亚洲外汇评论 · 美国收益率走高之际，亚洲的韧性还能延续吗？

关键论点

• 美债收益率上行的原因比上行本身更重要；近期走势日益受货币紧缩预期和更高风险溢价驱动，并已出现初步的避险迹象。
• 亚洲外汇与利率迄今表现平稳：亚洲货币指数与美国收益率利差出现背离、亚美利差压缩、韩元、新台币和人民币表现强势；但这种韧性短期内可能难以延续。
• USD/CNH隐含波动率降至数十年低位，显示市场仓位可能已较为集中，进一步加剧谨慎情绪。
• 长端收益率还受到油价与能源价格以及财政和债券供给动态的推动，使美联储前景在今日CPI之外更趋复杂。

对应原文证据

1. What ’s important to note is that the drivers behind the increases in US Treasury yields have increasingly been shaped by expectations of tighter monetary policy coupled with a risk-premia common to both stocks and bonds, even as growth expectations have remained resilient (see Chart 1 below).
2. CHART 1: US YIELDS INCREASINGLY DRIVEN BY EXPECTATIONS OF TIGHTER MONETARY POLICY AND HIGHER RISK PREMIUM Source: Bloomberg, MUFG GMR estimates.
3. Linking this to our region, Asia FX and rates markets have been quite benign so far despite the rise in US Treasury yields, but given the drivers of markets more recently we think the probabilities are that this resilience may not continue at least in the near-term. · near-term