为何我们认为“美联储降息≠人民币必定升值”

9 23 I2024 20111290 9LPR 7 100 Z0017101 1.............................................................1 1.1........................................................1 1.2...................................................................3 1.3.............................................................................................4 2.................................................................................................5 2.1.-..................................................................5 2.2........................................................................5 2.2.1.....................................................................................5 2.2.2.....................................................................................6 2.2.3..................................................................................7 2.2.4..................................................................................8 2.3...................................................................................9 2.3.1....................................................................9 2.3.2................................................................9 3.........................................................................................11 3.1.................................................................12 3.2............................................................................15 3.3..........................................................15 ...........................................................................................17 ..................................................................................................18 19 20 ......................................................................................................20 1.1.1 ..................................................................................................1 1.1.12024918920.2 1.1.2 .....................................................................2 1.1.3 .......................................................3 1.2.1 10 ..................................................4 2.1.1 ...............................................................................................5 2.1.1 ..........................................................5 2.1.2 ..............................................................5 2.2.1 ..........................................................6 2.2.2 .........................................................................7 2.2.3 .....................................................................8 2.2.4 NDF USDCNH .........................................................................8 2.2.5 USDCNY 25Delta %............................8 2.3.1 ...............................................9 2.3.2 .........................................................................9 2.3.3 .............................................10 2.3.4 .......................................................................10 3.3.1 2024.9.23-9.27 ................................15 1 .................................17 2 % ..................................................................18 3 ...................................................19 4 Shibor %............................................................................19 5SOFR %.............................................................................19 6%.................................................................................20 7....................................................................................20 1. 2024918 920 CFETSBISSDR 92016:30 1.1.1 7.1030 7.0983 7.0644 7.0644 -0.543% USDCNY 7.0943 7.0893 7.0552 7.0552 -0.551% USDCNH 7.1100 7.1033 7.0549 7.0549 -0.775% 140.6673 143.9175 140.8163 143.9175 2.311% 1.1083 1.1158 1.1116 1.1158 0.677% 1.3138 1.3304 1.3163 1.3304 1.265% 100.9546 101.0231 100.6642 100.7503 -0.202% CFETS97.77 —— —— 97.96 0.194% 103.53 —— —— 103.70 0.164% ( BIS ) ( SDR ) 91716:30 iFinD 92.83————92.080.269% 1.1 2024918 920 9 50 USDCNHUSDCNY Bloomberg 1.1.2 7.30108.00 107.00 7.25 106.00 7.20105.00 104.00 7.15 103.00 7.10102.00 101.00 7.05 100.00 7.00 2024-05-242024-06-242024-07-242024-08-24 99.00 : iFinD 1.1.3 iFinD 1.2 9 FOMC 1 5.25%5.50% 20203 4.75%5.00% 50 2 2024GDP 50 7 LPR 1 2023 2 LPR 3 4 LPR 1.2.110 Bloomberg 9LPR 7 100 1.3 2. - 2.1. 9207.0644386 2.1.1 1 2 -386-375130-141 RefinitivBloomberg 2.1.1 2.1.2 105171156-222 0.100 0.050 0.000 (0.050) (0.100) (0.150) (0.200) (0.250) 0.20000 0.15000 0.10000 0.05000 0.00000 (0.05000) 0.00 7.33 7.28 7.23 7.18 7.13 7.08 7.03 (0.02) (0.04) (0.06) (0.08) (0.10) (0.12) (0.14) (0.16) (0.18) 5 USDCNY16:30 RefinitivBloombergRefinitivBloomberg 2.2. 2.2.1 1“一篮子货币汇率贡献”根据Refinitiv调整后数据计算 2“逆周期因子贡献”根据Refinitiv调整后数据计算 2.2.1 7.9500 7.7500 7.5500 7.3500 7.1500 6.9500 6.7500 6.5500 6.3500 6.1500 iFinD 2.2.2 8 153 8 11% 2023-01 2.2.2 80.00% 75.00% 70.00% 65