美债利率对美元指数的影响分析

<正>文章梳理美债利率和美元指数的相互影响逻辑,把美债名义利率分解为实际利率和通胀预期,将经济周期划分为四个阶段,不同阶段美元走势也表现出不同的方向。本轮中,美国财政发力导致长期限美债供给大幅增加,美联储持续缩表导致美债供求矛盾加剧,美国经济一枝独秀使得利差因素助推美元等,导致美债收益率和美元同步走高。文章进一步展望未来市场走势。     

2010年8月国际金融市场运行综述

2010年8月，美国公布的多数经济数据表现疲弱，显示其经济复苏步伐明显放缓，市场避险需求上升。受此影响，美元对欧元、英镑走强，但对日元走弱。美元短期利率下降，欧元、英镑和日元短期利率基本走平。主要国家中长期国债收益率明显下降。全球主要股指下跌。     

2010年7月国际金融市场运行综述

7月,欧洲主权债务危机引发的恐慌情绪逐渐减退,投资者风险偏好上升,同时,美国公布的多数经济数据表现不佳,显示美国经济复苏步伐放缓,美元对主要货币明显走低。美元短期利率下降,欧元、英镑短期利率上升,日元短期利率持平。美国、英国、日本中长期国债收益率下降,德国中长期国债收益率上升。各主要股指振荡上涨。     

2016年世界经济展望：分水岭

当前世界各区域经济表现已经呈现出巨大的分水岭:美国表现出众,而新兴市场经济体仍然处境艰难。美国经济中服务行业增势强劲,加工制造业则乏善可陈。劳动力市场已接近充分就业状态,经济发展和通货膨胀仍低于美联储的目标。美国经济将以强劲动能进入2016年,美联储也将继续提升联邦基金利率。新兴市场经济体则可能继续面临减速的发展态势。本刊编辑部编译了富国证券经济研究组的这份研究报告,供广大金融界人士研究参考。     

2010年上半年国际金融市场运行综述

2010年上半年,在美国经济持续复苏以及欧洲主权债务危机不断深化等因素影响下,美元持续走强。美元、英镑短期利率上升,欧元短期利率先降后升,日元短期利率下降。主要国家中长期国债收益率下降。各主要股指先升后降。     

外币大额存贷款利率市场化定价机制分析

利率市场化是我国金融改革的重要内容,外币存贷款利率市场化在利率市场化进程中起步早,市场化程度高,尤其是外币大额存贷款利率已完全市场化。商业银行密切关注发钞国中央银行的货币政策,以国际金融市场利率为定价基础,主动适应国内外经济、金融环境变化,人民币汇率的市场走势变化,境内外金融市场本外币利率差异,综合运用利率风险管理手段,建立起外币大额存贷款利率市场化定价机制。     

2010年4月国际金融市场运行综述

2010年4月,受美国经济复苏势头良好,主要评级机构下调希腊、葡萄牙和西班牙主权信用评级,市场避险情绪升温影响,美元对欧元走强,对英镑、日元基本走平。美元、欧元、英镑短期利率上升,日元短期利率微降。主要国家中长期国债收益率下降。美国主要股指振荡上涨,欧洲、亚洲主要股指总体下跌。     

2013年基金适度积极，重在优选

2012年年底,在经济小周期复苏、股市估值触底、领导层换届效应的支撑下,股市走出一轮触底复苏行情,反弹高度超过10％,投资者信心和做多热情再度被点燃。与此同时,债券市场未能延续上半年的出色表现,下半年呈现震荡调整的走势。而欧美等外围市场虽全年表现优于A股市场,但欧元区经济复苏前景黯淡,美国财政悬崖危机对外围市场走势形成较大困扰。     

2003年我国债券市场展望

2003 年利率与市场走势分析 首先看2003 年的利率走势。由于 2002 年经济增长出现“前低后高”的良 性态势,2003 年的经济增长仍可望保 持较高的水平。央行的货币供应量在 2002 年保持了较高水平,到年底M2 的 实际增长率达到17%,外汇占款增加 货币投放的压力还在增加,从而在 2003 年可能出现轻度的通货膨胀。高 盛预测2003 年中国将有0.5%的通胀 率。同时,由于目前的基准利率一年期 存款利率与准备金利率已相当接近, 降息对金融机构的正面效应在减少, 可能存在一定阻力。综合分析,2003 年 降息的可能性不大。 其次看基准利率是否会上调。一 方面,国有商业银行的改革目标尚未 达到,党的十六大提出的经济增长指 标又较高,提高利率不利于上述目标 的实现;另一方面,物价水平不会有大 的反弹。我国初级产品因生产相对过 剩而存在降价压力,而高科技产品又 因全球范围内的技术进步难以提升价 格。根据摩根大通的预测,未...     

美国金融市场主要利率简介

美国金融市场利率的变化,一向是金融企业界关心的问题,它不仅影响美国经济,对世界经济也有很大影响。美国利率种类较多,它们对同一特定政策行动反映并不相同,在不同时期、不同经济情况下,其作用及影响也不完全相同。为了说明问题,现对美国主要利率的基本情况简介如下。     

An open-economy macro-finance model of international interdependence: The OECD,US and the UK

This paper develops a multi-country macro-finance model to study international economic and financial linkages. This approach models the economy and financial markets jointly using both types of data to throw light on such issues. The world economy is modelled using data for the US and aggregate OECD economies as well as the US Treasury bond market using latent variables to represent a common inflation trend and a US real interest rate factor. We find strong evidence of global effects on both the US and UK, calling into question the standard closed economy macro-finance specification. These economic linkages also help to explain the co-movement of yields in the US and UK Treasury bond markets.     

