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2021-03-02

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Is the Federal Reserve the root cause of rising U.S. bond yields?

当前美债收益率回升加快，笔者认为，其根本原因在于美债供过于求，且这种回升趋势已使美国财政部和美联储陷入两难困境。供大于求导致美债收益率快速回升从2020年三季度开始，美国国债收益率缓慢上行，今年2

Is the Federal Reserve the root cause of rising U.S. bond yields?

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{"i18n":{"language":"en_US"},"data":{"magic":2,"id":365027373,"tweetId":"365027373","gmtCreate":1614681989192,"gmtModify":1704773948070,"author":{"id":3575545135481956,"idStr":"3575545135481956","authorId":3575545135481956,"authorIdStr":"3575545135481956","name":"Skyshin","avatar":"https://static.tigerbbs.com/12b7fb9ffdfdb9c83a767fa4f6e69c37","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":12,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":9,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"extraTitle":"","html":"<html><head></head><body>??‍♂️</body></html>","htmlText":"<html><head></head><body>??‍♂️</body></html>","text":"??‍♂️","highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://ttm.financial/post/365027373","repostId":1140351621,"repostType":4,"repost":{"id":"1140351621","kind":"news","pubTimestamp":1614673583,"share":"https://ttm.financial/m/news/1140351621?lang=en_US&edition=fundamental","pubTime":"2021-03-02 16:26","market":"us","language":"zh","title":"Is the Federal Reserve the root cause of rising U.S. bond yields?","url":"https://stock-news.laohu8.com/highlight/detail?id=1140351621","media":"新浪财经","summary":"当前美债收益率回升加快，笔者认为，其根本原因在于美债供过于求，且这种回升趋势已使美国财政部和美联储陷入两难困境。\n供大于求导致美债收益率快速回升\n从2020年三季度开始，美国国债收益率缓慢上行，今年2","content":"The current recovery in U.S. bond yields is accelerating. The author believes that the fundamental reason lies in the oversupply of U.S. bonds, and this recovery trend has put the U.S. Treasury Department and the Federal Reserve in a dilemma.Oversupply leads to rapid recovery in US bond yieldsStarting from the third quarter of 2020, U.S. Treasury Bond yields have risen slowly, and accelerated after February this year. Last week, the U.S. 10-year Treasury Bond yield once exceeded 1.6%, reaching the highest point in a year. Inflation and inflation expectations are undoubtedly important reasons, but the oversupply of U.S. bond issuance is fundamental.In 2020, the U.S. Treasury Department launched three rounds of fiscal relief plans totaling US $2.2 trillion. The fiscal deficit expanded sharply and the circulation of Treasury Bond increased significantly. As of December 2020, the balance of Treasury Bond reached US $27.9 trillion, accounting for 137% of GDP, a record high. More importantly, it is also the first year of fiscal expansion after the crisis, and the investor structure of U.S. Treasury Bond balance has changed significantly compared with 2009.First, the proportion of foreign investors has dropped sharply. From 2008 to 2009, the balance of U.S. Treasury Bond expanded from 7.6 trillion US dollars to 8.8 trillion US dollars, and foreign investors increased their holdings from 3.3 trillion US dollars to 3.7 trillion US dollars, accounting for about 42%; From 2019 to 2020, the balance of U.S. Treasury Bond expanded from US $19.4 trillion to US $27.9 trillion, while foreign investors only slightly increased their holdings from US $6.8 trillion to US $7.1 trillion, accounting for a sharp drop from 35.1% to 25.4%, of which foreign officials only hold US $4.2 trillion, accounting for 15%, the lowest level since 2007. This means that almost all new U.S. debt is purchased by domestic investors in the United States.Second, the Federal Reserve has become the main holder of new U.S. debt. Domestic investors in U.S. debt include the Federal Reserve, commercial banks, government funds, and other institutions. Their structures in 2020 are also significantly different from those in 