balance sheet from $4.2 trillion to $8.9 trillion by April 2022, causing a 25% decline in dollar purchasing power from 2020 to 2025 [4] Group 3 - The Fed is expected to restart QE to lower long-term interest rates, likely starting early next year, with a balance sheet already inflated to approximately $6.6 trillion, which could lead to double-digit inflation [5] - The upcoming monetary policy could result in unprecedented large-scale and rapid currency devaluation in the U.S. economy [5]

Core Viewpoint - The Bank of Japan is cautious in its monetary policy decisions regarding interest rate hikes and balance sheet reduction due to various internal and external constraints, despite recent inflationary pressures and economic recovery [1][16]. Group 1: Economic Context - Japan has experienced persistent inflation and positive economic growth, emerging from decades of stagnation, with the central bank having raised interest rates three times since March of last year, totaling 60 basis points [1][4]. - The inflationary trend in Japan is attributed to a series of external shocks rather than the effectiveness of quantitative easing (QE) policies [1][4][16]. Group 2: Historical Monetary Policy - The Bank of Japan was the first to implement QE in response to the asset bubble burst in the early 1990s, gradually lowering interest rates to near zero and officially introducing QE in 2001 [2][3]. - Despite the introduction of QE and QQE, Japan struggled with low inflation rates until 2022, when inflation began to exceed the 2% target [3][4]. Group 3: Recent Inflation Drivers - The COVID-19 pandemic disrupted global supply chains, significantly increasing international commodity prices, which contributed to inflation in Japan [6][8]. - The ongoing conflict between Russia and Ukraine further exacerbated supply chain issues and commodity price increases, impacting Japan's inflation [6][9]. Group 4: Inflation Statistics - Japan's CPI and core CPI inflation rates rose to 2.5%, 3.2%, and 2.7% from 2022 to 2024, indicating a significant shift from previous years of deflation [4][8]. - In 2022, Japan's average PPI inflation reached 9.8%, with CPI and core CPI inflation also showing substantial increases compared to previous years [8][12]. Group 5: Monetary Policy Implications - The rise in inflation and inflation expectations has prompted the Bank of Japan to consider normalizing its monetary policy, with interest rate hikes beginning in January of the previous year [14][16]. - The central bank's decisions are influenced by external monetary policy trends, particularly the aggressive rate hikes by the Federal Reserve, which have led to a depreciation of the yen [9][16]. Group 6: Economic Growth and Outlook - Japan's nominal GDP growth is projected to average 3.0% from 2021 to 2024, indicating an improvement compared to previous years [12][13]. - However, the economic recovery remains fragile, with potential challenges arising from rising interest rates and government financing costs due to high debt levels [15][16].

Core Viewpoint - The independence of the Federal Reserve is derived from public trust, and it must recommit to maintaining the confidence of the American people. The focus should be on three statutory responsibilities: maximum employment, price stability, and moderate long-term interest rates [1][2][14]. Group 1: Critique of Current Policies - The use of unconventional monetary policies since the 2008 financial crisis is described as a dangerous "functional gain" experiment, threatening the independence of the Federal Reserve [2][10]. - The overuse of unconventional policies and the expansion of functions have led to a concentration of wealth among asset owners, exacerbating inequality [4][12]. - The Federal Reserve's actions have created a perception that monetary policy is being used to accommodate fiscal needs, undermining its independence [7][13]. Group 2: Recommendations for the Federal Reserve - The Federal Reserve should return to its narrow statutory mission and reduce economic distortions, focusing on maximum employment, price stability, and moderate long-term interest rates [8][14]. - Unconventional policies like quantitative easing (QE) should only be used in "true emergencies" and in coordination with other government departments [2][8][14]. - A comprehensive, independent, and nonpartisan review of the Federal Reserve's monetary policy, regulation, communication, personnel, and research is necessary [8][13]. Group 3: Market Implications - The statements made by the Treasury Secretary are seen as a precursor to a significant shift in U.S. monetary policy, potentially paving the way for financial repression policies such as QE or yield curve control (YCC) [3][9]. - If such policies are implemented, they could lead to a weaker dollar and benefit commodities like gold, silver, and copper, as well as markets like A-shares and Hong Kong stocks [3][9].

