便宜还是设计使然？量化亚洲货币的深度错位

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研究

C1 - 公共 法国外贸银行 4 年 2026 月

亚洲宏观洞察

便宜还是设计使然？量化亚洲货币的深度错位

蓬勃发展的制造业和人工智能硬件需求提振了亚洲贸易和经常账户盈余（CAS）。这应有助于增强本币，但东亚实际有效汇率（REER）自 40% 年以来按加权平均计算已下跌 2000%。以中国为例：在 2010 年至 2025, 年间，其人均GDP从 4,630 美元升至 13,866, 美元，净国际投资头寸（IIP）从占GDP的 15.2%% 增至 20.1%%（超过 4 万亿美元），然而人民币兑美元汇率截至近期仍持平于 6.72。相反，经常账户赤字（CAD）经济体如印度尼西亚、印度和菲律宾，其汇率随余额恶化而波动。

为评估这些错位，我们应用两种估值模型来量化亚洲货币的公允价值。第一种是均值回归的购买力平价（PPP）模型，衡量实际有效汇率相对于其二十年平均水平的偏离。该模型显示，日元（JPY）是区域中最被低估的货币，较其长期平均水平低 26%%。韩元（KRW）位列第二，低估 14%%，但自 6.4% 年八月以来兑美元升值已缩小了这一差距。印度尼西亚盾（IDR）和印度卢比（INR）分别被低估 12%% 和 9%%，而澳元（AUD）被高估 8%%。

The Behavioral Equilibrium Exchange Rate (BEER) model refines this by regressing real exchange rates against macroeconomic fundamentals: GDP per capita, Net Foreign Assets (NFA), and Terms of Trade (ToT). Over the past decade, emerging Asia led GDP per capita growth, while Singapore, Taiwan, Japan and South Korea held the largest NFA size relative to GDP. Even after factoring in these wealth dynamics and South Korea's improved terms of trade from AI hardware exports, the BEER model confirms that the KRW, IDR, INR, and JPY remain deeply undervalued, while the AUD appears heavily overvalued.

Ultimately, domestic policy often decouples exchange rates from these strong fundamentals . JPY’s undervaluation is primarily a consequence of the Bank of Japan's deliberate low-interest-rate policy, and ripe for correction on rate hikes, the unwinding of structural carry trades, and potential domestic pension fund reallocation. The recent interventions by the BOJ, BOK and US Treasury suggest that there is pressure for macroeconomic imbalances to be corrected. The rapid appreciation of the Korean won by 14.5% since July versus the USD point to the degree in which these misalignments can be rapidly corrected. WRITTEN BY

Trinh NGUYEN Tel. +852 3900 8726 trinh.nguyen@natixis.com

Dayeon HONG Tel. +852 3900 8540 dayeon.hong@natixis.com

Haoxin MU Tel. +852 3900 8067 haoxin.mu@natixis.com

With contribution from: Jeremy JI jeremy.ji-ext@natixis.com

Discover more of our research…

… on research.natixis.com

亚洲宏观洞察

2 亚洲经常账户盈余加速增长但外汇依然疲软

亚洲制成品出口正在推动全球贸易，在人工智能资本支出抛物线式上升的时代更是如此，这推高了对亚洲硬件出口的需求。贸易顺差上升，推动经济增长、人均GDP和经常账户盈余（CAS）上升。这种储蓄的积累本应意味着经常账户盈余经济体应拥有更强势的货币。但除了新加坡和马来西亚，以及较小程度上的泰国和台湾地区外，东亚经济体如中国、韩国和日本的货币仍然疲软。当我们考虑实际有效汇率（REER）时尤其如此，实际有效汇率是名义有效汇率根据这些经济体相对于世界的相对通胀调整后的值（图表1和图2）。

以中国为例：人均GDP从4,630美元上升到13,866美元（期间为2010至2025,），但汇率今天仍大致保持在6.72兑美元的水平，即使经过整整一年的升值。其经常账户盈余（CAS）在过去十年中只增不减，净国际投资头寸（IIP）从GDP的15.2%上升到GDP的20.1%，或从2011年的1.5万亿美元升至4万亿美元。中国并非唯一一个在经常账户头寸增强的情况下货币相对疲软这一奇特现象的经济体。日本、韩国和台湾地区的实际有效汇率（REER）相对于其经常账户盈余和IIP头寸而言偏弱（图表4）。