2009. First, the Federal Reserve increased its holdings significantly, from US $2.5 trillion to US $4.7 trillion, accounting for 17.5%. Second, the proportion of other institutions such as bond funds, hedge funds, insurance and private equity rose to 31.2%, replacing government funds as the largest holder of Treasury Bond. That is, of the US $4.55 trillion in new Treasury Bond in 2020, the Federal Reserve holds US $2.4 trillion, accounting for 53%, and institutions such as funds, insurance and private equity hold US $1.6 trillion, accounting for 35%. Nearly 90%.The Federal Reserve's increase in U.S. debt holdings is only a coordination with fiscal policy, not an investment demand for U.S. debt. The sharp drop in the proportion of foreign investors means that the supply of U.S. bonds exceeds demand, which is the fundamental reason for the decline in U.S. bond prices and the rise in yields. Last week, the U.S. Treasury Department's $62 billion 7-year Treasury Bond auction had a bid multiple of only 2.04, a new low since 2009, indicating that the gap between U.S. bond supply and demand is further widening.The paradox between massive issuance of U.S. bonds and rising U.S. bond yieldsFirst of all, as the supply of U.S. debt exceeds demand globally, the U.S. Treasury Department faces the paradox of U.S. debt issuance. In order to increase the investment demand of U.S. debt, the Ministry of Finance had to increase the coupon rate, which was contrary to the original intention of the Ministry of Finance to issue Treasury Bond.During the economic downturn, the best way to make up for the fiscal deficit is to issue new debts to repay old debts. The longer the term and the lower the yield, the more conducive it is to repay principal and interest. However, the yield of 10-year Treasury Bond in the United States has climbed from 0.55% at the end of July last year to the current 1.44%, an increase of 162%. The coupon rate of newly issued U.S. bonds will be directly affected by the yield of existing U.S. bonds.As yields rise, the interest burden of the U.S. Treasury Department will become higher and higher, and the attributes of U.S. debt safe assets may decline, and even U.S. debt defaults may occur. Therefore, U.S. debt cannot be issued in an unlimited amount. The day when the interest on U.S. debt cannot be paid is the time when U.S. debt has to stop issuing additional debt.Second, the Federal Reserve faces the paradox of U.S. bond purchases. The Federal Reserve continues to buy U.S. bonds in order to cooperate with the Treasury Department to lower yields (especially long-term interest rates), while providing liquidity to society, lowering market interest rates, and promoting employment and the economy, but the actual result may not be the case.Since February this year, as economic data improved and market expectations for the Federal Reserve to raise benchmark interest rates to control inflation rose sharply, U.S. bonds began to sell off and prices accelerated.As mentioned earlier, the current largest holders of U.S. debt are U.S. domestic institutions. These institutions buy U.S. bonds as part of their securities asset portfolios, so they will change the trading direction at any time according to the portfolio's yield.When the price of U.S. bonds falls to a critical point, it will trigger more sell order, causing the price to fall further, making the yield curve extremely steep.Therefore, even if the Fed holds most of the new Treasury Bond, it still cannot prevent U.S. bond yields from rising. Not only that, the more the Fed buys, the less investment demand for U.S. bonds, which will lead to lower U.S. bond prices and higher yields.The above two pairs of internal contradictions will restrict the continued issuance of U.S. debt and the recovery of the U.S. economy, which leads to the paradox of the original intention and result of U.S. debt