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意大利联合圣保罗银行 · 2026/09/02

欧元互换：实际利率高企与通胀正常化

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欧元互换：实际利率高企与通胀正常化 Chiara Manenti 利率、外汇及大宗商品研究主管 截止日期和时间：2月2026,日 11:55 欧洲中部时间 / 首次发布日期和时间：2月2026,日 12:15 欧洲中部时间。本文件中引用的价格为截至2月2026日的当前价格。有关分析师认证和重要声明，请参阅附录。

2027年展望：结构性高实际利率 • 10年期欧元实际互换利率目前约为1.14%，该水平代表了与2014年至2022,年间观察到的负值相比的显著正常化，当时欧洲央行的政策和过剩流动性人为压低了实际收益率。1 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 08/04 08/08 08/12 08/16 08/20 08/24 • 我们在分析中使用的当前外生变量包括： o 欧洲央行存款利率为2.25%； o 1个月欧元银行间拆借利率为2.23% o 1年1个月欧元远期互换利率接近3.21% o 2年1个月欧元远期互换为3.13% o 欧洲央行资产负债表降至欧元区GDP的36.6%。实际10年期欧元互换利率（%）来源：彭博，意大利联合圣保罗银行。

实际利率与货币政策预期相关 2 • 实际利率主要取决于对未来官方利率的预期，而非欧洲央行当前利率水平。 • 量化宽松对实际收益率产生了显著的压低效应。欧洲央行资产负债表的缩减继续对均衡实际利率施加渐进的上升压力。 • 我们的模型估计2026,年9月的理论值约为1.14%，非常接近观察到的1.15%水平，表明市场似乎与基本面大致一致。 • 从战略角度看，市场似乎正在定价： o 欧元区温和但正面的实际增长 o 中期通胀回归至接近欧洲央行目标的水平 o 终端利率与高于疫情前十年平均水平的中性水平一致 o 量化紧缩的持续。日期 10年期欧元实际互换利率（ISP预测） 1.15%年9月2026 1.05%年12月2026 0.99%年12月2027

备选情景 1：欧洲央行“更高更久”的利率 3 概率：中等 核心通胀持续顽固，欧洲央行中期不降息。0.000 1.000 2.000 3.000 4.000 5.000 6.000 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 01/05 01/09 01/13 01/17 01/21 01/25 欧元 10年期实际利率互换（左轴） 欧元隔夜指数互换/远期互换 10年1个月 特征： • 存款利率升至约3% • 1年1个月和2年1个月远期利率高于3.5% • 欧元区名义增长接近4%。在此情景下，市场将重新评估欧洲中性实际利率，10年期实际互换利率可能达到1.8%–2.0%。事实上，模型显示出对货币市场曲线远期成分的强烈敏感性。10年期欧元实际互换利率及10年1个月远期互换利率（右轴，%）来源：彭博，意大利联合圣保罗银行

替代情景2：期限溢价大幅上升 4 概率：长期内中高 近年来，量化宽松压缩了期限溢价。市场可能开始要求为持有久期支付更高的溢价。在这种情况下，长期名义收益率的上升幅度将超过通胀预期，实际利率可能升至2.0以上。这可能是中期内最现实的情景。 3个月期限溢价变化与德国国债通胀预期 资料来源：彭博、意大利联合圣保罗银行 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 期限溢价变化 预期变化

替代情景3：欧洲财政冲击 5 概率：中 公共支出永久性增加，与以下因素相关： • 国防支出； • 能源转型； • 基础设施； • 欧洲产业计划。 中期后果将是： • 赤字扩大； • 债务发行增加； • 均衡实际利率上升，以吸收可用储蓄。 在此背景下，10年期实际利率可能在1.2%至1.5%之间企稳。

替代情景4：欧洲生产率加速 6 概率：低 潜在增长率上升将推高均衡实际利率（r*）。可能的催化剂： • 人工智能的广泛应用； • 私人投资增加； • 欧洲资本市场一体化程度提高； • 税收和劳动力市场改革。 如果潜在实际增长率从约1%升至1.5%–2.0%，市场可能预期结构性实际利率显著上升。10年期实际互换利率目标为1.5%–2.0%。 -0.1 0.1 0.3 0.5 0.7 0.9 1.1 2012 2014 2016 2018 2020 2022 2024 2026 资料来源：彭博、意大利联合圣保罗银行 欧元区自然利率（Holston-Laubach-Williams模型，%）

对10年期实际利率，最可能的情景是什么？ 7 • 目前风险最大的情景并非结构性通胀上升，而是央行资产负债表正常化及政府债务供应增加导致的期限溢价上升。 • 要使实际利率持续高于1.5%，当前所需的组合主要是更高的期限溢价和更高的中性实际利率，而非更高的通胀水平。 • 在我们的基准情景中，欧元10年期实际利率在2027,年底前逐步降至1以下，受到欧洲央行维持利率不变的货币政策以及通胀稳定在2附近的推动。 情景 欧元实际10Y 基准 0.9%–1.0% 欧洲央行“长期更高” 1.8%–2.0% 期限溢价上升 1.6%–2.0% 生产率繁荣 1.5%–2.0% 欧洲财政冲击 1.2%–1.5%

10年期欧元通胀互换：2026年企稳，2027年逐步正常化 当前约2.3%的水平相对于前瞻性基本面而言似乎偏高。我们的模型预测显示，长期通胀预期存在适度高估，并将在2027年期间逐步消化。预期中的下降并不反映回归通缩风险，而是预期通胀逐步向更符合欧洲央行目标水平收敛。推动这一趋势的因素有三个：1。实际通胀正常化 随着能源价格企稳，欧元区通胀预计将继续放缓。2。货币政策在实质意义上仍具限制性 预计欧洲央行将维持正实际利率，有助于锚定长期预期。3。通胀溢价收窄 在经历2022–2023,年的能源和地缘政治冲击之后，市场仍在定价高于历史平均水平的通胀风险溢价。在基准情景下，该溢价预计将逐步收窄。8