Chart 1 shows this curious phenomenon where Asia CAS are rising parabolically while the weighted average REER continues to decline irrespective of fundamentals. Meanwhile, current account deficit (CAD) economies in Asia such as Indonesia, India, and the Philippines FX trade more in line with their deterioration of CAD ( Chart 5 ). In this note, we investigate whether Asian FX is over or undervalued and the degree in which they deviate from fundamentals following the methodology of Ca’ Zorzi, Cap, Mijakovic and Rubaszek (2020) , where three standard FX Fair Value models were Trinh NGUYEN

Senior Economist, EM Asia trinh.nguyen@natixis.com

Haoxin MU

Economist, Asia Pacific haoxin.mu@natixis.com

Jeremy JI

Junior Economist jeremy.ji-ext@natixis.com

60 80 100 120 140 160

60 80 100 120 140 160

00 02 04 06 08 10 12 14 16 18 20 22 24 26 Chart 2 REER for current account surplus countries in Asia CN SK TW MY SG TH JP

Source: Natixis, CEIC N.B. data as of July 2026

-200 0 200 400 600 800 1000

-5 0 5 10 15 20 25

TW SG SK JP CN MY TH ID IN AU PH Chart 4 Current Account Balance: % of Nominal GDP Avg 2006-2010 2026 % change (rhs)

Source: Natixis, CEIC N.B. data as of 2026 Q1, trailing four quarter for 2026 0 2 4 6 8 10 12

80 90 100 110 120 130 140 150

00 02 04 06 08 10 12 14 16 18 20 22 24 26 Chart 1 Weighted average REER for current account surplus countries in Asia Weighted average REER Current account % of GDP (rhs)

Source: Natixis, CEIC N.B. Data is up to July 2026, Current account surplus countries include: South Korea, Taiwan (China), Japan, Malaysia, Singapore, Thailand

-50 50 150 250 350 450 550

-10 0 10 20 30 40 50 60 70 80 90 100 110

SG AU TW SK JP CN MY TH ID VN PH IN 千 图表3 人均GDP（美元，千）

2006 2025 %变动（右轴）

资料来源：Natixis, CEIC 注：数据截至2025,；越南数据自2019至2024,；印尼数据自2010

亚洲宏观洞见

引入 3。我们将使用三个模型中的两个，因为第三个模型假设经常账户会对外汇汇率进行调整，但这并不适用于亚洲经常账户盈余经济体，因为面对经常账户盈余的上升，外汇汇率仍然没有反应，而这一反应正是该模型的基础。

量化均衡汇率

模型 1：购买力平价模型——日元最有可能出现均值回归

在第一个模型中，我们使用购买力平价（PPP）模型分析了亚洲均衡汇率。购买力平价是决定汇率的最古老理论。其基本思想是：汇率的变动应当中和不同经济体之间价格指数变动所带来的竞争力变化。换言之，实际有效汇率（REER）应当均值回归。在这种方法中，实际有效汇率是决定其均衡水平的唯一变量。

什么是实际有效汇率？首先，它源自名义有效汇率（NEER），即一种加权外汇指数，权重基于贸易伙伴的相对重要性。实际有效汇率对相对价格水平进行了调整。如果一个国家的价格水平低于世界其他地区，那么其实际有效汇率相对于名义有效汇率会下降。中国的例子是：中国的价格涨幅低于世界其他地区（图 7）。因此，中国的实际有效汇率远低于其名义有效汇率。购买力平价模型表明，随着时间的推移，人民币应当调整至其均衡水平。

So how would we calculate that? First, as this is a mean reversion model, it is just a simple case of taking an average of the REER of a specific country over a period and then comparing the relative value of the average. We used quarterly data from August 2006 to July 2026 to determine the mean REER of each economy and then compare that average with July 2026 level. With the formula below, we got the results as shown in Chart 8 . The latest value of REER we use is for July 2026.