issuance.After 2013, the United States experienced a long period of low inflation and low unemployment. The Federal Reserve's worries about falling unemployment rates leading to rising inflation have decreased, while worries about the \"bad cycle of falling inflation and inflation expectations\" have increased. In order to avoid the risk of deflation in the United States, the Federal Reserve included average inflation targeting in its policy reserves in 2019. After the epidemic in 2020, the gap between the rich and the poor in the United States widened sharply, and employment issues became the priority control goal of the Federal Reserve's monetary policy. The average inflation targeting system can expand short-term fluctuations in inflation and narrow fluctuations in the unemployment rate.The average inflation targeting system means that the Fed does not need to rate hike immediately when inflation reaches 2%, but it also increases the risk of inflation overshoot, which is not conducive to achieving the Fed's forward guidance. Last Tuesday, the Federal Reserve publicly declared that the rise in U.S. bond yields is a sign of improvement in the economy and should be tolerated.However, the market generally believes that under the loose monetary policy, the economy may overheat, causing inflation to exceed the control of the Federal Reserve, which will eventually tighten the currency and raise the base interest rate. Therefore, the Fed's appeasement of the market has instead led to a further rise in U.S. bond yields.The paradox will trigger three trendsFirst, U.S. inflation will continue to rise. From a fundamental point of view, wages are sticky, and the recovery of the labor force will not cause the rising wages to fall quickly. There may even be a \"labor shortage\" in some industries, which will lead to the continued rise of wages.From a technical perspective, the outbreak of the epidemic in the first half of last year caused prices to drop sharply by at least 0.5%, which depressed the base of inflation this year, especially the base effect of inflation from March to April was greater.From a policy perspective, the average inflation targeting system will allow inflation to rise above 2%. Therefore, in the first half of this year, the core inflation in the United States is likely to exceed 2%, and the full-year inflation will be around 2%.Second, the Federal Reserve will increase its purchases of U.S. bonds to control the pace of rising yields. However, as the Fed's holding ratio becomes higher and higher, the investment value of U.S. bonds will further weaken, and the sell-off in the international market will continue to push up yields. The current rise in U.S. bond yields is the beginning of a new trend, not a short-term phenomenon.Under the condition that the epidemic is basically under control and the economy basically recovers, the Federal Reserve will end bond purchases. Comparing the macro data of quantitative easing's withdrawal from 2013 to 2014, the author believes that this condition can only be met when the U.S. GDP growth rate for two consecutive quarters (after deducting the base factor) reaches more than 2.5% and the unemployment rate is lower than 4%. Considering the current technological progress, aging population and other factors, it may take longer for the unemployment rate in the United States to stabilize below 4%.Third, the US dollar will depreciate further and increase the export of inflation to the world.From the perspective of the United States, under the Federal Reserve's policy of continuing to purchase bonds and maintaining low interest rates, the base currency of the United States continued to expand. In January this year, M2 reached 25.9%, increasing the pressure on the further depreciation of the US dollar.Internationally, the difference in inflation expectations between the United States and major