Core Viewpoint - U.S. Treasury Secretary Bessen criticizes the Federal Reserve for straying from its statutory duties and emphasizes the need for the Fed to regain public trust and focus on its core mission of maximizing employment, stabilizing prices, and maintaining moderate long-term interest rates [1][12]. Group 1: Critique of Federal Reserve Policies - Bessen describes the Fed's post-financial crisis policies as a dangerous "functional gain" experiment, warning that excessive use of unconventional policies threatens the central bank's independence [1][3]. - He argues that these policies have exacerbated wealth inequality, benefiting asset owners while disadvantaging small businesses and lower-income families [3][10]. - The Treasury Secretary highlights that the Fed's failure to achieve its inflation mandate has widened class and generational disparities, counteracting its intended growth stimulation through the "wealth effect" [3][10]. Group 2: Call for Policy Reformation - Bessen calls for the Fed to return to its three statutory responsibilities and to reduce economic distortions caused by its policies [6][12]. - He insists that unconventional policies like quantitative easing (QE) should only be employed in genuine emergencies and in coordination with other government departments [6][12]. - The need for an independent, bipartisan review of the Fed's monetary policy, regulation, communication, staffing, and research is emphasized to restore credibility and independence [6][11]. Group 3: Implications for Future Monetary Policy - Analysts interpret Bessen's statements as a potential precursor to significant shifts in U.S. monetary policy, possibly paving the way for renewed QE or yield curve control (YCC) [2][7]. - The introduction of "moderate long-term interest rates" as a focus area is seen as a notable signal, suggesting a priority on lowering long-term financing costs, particularly for mortgage rates [1][7]. - If such policies are implemented, they could lead to a weaker dollar and benefit commodities like gold, silver, and copper, as well as markets such as A-shares and Hong Kong stocks [2][7].

Group 1 - The core argument of the report is that the massive excess liquidity released by the Federal Reserve and the U.S. Treasury has been the primary driver of the bull market in U.S. and global stock markets, raising concerns about how long this support can maintain high valuations [1][2] - The report questions the sustainability of the current high valuations in the stock market, particularly in light of the significant gap between the S&P 500 index and actual corporate profits, which has historically led to negative annualized returns [5][6] - The analysis indicates that the relationship between stock market valuations and productivity growth is distorted due to liquidity effects rather than fundamental economic strength, suggesting a potential risk for risk assets in the near term [2][5] Group 2 - The report highlights that the current market environment is characterized by complacency, with a significant number of earnings downgrades exceeding upgrades, raising the risk of increased volatility and potential declines in the stock market [7][8] - Analysts from JPMorgan warn that the global stock market, particularly the U.S. market, may face significant cracks despite recent highs, as the market sentiment appears overly optimistic amid tightening liquidity and deteriorating corporate earnings outlooks [7][8] - The report anticipates that the S&P 500 index may experience a notable decline, with projections suggesting a potential drop of around 15% by the end of the year, reflecting concerns over high valuations and economic slowdown [8]

Core Viewpoint - The European Central Bank (ECB) is likely to prefer providing liquidity tools linked to loans to commercial banks rather than large-scale bond purchases (QE) in response to future economic challenges [1][4]. Group 1: ECB's Preferred Tools - Economists surveyed believe that in cases of weak inflation, economic slowdown, or financial instability, the ECB will prioritize liquidity injections through Long-Term Refinancing Operations (LTRO) [1]. - The ECB may only resort to targeted asset purchase programs if interest rate signals fail to transmit effectively within the Eurozone [1]. Group 2: Concerns Over QE - ECB decision-makers have reservations about the QE policy implemented from 2015 to 2022, especially given the historical losses faced by central banks like the Bundesbank due to rising interest rates [4]. - The Bundesbank has projected a loss of nearly €20 billion (approximately $23 billion) in 2024, marking its first annual loss since the 1970s, which raises concerns about the risks associated with large-scale bond purchases [4]. Group 3: Policy Framework Evaluation - The ECB has retained all policy tools, including QE, but has not specified the conditions under which each tool would be favored [5]. - ECB officials have differing opinions on preferred policy tools, with some favoring direct long-term bond purchases while others prefer LTROs and unutilized targeted asset purchase plans [5][6]. Group 4: Risks and Credibility - The Bundesbank emphasizes caution regarding QE due to the significant risk of losses during crises [6]. - ECB Executive Board member Isabel Schnabel warns that losses could undermine the ECB's credibility, suggesting that loan support mechanisms may be more effective for restoring credit supply and easier to exit [6].