𝑅𝐸𝐸𝑅 𝑖 𝑃𝑃𝑃 = 𝑅𝐸𝐸𝑅 𝑖𝑡 ̅̅̅̅̅̅̅̅̅̅ -6 -4 -2 0 2 4

80 85 90 95 100 105 110

00 02 04 06 08 10 12 14 16 18 20 22 24 26 Chart 5 Weighted average REER for current account deficit countries in Asia Weighted average REER Current account % of GDP (rhs)

Source: Natixis, CEIC N.B. Data is up to July 2026, Current account deficit countries include: Australia, Indonesia, India, Philippines 60 70 80 90 100 110 120 130 140

60 70 80 90 100 110 120 130 140

00 02 04 06 08 10 12 14 16 18 20 22 24 26 Chart 6 REER for current account deficit countries in Asia

AU ID IN PH

Source: Natixis, CEIC N.B. data as of July 2026

60 70 80 90 100 110 120

06 08 10 12 14 16 18 20 22 24 26 Chart 7 China Effective Exchange Rate (2020=100)

Real Nominal

Source: Natixis, BIS N.B. data as of July 2026

亚洲宏观洞察

4 日元是低估最严重的货币，较其长期均值低 26% 。与此同时，韩元位居第二，低估 14% （见图表 8）。自7月以来，韩元兑美元升值 6.4%，从而缩小了与均值的偏离。印尼盾和印度卢比也低于其二十年均值，分别低估 -12% 和 -9%。另一方面，澳元、新加坡元和马来西亚林吉特的当前值高于其长期均值，其中澳元高估 8%。尽管我们的模型显示澳元高估，但8月对进一步加息的预期继续推动澳元升值。与此同时，新西兰元、菲律宾比索和人民币基本与其二十年均值持平。

模型 2：行为均衡汇率：韩元、印度卢比和印尼盾被低估

购买力平价模型的主要缺陷在于，实际有效汇率可能不会均值回归，或者即使会，也可能以非常缓慢的方式回归。行为均衡汇率模型通过考察基本面因素来修正这一缺陷。行为均衡汇率使用的关键变量包括人均国内生产总值、贸易条件和净外国资产。理论上，如果人均国内生产总值上升，更大的财富将提高对非贸易品的需求，并推高贸易品的价格，这反映为货币升值。如果净外国资产上升，那么利息收入将导致进口增加，从而使贸易收支恶化。最后，更好的贸易条件应带来更高的财富和更好的贸易收支，从而推高实际汇率。

在实践中，我们将实际有效汇率对这三个变量进行回归，以检验这些基本面因素是否对实际汇率具有解释力，其表达式如下。

𝑅𝐸𝐸𝑅 𝑖 𝐵𝐸𝐸𝑅 = 𝛼 𝑖+ 𝛽 𝑖∙ 𝐺𝐷𝑃𝑝𝑐 𝑖+ 𝛾 𝑖∙ 𝑁𝐹𝐴 𝑖+ 𝜆 𝑖∙ 𝑇𝑜𝑇𝑖+ 𝜖 𝑖

Before we discuss results, let’s look at the evolution of GDP per capita, NFA and ToT. Chart 9 shows GDP per capita change in the past decade. The fastest rising in income has been emerging Asian economies such as China, Vietnam, India, the Philippines, Indonesia and Malaysia. Japan and Australia have had the lowest growth of GDP per capita, whether nominally or purchasing power parity (PPP) adjusted. Meanwhile, South Korea and Singapore have had relatively decent GDP per capita growth despite their higher income status. -26 -14 -12 -9 -5 -2 -1 0 1 5 7 8

-30 -20 -10 0 10 JPY KRW IDR INR CNY NZD TWD PHP THB MYR SGD AUD Chart 8 PPP (mean reversion)

Source: Natixis, Bloomberg, CEIC, BIS N.B. data as of July, 2026

0 50 100 150 200 250 300

0 20 40 60 80 100 120 140 160

SG HK AU SK JP MY CN TH VN ID PH IN Chart 9 GDP per Capita (USDth, PPP)

