2s10s JGB利差驱动因素与展望【固定收益评论】

关键论点

• 尽管日本央行加息，2s10s曲线仍走阔，反映市场假设央行步伐缓慢、终点利率预期上升。
• OIS远期利率是有用指标：2年期收益率跟随未来两年平均远期路径；10年期跟随2年远期利率（终点利率代理）。
• 近期收窄至110bp中段反映计入的加息加速；基准情形假设每两次会议加息一次、终点利率约2.4%。
• 前景取决于接近2.5%中性利率参考的通胀预期，以及金融条件——若恶化可能促使加息放缓。

对应原文证据

1. When a central bank tightens monetary policy (raises rates) to contain inflation, short- and medium-term bond yields, which are closer on the curve to the policy rate, typically rise as well. · medium-term
2. At the same time, expectations of an eventual stabilization of inflation, a slowdown in the economy, and a shift to rate cuts tend to curb increases in long- and super-long-term yields. · long-term
3. In this report we revisit the mechanisms driving the 2s10s spread and present our outlook.