美国收益率曲线对美元定价似乎越来越重要。简而言之，曲线趋平利好美元，曲线趋陡利空美元。鉴于美联储前景更偏鹰派，我们现在预计美元强势将持续更久。
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收益率曲线动态推动美元走势
美联储鹰派与货币贬值交易
欧元兑美元继续在1.13-1.18的宽幅区间内波动，主要受美国政策设定影响。实际上，今夏新任美联储主席凯文·沃什的沟通从鹰派转向鸽派再转向鹰派，美元经历了一个循环。
鉴于ING的内部观点转向9月加息，短期美国国债收益率远高于4.00%，这看起来可以在年底前为美元提供广泛支撑。这就是为什么我们将年底欧元兑美元预测从1.18下调至1.16（原文缺失数值163），并将美元兑日元预测从158上调至160（原文缺失数值165）。
美联储加息以及预计年底前美联储仍持鹰派立场，将在一定程度上抑制投资者的货币贬值交易。自2025以来，这种交易一直偏好瑞士法郎、黄金和比特币，而牺牲美元。
在货币贬值交易方面，美国财政部最近宣布的长期限流动性措施令投资者紧张，并拖累美元。我们对年底前美元稳定/走强的预测假设长端抛售相对有限——更紧缩的美联储政策应有所帮助。如果我们判断错误，且30年期国债收益率飙升至5.50%以上，导致收益率曲线变陡，那么美元可能会走低。这种走势可能会导致波动率普遍上升，并冲击高收益外汇中的套利交易头寸。
至于美元下一轮下跌的时机？从周期性角度看，我们现在将预期的美元下跌推迟到明年第二季度。届时美国通胀应已回落至2%，美联储政策预期可能从紧缩转向宽松。
干预变得更加困难
日本当局在7月底/8月初动用近$100亿美元进行美元兑日元卖出干预，但收效甚微。2024年干预的成功，主要归功于在美联储当年9月开始宽松周期之前，完美地把握了美联储政策时机。
快进到今天，即将到来的美联储紧缩将与近期外汇干预相悖，并给日本央行带来意外加息的压力。9月加息50bp个基点似乎不太可能，连续加息也不太可能。相反，如果政府确实高度重视日元走强，我们需要看到一些新的政策措施来鼓励对国内资产的更多投资。将GPIF投资转向国内将是一个意外，但符合政府的国内投资驱动。除非看到类似举措，否则日本央行以及可能美国财政部很可能再次在163/165区域卖出美元兑日元。
ING月度：抵御冲击
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It looks like the US yield curve is becoming increasingly important for dollar pricing. In simple terms, it seems a flatter curve is dollar-positive and a steeper curve is dollar-negative. In light of a more hawkish Fed outlook, we now expect the dollar to stay stronger for longer
Fed hawkishness versus the debasement trade
EUR/USD continues to bounce around in a broad 1.13-1.18 range – largely determined by US policy settings. In effect, the dollar has done a round trip on the hawkish-dovish-hawkish communication this summer by new Fed Chair Kevin Warsh.
In light of ING’s house view switching to a rate hike in September, short-dated US yields well over 4.00% look like they can keep the dollar broadly supported into year-end. That is why we are dropping our year-end 2026 EUR/USD forecast to 1.16 from 1.18 and raising the USD/JPY profile to 160 from 158.
A Fed hike and presumably a hawkish Fed stance into year-end will go some way towards dissuading investors from the debasement trade, which since 2025 has favoured the likes of the Swiss franc, gold and bitcoin at the expense of the dollar.
On the subject of the debasement trade, the recently announced US Treasury liquidity measures at the long end of the curve have unnerved investors and weighed on the dollar. Our forecasts of a stable/stronger dollar into year-end assume that the sell-off at the long end is relatively contained – tighter Fed policy should help. If we’re wrong and 30-year Treasury yields surge through 5.50%, steepening the yield curve, then the dollar probably comes lower. Such a move would likely see a generalised rise in volatility and unnerve carry trade positions in high-yield FX.
As to the timing of the next leg lower in the dollar? On a cyclical view, we are now delaying our forecast dollar decline to the second quarter next year. That is when US inflation should have dropped back to 2% and Fed policy expectations can swing back from tightening to easing.
Intervention just got more difficult
Japanese authorities have little to show for the close to $100bn spent in USD/JPY selling intervention in late July/early August. The success of intervention in 2024 was primarily a function of timing Fed policy settings superbly well ahead of a Fed easing cycle which started in September that year.
Fast-forward to today and what should be imminent Fed tightening will work against recent FX intervention and place the burden squarely on the BoJ to surprise hawkishly. A 50bp hike in September seems unlikely, as do back-to-back hikes. Instead, and if the government does place a high priority on a stronger yen, we will need to see some fresh policy initiatives to encourage more investment in domestic assets. A redirection of GPIF investments domestically would be a surprise but would be consistent with the government’s local investment drive. Unless something like this is seen, it looks like the Bank of Japan and probably the US Treasury too will be called upon again to sell USD/JPY in the 163/165 region.
ING Monthly: Weathering the shocks
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关键论点
- 美国收益率曲线趋平利好美元，而曲线变陡则利空美元。
- 短端美国国债收益率高于4.00%将支撑美元至2026年底。
- 美联储9月加息将抑制贬值交易（黄金、比特币、瑞郎）。
- 美元的周期性下跌被推迟至2027年第二季度，届时通胀将回落至2%，美联储政策可能转向宽松。
- 美国财政部近期在长端的流动性措施对美元构成压力，但预计抛售有限。
- 日本当局对美元兑日元的干预在美联储配合下才可能成功；日本央行可能需要意外鹰派。
- 若30年期美债收益率突破5.50%，美元可能下跌，并伴随更广泛的波动性。
风险
- 30年期美债收益率若跌穿过5.50%，可能导致曲线陡化并使美元下跌。
- 如果美联储的鹰派立场不及预期，贬值交易（黄金、比特币、瑞郎）可能卷土重来。
- 日本央行可能意外加大紧缩力度，从而推升日元。
- 美国财政部在长端市场的流动性措施可能对美元产生意外影响。
- 若通胀仍高于目标，美元下跌的时点可能从2027年第二季度推迟。