2006 2025 % change (rhs)

Source: Natixis, CEIC N.B. data as of 2025

ASIA MACRO INSIGHTS

5 For NFA, Singapore has the highest share of GDP, followed by Taiwan, Japan, and South Korea. Japan, South Korea, and China have had the biggest increase of wealth relative to GDP ( Chart 10 ). worsening tourism receipts ( Chart 11 ). In the past decade, commodity prices have risen, thanks to supply shocks, as such, terms of trade

worsened for the most part for importers and improved for exporters such as Australia, Malaysia, and Indonesia. That said, terms of trade, recently improved significantly for AI hardware exporters such as South Korea.

The BEER model using the three variables showed us the below results. Considering higher GDP per capita, NFA and ToT, we find that KRW, IDR, INR and JPY have the biggest gap between realized REER performance and macro fundamentals. In other words, they are the most undervalued according to these three explanatory variables as the REER is below what would be predicted by our variables. Inversely, AUD is the most overvalued relative to long-term performance of GDP per capita, NFA and ToT. Other Asian currencies are broadly in line with fundamentals with not too much gap.

Source: Natixis, Bloomberg, CEIC, BIS Wgt. Avg. PPP

4/9/2026 4/9/2026 2-factor 3-factor

JPY 155.8 0.7% -23% -26% -30% -9%

KRW 1,356.6 6.4% -15% -14% -12% -20%

IDR 17,679 2.1% -11% -12% -11% -11%

INR 94.49 1.0% -9% -9% -6% -11%

TWD 31.77 2.1% -3% -1% -2% -7%

CNY 6.72 0.6% -2% -5% -1% 3%

PHP 62.52 -2.2% -1% 0% -1% -3%

NZD 0.588 0.1% 0% -2% 1% 1%

THB 32.93 1.4% 0% 1% 0% -2%

MYR 4.04 1.0% 4% 5% 3% 2%

SGD 1.27 1.2% 6% 7% 6% 3%

AUD 0.720 2.6% 9% 8% 9% 13% Nominal exchange rate vs USD Deviation from fair value as of July

BEER Change vs USD since July 31 Table 1. Summary of Results

Currencies -30 -20 -10 0 10 20 30 40 50

0 20 40 60 80 100 120 140

AU MY ID SK PH CN SG TW IN KR JP HK TH Chart 11 Terms of trade (2014=100) 2015 2026 % change (rhs)

Source: Natixis, Bloomberg N.B. data as of June, 2026 -210 -105 0 105 210 315

-150 -100 -50 0 50 100 150 200 250

SG TW JP SK CN TH MY IN PH ID AU Chart 10 Net IIP / GDP (%) 2015 2026 % change (rhs)

Source: Natixis, CEIC N.B. data as of 2026 Q1, trailing four quarter for 2026

亚洲宏观洞察

6 鉴于日本和澳大利亚在人均GDP上的表现滞后（基数高，因为已经发达），而新兴亚洲在收入快速增长方面表现出色，我们仅使用NFA和贸易条件（ToT）运行了另一个BEER模型。人均GDP和NFA都是财富效应的衡量指标，其中人均GDP更有利于新兴经济体，而NFA更有利于发达经济体，因为对于人均GDP较低的经济体，其人均GDP增长更快。此外，对于某些经济体（如中国和澳大利亚），人均GDP与NFA之间存在协整问题。去除人均GDP后，与PPP模型类似，日元（JPY）和韩元（KRW）最被低估，而澳元（AUD）仍然高估最多，但程度较轻。双因素BEER模型与PPP模型的走势相当接近。

其他因素可能更好地解释这一点，例如利差、财政政策、短期资本流动和央行干预。但我们未将其纳入，因为这样会使结果变得嘈杂，而且这三个变量在长期内最可靠（如欧洲央行论文所述）。显然，对于日本而言，日本央行（BOJ）极低的利率是日元疲软的关键原因，这是一种蓄意的政策，因此使汇率偏离基本面。