trading partners such as China, Japan and Europe has led to higher real exchange rates of these currencies against the US dollar. At the same time, the adjustment of the international monetary system has led to a further decline in the share of global foreign exchange reserves of the US dollar, weakening the demand for the US dollar.However, nearly half of the global trade in goods and services is still denominated and settled in U.S. dollars. The depreciation of the U.S. dollar makes the United States export inflation to the world through international trade and international financial markets. Among them, the prices of international commodities have risen sharply first. In January this year, steel, copper, soybeans and corn rose by 40%-50% year-on-year, and the prices of safe-haven assets such as gold fluctuated sharply.In order to improve their tolerance for inflation, both the European Central Bank and the Bank of Japan are under pressure to switch from fixed inflation targeting to average inflation targeting.","source":"lsy1568765880822","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Is the Federal Reserve the root cause of rising U.S. bond yields?</title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nIs the Federal Reserve the root cause of rising U.S. bond yields?\n</h2>\n<h4 class=\"meta\">\n\n新浪财经2021-03-02 16:26\n\n</h4>\n</header>\n<article>\nThe current recovery in U.S. bond yields is accelerating. The author believes that the fundamental reason lies in the oversupply of U.S. bonds, and this recovery trend has put the U.S. Treasury Department and the Federal Reserve in a dilemma.Oversupply leads to rapid recovery in US bond yieldsStarting from the third quarter of 2020, U.S. Treasury Bond yields have risen slowly, and accelerated after February this year. Last week, the U.S. 10-year Treasury Bond yield once exceeded 1.6%, reaching the highest point in a year. Inflation and inflation expectations are undoubtedly important reasons, but the oversupply of U.S. bond issuance is fundamental.In 2020, the U.S. Treasury Department launched three rounds of fiscal relief plans totaling US $2.2 trillion. The fiscal deficit expanded sharply and the circulation of Treasury Bond increased significantly. As of December 2020, the balance of Treasury Bond reached US $27.9 trillion, accounting for 137% of GDP, a record high. More importantly, it is also the first year of fiscal expansion after the crisis, and the investor structure of U.S. Treasury Bond balance has changed significantly compared with 2009.First, the proportion of foreign investors has dropped sharply. From 2008 to 2009, the balance of U.S. Treasury Bond expanded from 7.6 trillion US dollars to 8.8 trillion US dollars, and foreign investors increased their holdings from 3.3 trillion US dollars to 3.7 trillion US dollars, accounting for about 42%; From 2019 to 2020, the balance of U.S. Treasury Bond expanded from US $19.4 trillion to US $27.9 trillion, while foreign investors only slightly increased their holdings from US $6.8 trillion to US $7.1 trillion, accounting for a sharp drop from 35.1% to 25.4%, of which foreign officials only hold US $4.2 trillion, accounting for 15%, the lowest level since 2007. This means that almost all new U.S. debt is purchased by domestic investors in the United States.Second, the Federal Reserve has become the main holder of new U.S. debt. Domestic investors in U.S. debt include the Federal Reserve, commercial banks, government funds, and other institutions. Their structures in 2020 are also significantly different from those in 2009. First, the Federal Reserve increased its holdings significantly, from US $2.5 trillion to US $4.7 trillion, accounting for 17.5%. Second, the proportion of other institutions such as bond funds, hedge funds, insurance and private equity rose to 31.2%, replacing government funds as the largest holder