美国利率策略 · 偏鹰派的美联储与走高的10年期收益率

关键论点

• 10年期收益率上升主要反映市场对美联储反应函数的重新定价，而非期限溢价。
• 沃什主席回避前瞻指引，但其言论与9月点阵图显示紧缩倾向及对通胀高于目标的不耐烦。
• 大模型分析显示，FOMC成员的相对鹰派程度较去年上升，包括此前的鸽派。
• 期限溢价驱动不明；SMBC认为中期选举后财政不确定性及债务/GDP上升将长期推高期限溢价，而预期短端利率下降应逆转今夏升幅的很大一部分。

对应原文证据

1. • The average expected short-rate embedded in 10y yields has increased between 80-95bp since the end of February, or about 70% of the increase in 10y yields .
2. Expected short rates account for about 60% of the increase in 10y since Warsh’s first FOMC meeting.
3. • While Warsh has studiously avoided providing forward guidance, his remarks reveal a distinct tightening bias and impatience with above-target inflation.