宏观经济平衡（MB）是另一种流行的方法，但其底层逻辑与前两种模型显著不同。它不是通过观察历史趋势来寻找实际汇率的潜在解释变量，而是需要求解一个方程组，以找到与内部和外部平衡相容的实际汇率水平，这将体现为稳定的经常账户。

Despite the appealing economic interpretation behind, this rationale draws a long- standing debate about the global current account imbalance which centers at the consistent surplus of Asian economies versus US ’deficit ( Chart 14 ). Over the past three decades, Asian manufacturers maintained a stable current account surplus, but their real exchange rate weakened by more than 40% on a weighted average basis. As such, the impact of current account surplus on real exchange rates seems exceptionally weak for Asia, which undermines the credibility of the MB approach since the key assumption hardly holds. Therefore, we stick to the PPP and BEER approaches as discussed above. -30 -12 -11 -6 -2 -1 -1 0 1 3 6 9

-40 -30 -20 -10 0 10 20 JPY KRW IDR INR TWD PHP CNY THB NZD MYR SGD AUD Chart 13 NFA + ToT

Source: Natixis, Bloomberg, CEIC, BIS N.B. data as of July, 2026 -20 -11 -11 -9 -7 -3 -2 1 2 3 3 13

-30 -20 -10 0 10 20 KRW INR IDR JPY TWD PHP THB NZD MYR SGD CNY AUD Chart 12 GDPpc + NFA + ToT

Source: Natixis, Bloomberg, CEIC, BIS N.B. data as of July, 2026

-2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5

198019831986198919921995199820012004200720102013201620192022 Chart 14 Current Account Balance (% of world GDP)

US CN JP TW SK SG VN MY TH

Source: Natixis, UNCTAD N.B. data as of July 2026

亚洲宏观洞察

7 错位何时会得到纠正？或许部分货币会比预期更快

总而言之，CAS 经济体汇率的持续疲软代表了对传统经济理论的根本背离。虽然购买力平价（PPP）和均衡汇率（BEER）模型均证实日元、韩元等区域主要货币被严重低估，但这种脱节在很大程度上是由刻意设置的利率政策、结构性资本流动及主权干预所致，而非贸易动态驱动。然而，变化正在酝酿。日本央行（BOJ）、韩国央行（BOK）和美国财政部近期的干预表明，宏观经济失衡（即利率水平偏低的环境）存在被纠正的压力。韩元自 7 月以来兑美元快速升值 14.5%%，得益于韩国央行连续 50bp 次加息至 3%%，这表明此类错位可以被纠正的程度。而在另一个极端，尽管更高的加息预期助推澳元走高，但对房地产财富的依赖以及家庭部门仍然较高的杠杆表明，再平衡势在必行，问题只是何时发生。-2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0

ID CN MY IN AU US VN SK TW SG JP TH PH 图表 15 实际政策利率（-2026, % 年 8 月）

资料来源：法国外贸银行（Natixis）、彭博 注：数据截至 2026, 年 8 月。实际政策利率 = 政策利率 - CPI。

亚洲宏观洞察

8 货币政策速度与外汇干预风险推动日元追赶

尽管估值模型突显了亚洲货币的长期结构性错位，但近期催化剂在很大程度上取决于货币政策速度和当局对货币疲软的容忍度变化。对于日元而言，加息周期加速的前景和不断升级的干预风险仍是近期升值的主要驱动力。利率市场此前已计入日本央行进一步收紧政策的预期，但偏鹰派委员中村孝明近期提出可能进行超大规模50bp加息或连续加息以遏制通胀压力，本周催化了日元急剧走强。

关键在于，尽管日本当局似乎没有进行“汇率检查”或官方市场干预，但USDJPY下行压力的急剧速度表明，结构性套利交易和拥挤的空头头寸正在严重平仓。继7月下旬美日联合干预之后，日元作为融资货币的持久角色使投机市场暴露于风险之中。CFTC数据显示，尽管投机性空头头寸在此前干预后被削减，但残余空头持仓仍然存在（图16）。这种持续存在的过剩持仓使得市场极易受到我们刚刚目睹的、由日本央行偏鹰派言论引发的迅速投降式抛售和轧空影响，促使投机者迅速止损并买回日元。