of Treasury Bond. That is, of the US $4.55 trillion in new Treasury Bond in 2020, the Federal Reserve holds US $2.4 trillion, accounting for 53%, and institutions such as funds, insurance and private equity hold US $1.6 trillion, accounting for 35%. Nearly 90%.The Federal Reserve's increase in U.S. debt holdings is only a coordination with fiscal policy, not an investment demand for U.S. debt. The sharp drop in the proportion of foreign investors means that the supply of U.S. bonds exceeds demand, which is the fundamental reason for the decline in U.S. bond prices and the rise in yields. Last week, the U.S. Treasury Department's $62 billion 7-year Treasury Bond auction had a bid multiple of only 2.04, a new low since 2009, indicating that the gap between U.S. bond supply and demand is further widening.The paradox between massive issuance of U.S. bonds and rising U.S. bond yieldsFirst of all, as the supply of U.S. debt exceeds demand globally, the U.S. Treasury Department faces the paradox of U.S. debt issuance. In order to increase the investment demand of U.S. debt, the Ministry of Finance had to increase the coupon rate, which was contrary to the original intention of the Ministry of Finance to issue Treasury Bond.During the economic downturn, the best way to make up for the fiscal deficit is to issue new debts to repay old debts. The longer the term and the lower the yield, the more conducive it is to repay principal and interest. However, the yield of 10-year Treasury Bond in the United States has climbed from 0.55% at the end of July last year to the current 1.44%, an increase of 162%. The coupon rate of newly issued U.S. bonds will be directly affected by the yield of existing U.S. bonds.As yields rise, the interest burden of the U.S. Treasury Department will become higher and higher, and the attributes of U.S. debt safe assets may decline, and even U.S. debt defaults may occur. Therefore, U.S. debt cannot be issued in an unlimited amount. The day when the interest on U.S. debt cannot be paid is the time when U.S. debt has to stop issuing additional debt.Second, the Federal Reserve faces the paradox of U.S. bond purchases. The Federal Reserve continues to buy U.S. bonds in order to cooperate with the Treasury Department to lower yields (especially long-term interest rates), while providing liquidity to society, lowering market interest rates, and promoting employment and the economy, but the actual result may not be the case.Since February this year, as economic data improved and market expectations for the Federal Reserve to raise benchmark interest rates to control inflation rose sharply, U.S. bonds began to sell off and prices accelerated.As mentioned earlier, the current largest holders of U.S. debt are U.S. domestic institutions. These institutions buy U.S. bonds as part of their securities asset portfolios, so they will change the trading direction at any time according to the portfolio's yield.When the price of U.S. bonds falls to a critical point, it will trigger more sell order, causing the price to fall further, making the yield curve extremely steep.Therefore, even if the Fed holds most of the new Treasury Bond, it still cannot prevent U.S. bond yields from rising. Not only that, the more the Fed buys, the less investment demand for U.S. bonds, which will lead to lower U.S. bond prices and higher yields.The above two pairs of internal contradictions will restrict the continued issuance of U.S. debt and the recovery of the U.S. economy, which leads to the paradox of the original intention and result of U.S. debt issuance.After 2013, the United States experienced a long period of low inflation and low unemployment. The Federal Reserve's worries about falling unemployment rates leading to rising inflation have decreased, while worries about the \"bad cycle of falling inflation and inflation expectations\" have