The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis

This paper investigates the integration of the credit default swap (CDS) markets of 38 developed and emerging countries with the US market during the subprime crisis period by utilising dynamic conditional correlation from the multivariate GARCH model. Evidence reveals that the Lehman shock seems to have strengthened the integration, in particular, for developed markets. For both developed and emerging markets, declining US interest rates are found to be the main driving factor behind the higher level of correlation, suggesting that the CDS markets were heavily driven by the world largest economy when the crisis reached its peak.     

The scope for national monetary policy in the face of globalised financial markets

Conclusion Experience has shown that German monetary policy is far from impotent There is consequently no call for passive resignation. The monetary authorities must send clear signals if the current turbulence on the currency markets is to be kept in check. The Bundesbank itself has clearly shown — during the period following German Unification — that an autonomous monetary policy is possible in spite of the high degree of integration on international financial markets. It is hard to see why this should not be the case today simply because it is no longer interest rate hikes but base rate cuts that are called for.If interest rates are not reduced, the interest rate on the German capital market will continue to follow the lead set by American monetary policy. But is it right that the American central bank, on the basis of data on the state of the US economy, indirectly helps to determine whether new jobs are created in Germany and whether existing jobs are made more secure? What is required in the medium term is greater independence on the part of German monetary policy. The globalisation of financial markets does not stand in the way of such a strategy.     

Time-varying impacts of demand and supply oil shocks on correlations between crude oil prices and stock markets indices

This paper investigates the time-varying impacts of demand and supply oil shocks on correlations between changes in crude oil prices and stock markets returns. The findings, obtained by means of a DCC-GARCH from June 2006 to June 2016, indicate that demand shocks positively affected the correlations between crude oil prices and stock market returns from late 2007 to mid-2008, during the apex of the financial markets volatility; from early 2009 to mid-2013, during global economy recovery from the financial crisis; and after 2015, when uncertainties about the Chinese growth and the US economy upturning arose. The dynamic conditional correlation, obtained after the removal of demand shocks effects, presented an average value of 0.13 when all economy sectors were considered and of 0.03 when the energy sector returns were excluded from the stock index. These correlations, still positive on average, suggest that exogenous supply oil shocks had little impact on US mainly enterprises cash flows over the last 10 years. Exceptions are the periods from 2006 to financial crisis and from 2014 until April 2016, when significant and unpredicted changes in oil market happened, considerably affecting the value of the main US companies.     

Causal relations among stock returns and macroeconomic variables in a small,open economy

We investigate to what extent important results on relations among stock returns and macroeconomic factors from major markets are valid in a small, open economy by utilizing the multivariate vector autoregressive (VAR) approach on Norwegian data. Unlike many previous studies, which use a different methodology on other European markets, we establish several significant links. Consistent with US and Japanese findings, real interest rate changes affect both stock returns and inflation, and the stock market responds accurately to oil price changes. On the other hand, the stock market shows a delayed response to changes in domestic real activity.     

2010年1季度国际金融市场运行综述

一季度，受美国经济复苏的步伐较为稳固及希腊主权债务问题令投资者的避险需求上升等因素影响，美元对其他主要货币走强。美元、英镑短期利率上升，欧元、日元短期利率下降。美国中长期国债收益率呈“W”型走势，英国和德国中长期国债收益率下降，而日本中长期国债收益率上升。主要股指探底回升。     

External shocks and the non-linear dynamics of Brady bond spreads in a regime-switching VAR

This paper analyzes the response of interest rate differentials between yields on Brady bonds and risk-less bonds to shocks in US interest rates and to conditions in global emerging bond markets. The effect of those shocks is likely to be non-linear. To capture this non-linear propagation, the reaction of refinancing conditions to shocks is investigated within a Markov-switching VAR framework that endogenously separates a crisis regime from a no-crisis regime. Regime-dependent impulse response functions reveal the non-linear response to external shocks. In periods of financial turbulences the positive impact of US rates breaks down. Likewise, shocks to other emerging markets are contagious in the sense that their negative impact is much more pronounced during times of financial distress.     

International linkage of interest rates: Evidence from the emerging economies of Asia

This article employs monthly short-term interest rate data over the 1980–1999 period to investigate the intermarket interest rate linkages across seven newly industrialized markets in Asia, and the influence that Japan and the US exert on interest rates in the region. In an attempt to isolate the impact of the liberalization process from the Asian financial crisis on interest rate transmission mechanisms, the sample period is broken down into two equally divided subperiods (1980 through 1989 and 1990 through 1999). The results from the study indicate that (a) the national short-term interest rate nexus is inherently a steady-state, long-run phenomenon, in that they are found to be cointegrated; (b) there is a pronounced increase in the cross-country interest rate linkages during the 1990s; (c) Hong Kong and Singapore play an important, but not dominant, role in the Asian region, and serve to integrate the regional economies and mediate the short-run linkages between the regional and the world financial markets; and (d) while Japan played an influential role during the 1980s, the US supplants Japan's role during the 1990s. Several policy implications are derived.     

The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data

This paper investigates the joint response of stock and foreign exchange (FX) market returns to macroeconomic surprises, employing a system method of estimation that allows for the cross-country and cross-market interaction for asset returns and risk premia. Using US and Japanese data, we find that US stock markets are asymmetrically responsive to domestic developments in output growth and interest rates but are not influenced by macroeconomic surprises from Japan. The surprise in the FX market seems to affect stock markets in the US and Japan, respectively. In particular, we find that the interest rate surprise in the US and inflation surprise in Japan tend to overstate the impact that these surprises would have on the respective stock market. The impact of the surprises would appear smaller if macroeconomic developments induced by the FX market were incorporated into the model.