除了看多日元的叙事外，有报道称日本政府养老金投资基金（GPIF）召开了一次非常规管理会议。这引发了市场猜测，即GPIF可能提高其国内资产配置目标，尤其是在日本政府暗示这种可能性后，长期日本国债收益率已大幅上涨（参见《利率周刊》中的日元利率部分：避险情绪消退）。养老资产结构性回流日本可能为日元复苏注入巨大动能。

韩元升值步伐或将放缓

相反，尽管近期日元前景明显看涨，但韩元兑美元最近一个季度的升值幅度似乎已经过度。韩元这波突然的升值主要由三个短暂因素驱动：围绕SK海力士ADR流动的投机性持仓、出口商在8月底公司中期纳税截止日期前的积极美元抛售，以及资本外流的急剧减少。7月KOSPI严重回调后，此前外国投资者的再平衡需求已经消退。因此，外国人仅成为指数的小额净卖家，其规模很容易被出口商的美元供应所抵消。

Moving forward, these supportive tailwinds are fading. The August tax season has concluded, and SK Hynix ADR-related flows appear to have been effectively absorbed by the Foreign Exchange Stabilization Fund, meaning the pace of KRW appreciation is likely to slow. Furthermore, having recently delivered consecutive hikes to push the base rate to 3%, the Bank of Korea (BoK) is expected to pause at the next meeting. This anticipated policy pause could also serve as a cap for further yield-driven upside for the won, stripping away the monetary divergence premium for example versus BoJ which is expected to accelerate its own rate hikes. Dayeon HONG

APAC Strategist dayeon.hong@natixis.com

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2020 2021 2022 2023 2024 2025 2026 '000s Chart 16 Yen Futures Positioning CFTC JPY Net Futures Positions, Non-Commercial USDJPY (Inverted, rhs)

Source: Natixis, Bloomberg

ASIA MACRO INSIGHTS

9 Hawkish RBA stance to anchor near-term AUD outperformance

While valuation models indicate that the Australian dollar (AUD) is currently overvalued, its strength particularly against G10 peers is likely to persist in the near term. The Reserve Bank of Australia (RBA) remains one of the most vigilant central banks regarding upside inflation risks. Following July ’s unexpectedly high 1% month- on-month inflation print ( Chart 17 ), the probability of further rate hikes tangibly increased. If the RBA executes and additional hike as early as the September meeting, markets will likely to price in further tightening. The RBA governor has maintained a resolutely firm stance, emphasizing that containing inflation remains the central bank ’s absolute priority even if the labor market deteriorates or housing prices experience a rapid correction. Consequently, much like BoJ, there is distinct potential for Australian monetary policy velocity to accelerate, applying sustained appreciation pressure on the AUD , at least in the near term. -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5

1/25 4/25 7/25 10/25 1/26 4/26 7/26 %mom Chart 17 Monthly Inflation: Contribution by Category Food Energy Housing Goods ex food Core services Transport Headline

Source: Natixis, RBA

ASIA MACRO INSIGHTS

10 Head of CIB Research Chief Economist, Asia Pacific

Jean-François Robin Alicia Garcia Herrero

+33 1 58 55 13 09 +852 3900 8680

jean-francois.robin@natixis.com alicia.garciaherrero@natixis.com

Emerging Asia Greater China Japan, Pacific

Trinh Nguyen Jianwei Xu Kohei Iwahara

+852 3900 8726 +852 3900 8034 +813 4519 2144

trinh.nguyen@natixis.com jianwei.xu@natixis.com kohei.iwahara@natixis.com

Asia Pacific, Thematic Research

Gary Ng Haoxin Mu Dayeon Hong

+852 3915 1242 +852 3900 8067 +852 3900 8540

gary.ng@natixis.com haoxin.mu@natixis.com dayeon.hong@natixis.com

Natixis CIB Research

Asia Pacific, Strategist

亚洲宏观洞察

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research.natixis.com