increased. In order to avoid the risk of deflation in the United States, the Federal Reserve included average inflation targeting in its policy reserves in 2019. After the epidemic in 2020, the gap between the rich and the poor in the United States widened sharply, and employment issues became the priority control goal of the Federal Reserve's monetary policy. The average inflation targeting system can expand short-term fluctuations in inflation and narrow fluctuations in the unemployment rate.The average inflation targeting system means that the Fed does not need to rate hike immediately when inflation reaches 2%, but it also increases the risk of inflation overshoot, which is not conducive to achieving the Fed's forward guidance. Last Tuesday, the Federal Reserve publicly declared that the rise in U.S. bond yields is a sign of improvement in the economy and should be tolerated.However, the market generally believes that under the loose monetary policy, the economy may overheat, causing inflation to exceed the control of the Federal Reserve, which will eventually tighten the currency and raise the base interest rate. Therefore, the Fed's appeasement of the market has instead led to a further rise in U.S. bond yields.The paradox will trigger three trendsFirst, U.S. inflation will continue to rise. From a fundamental point of view, wages are sticky, and the recovery of the labor force will not cause the rising wages to fall quickly. There may even be a \"labor shortage\" in some industries, which will lead to the continued rise of wages.From a technical perspective, the outbreak of the epidemic in the first half of last year caused prices to drop sharply by at least 0.5%, which depressed the base of inflation this year, especially the base effect of inflation from March to April was greater.From a policy perspective, the average inflation targeting system will allow inflation to rise above 2%. Therefore, in the first half of this year, the core inflation in the United States is likely to exceed 2%, and the full-year inflation will be around 2%.Second, the Federal Reserve will increase its purchases of U.S. bonds to control the pace of rising yields. However, as the Fed's holding ratio becomes higher and higher, the investment value of U.S. bonds will further weaken, and the sell-off in the international market will continue to push up yields. The current rise in U.S. bond yields is the beginning of a new trend, not a short-term phenomenon.Under the condition that the epidemic is basically under control and the economy basically recovers, the Federal Reserve will end bond purchases. Comparing the macro data of quantitative easing's withdrawal from 2013 to 2014, the author believes that this condition can only be met when the U.S. GDP growth rate for two consecutive quarters (after deducting the base factor) reaches more than 2.5% and the unemployment rate is lower than 4%. Considering the current technological progress, aging population and other factors, it may take longer for the unemployment rate in the United States to stabilize below 4%.Third, the US dollar will depreciate further and increase the export of inflation to the world.From the perspective of the United States, under the Federal Reserve's policy of continuing to purchase bonds and maintaining low interest rates, the base currency of the United States continued to expand. In January this year, M2 reached 25.9%, increasing the pressure on the further depreciation of the US dollar.Internationally, the difference in inflation expectations between the United States and major trading partners such as China, Japan and Europe has led to higher real exchange rates of these currencies against the US dollar. At the same time, the adjustment of the international monetary system has led to a further decline in the share of global foreign exchange reserves of the US dollar, weakening