10年期欧元通胀互换：基准情景 从操作角度看，其含义如下：•在中心情景下，通胀互换进一步上行的空间似乎有限；•通胀挂钩证券继续提供保护，但估值吸引力不如以往；•正常化前景的主要风险仍然是新的能源冲击，或欧洲财政政策比预期更具扩张性。日期 10年期EUR通胀互换 ISP预测 9月 2026 2.28% 12月 2026 2.18% 12月 2027 1.98% 9 模型中心情景预测，10年期欧元通胀互换在2026,年末前将维持于2.20%附近，随后到2027年12月逐步降至2%以下。市场仍在定价高于新冠疫情前的通胀环境，但潜在趋势仍是逐步向与欧洲央行所追求的价格稳定更兼容的水平收敛。

替代情景1：欧洲财政再通胀 10 概率：中高 欧洲正逐步增加国防、能源转型、基础设施和产业政策方面的公共支出。如果这些计划成为永久性的，市场可能开始定价更高的均衡通胀率。影响：•总需求增强 •公共赤字持续高企 •经济周期反通胀能力减弱。在此情景下，10年期通胀互换利率可能在2.4%%至2.7%%之间企稳。 0.5 1.0 1.5 2.0 2.5 3.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 欧盟统计局 欧元区核心MUICP Y EUR INFL TOB EX ZC 10Y 10年期EUR互换通胀率与实际通胀（左轴，%）资料来源：彭博，意大利联合圣保罗银行

替代情景2：能源危机持续 11 概率：中等 欧元区通胀的主要风险之一仍是能源领域。可能的催化剂：•中东地缘政治升级；•天然气供应问题；•新的全球贸易紧张局势；•电价结构性上涨。即使对当前通胀的影响是暂时的，市场也可能上调未来供应冲击风险的预期。10年期通胀互换可能升至2.5%%–2.8%%。 0.00 20.00 40.00 60.00 80.00 100.00 120.00 欧盟天然气库存水平 欧盟天然气库存 欧盟天然气库存10年均值 欧盟天然气库存高位 欧盟天然气库存低位 资料来源：彭博，意大利联合圣保罗银行 欧元区天然气库存水平

替代情景 3：去全球化 12 概率：中长期中到高 在过去二十年里，全球化有助于抑制通胀。相反，多个因素可能使生产成本结构性上升，包括：• 生产链区域化；• 贸易一体化程度降低；• 制造业搬迁；• 关税壁垒上升。在这种情况下，市场可能开始将隐含通胀目标定价在约 2.5% – 3%，而不是 2%。10年期通胀互换区间在 2.5% 与 2.8% 之间。

替代情景 4：欧洲央行对通胀高于目标更为容忍 13 概率：低但显著 市场可能开始认为：• 欧洲央行在对抗温和高通胀方面不那么积极；• 公共债务的稳定性已成为更重要的约束；• 容忍阈值已隐性上移至 2% 以上。在这种情况下，市场通胀中蕴含的通胀风险溢价将上升。10年期通胀互换目标在 2.6% 与 3.0% 之间。

替代情景 5：结构性高通胀机制 概率：极低 这将是类似于 1970 年代所见的转变，由以下因素推动：• 地缘政治碎片化；• 高度扩张性的财政政策；• 代价高昂的能源转型；• 央行信誉丧失。在这种情况下，市场可能开始将长期通胀定价在远高于欧洲央行目标的水平。10年期通胀互换目标在 3.0% 与 3.5% 之间。这将代表一种根本性的机制转变，与我们的中心情景相去甚远。14

哪种情景在目前看来最有可能？• 主要风险似乎并非通胀再度周期性飙升，而是欧洲结构性通胀的逐步上升。• 需要监测的因素包括：o 欧洲财政支出增加；o 能源价格；o 工资趋势；o 去全球化；o 欧洲央行维持 2% 目标的信誉。• 基线情景仍然是长期通胀温和高于目标但处于可控状态。• 风险情景包含代价高昂的能源转型，伴随着央行信誉的丧失。• 在这种情况下，市场可能开始将长期通胀定价在远高于欧洲央行目标的水平。情景 10年期通胀互换 基线 2.0% – 2.1% 财政再通胀 2.4% – 2.7% 持续能源冲击 2.5% – 2.8% 去全球化 2.5% – 2.8% 更宽松的欧洲央行 2.6% – 3.0% 结构性通胀机制 3.0% – 3.5%

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关键论点
  • 10年期欧元实际互换利率接近基本面，为1.15%，理论值为1.14%。
  • 欧洲央行资产负债表的缩减继续对均衡实际利率施加上行压力。
  • 基准情景：欧洲央行维持利率不变，通胀稳定在2%左右，导致实际利率逐步下降。
  • 通胀互换略有高估，预计向欧洲央行目标靠拢。
  • 主要风险是期限溢价上升而非通胀上升。
风险
  • 欧洲央行利率更长时间维持高位可能将实际利率推至1.8-2.0%。
  • 期限溢价大幅上升可能将实际利率推至2.0%以上。
  • 欧洲财政冲击可能使实际利率稳定在1.2-1.5%。
  • 新的能源冲击或财政扩张可能使通胀持续高企。
  • 去全球化和结构性通胀风险可能将通胀互换推至2.5-3.0%。