the demand for the US dollar.However, nearly half of the global trade in goods and services is still denominated and settled in U.S. dollars. The depreciation of the U.S. dollar makes the United States export inflation to the world through international trade and international financial markets. Among them, the prices of international commodities have risen sharply first. In January this year, steel, copper, soybeans and corn rose by 40%-50% year-on-year, and the prices of safe-haven assets such as gold fluctuated sharply.In order to improve their tolerance for inflation, both the European Central Bank and the Bank of Japan are under pressure to switch from fixed inflation targeting to average inflation targeting.\n<div class=\"bt-text\">\n\n\n source：<a href=\"https://finance.sina.com.cn/stock/usstock/c/2021-03-02/doc-ikftpnnz0602998.shtml\">新浪财经</a>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/6a1de7aced7748879f251930783a3cb1","relate_stocks":{".DJI":"道琼斯"},"source_url":"https://finance.sina.com.cn/stock/usstock/c/2021-03-02/doc-ikftpnnz0602998.shtml","is_english":false,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1140351621","content_text":"当前美债收益率回升加快，笔者认为，其根本原因在于美债供过于求，且这种回升趋势已使美国财政部和美联储陷入两难困境。\n供大于求导致美债收益率快速回升\n从2020年三季度开始，美国国债收益率缓慢上行，今年2月后加速攀升，上周美国10年期国债收益率一度突破1.6%，达到一年来的最高点。通胀和通胀预期无疑是重要原因，但美债发行供大于求才是根本。\n2020年，美国财政部出台了三轮共计2.2万亿美元的财政纾困计划，财政赤字急剧扩大，国债发行量大幅上升。截至2020年12月，国债余额达27.9万亿美元，与GDP比重高达137%，创下历史新高。更为重要的是，同为危机后财政扩张的第一年，美国国债余额投资者结构较2009年出现了明显变化。\n第一，外国投资者占比大幅下降。2008年至2009年，美国国债余额从7.6万亿美元扩大至8.8万亿美元，外国投资者从3.3万亿美元增持至3.7万亿美元，占比维持在42%左右；2019年至2020年，美国国债余额从19.4万亿美元膨胀至27.9万亿美元，而外国投资者仅从6.8万亿美元微幅增持至7.1万亿美元，占比从35.1%骤降至25.4%，其中外国官方持有仅4.2万亿美元，占比15%，是2007年以来的最低水平。这意味着新增美债几乎都是由美国国内投资者购买。\n第二，美联储成为新增美债的主要持有者。美债的国内投资者包括美联储、商业银行、政府基金、其他机构，2020年它们的结构也较2009年明显不同。一是美联储大幅增持，从2.5万亿美元增至4.7万亿美元，占比17.5%。二是债券基金、对冲基金、保险和私募股权等其他机构的占比升至31.2%，取代政府基金成为最大的国债持有者。即，在2020年新增的4.55万亿美元国债中，美联储持有2.4万亿美元，占53%，基金、保险和私募股权等机构持有1.6万亿，占35%，两者合计近90%。\n美联储对美债的增持只是对财政政策的配合，而非对美债的投资需求。外国投资者占比大幅下降意味着美债供大于求，这是美债价格下降、收益率上升的根本原因。上周美国财政部620亿美元的7年期国债拍卖的投标倍数仅2.04，创2009年以来新低，表明美债供需缺口正在进一步扩大。\n美债大量发行与美债收益率上涨的悖论\n首先，由于美债在全球范围内供大于求，美国财政部面临美债发行的悖论。为了提高美债的投资需求，财政部不得不提高发行票面利率，而提高票面利率又有悖于财政部发行国债的初衷。\n在经济低迷时期，弥补财政赤字的最优手段是发新债还旧债，年限越长、收益率越低越有利于还本付息。但美国10年期国债收益率从去年7月末的0.55%攀升至当前的1.44%，已增长了162%。新发美债的票面利率将直接受存量美债收益率的影响。\n随着收益率的上升，美国财政部的利息负担会越来越高，美债安全资产的属性可能下降，甚至出现美债违约的现象。所以，美债并非可无限量发行，美债利息无法兑付之日，就是美债不得不停止增发之时。\n其次，美联储面临美债购买悖论。美联储持续购入美债，目的是配合财政部压低收益率（尤其是长期利率），同时向社会提供流动性，降低市场利率，促进就业和经济，但实际结果可能并非如此。\n自今年2月份开始，随着经济数据好转，市场对美联储提高基准利率以控制通胀的预期大幅上升，美债开始遭到抛售，价格加速下跌。\n如前所述，当前美债的最大持有者是美国国内机构。这些机构购入美债是将其作为证券资产组合的一部分，因此会根据组合收益率的情况随时改变交易方向。\n当美债价格下跌到关键点位后，会触发更多的卖盘导致价格进一步下跌，使收益率曲线变得异常陡峭。\n因此，即使美联储持有大部分新增国债，仍不能阻止美债收益率上升。不仅如此，美联储买得越多，说明美债的投资需求越少，反而导致美债价格更低、收益率更高。\n上述两对内在矛盾将对美债的持续发行、美国经济复苏形成制约，这就导致了美债发行初衷与结果的悖论。\n美国在2013年后经历了长期的低通胀和低失业率并存，美联储对失业率下降导致通胀上升的担忧减少，而对“通胀和通胀预期不断降低的不良循环”的担忧增加。为了避免美国陷入通货紧缩风险，美联储在2019年将平均通胀目标制纳入政策储备。2020年疫情后，美国贫富差距急剧扩大，就业问题成为美联储货币政策的优先调控目标，而平均通胀目标制可以使通胀短期波动扩大、失业率波动缩小。\n平均通胀目标制意味着美联储无需在通胀达到2%时就立即加息，但也加大了通胀超调的风险，反而不利于实现美联储的前瞻性指引。上周二，美联储公开宣称美债收益率上升是经济向好的表现，应该予以容忍。\n但市场普遍认为，在宽松的货币政策下，经济可能走向过热，导致通胀超过美联储能够控制的范围，最终仍将收紧货币，提高基础利率。因此，美联储对市场的安抚反而导致美债收益率进一步上行。\n悖论将引发三个趋势\n第一，美国通胀将继续上行。从基本面看，工资具有粘性，劳动力的复苏并不会使上涨的工资迅速回落，甚至会有部分行业出现“用工荒”而导致工资继续上涨。\n从技术层面看，去年上半年疫情的暴发使价格急剧下跌至少0.5%，这压低了今年通胀的基数，尤其是3月至4月份通胀的基数效应更大。\n从政策层面看，平均通胀目标制将放任通胀走高至2%以上。因此，今年上半年，美国核心通胀很可能超过2%，全年通胀在2%附近。\n第二，美联储将加大对美债的购买，以控制收益率上行速度。但随着美联储的持有比例越来越高，美债的投资价值将进一步减弱，国际市场的抛售将继续推高收益率。当前美债收益率上涨是新趋势的开始，而非短期现象。\n在疫情得到基本控制、经济基本复苏的条件下，美联储将结束购债。对比2013年至2014年量化宽松退出时的宏观数据，笔者认为，在美国GDP连续两个季度增速（扣除基数因素后）达2.5%以上、失业率低于4%时才满足这一条件。考虑到当前技术进步、人口老龄化等因素，美国失业率稳定在4%以下恐怕需要更久的时间。\n第三，美元将进一步贬值，并加大向全球输出通胀。\n从美国国内看，在美联储持续购债并维持低利率的政策下，美国基础货币持续扩张，今年1月份M2高达25.9%，增加了美元进一步贬值的压力。\n从国际上看，美国与中日欧等主要贸易伙伴在通胀预期上的差异，导致这些货币兑美元的实际汇率更高。同时，国际货币体系的调整导致美元的全球外汇储备份额进一步下降，削弱对美元的需求。\n但全球商品和服务贸易近半数仍由美元计价、结算，美元贬值使美国通过国际贸易和国际金融市场向全球输出通胀。其中，国际大宗商品的价格已先行大幅上涨。今年1月份，钢材、铜、大豆和玉米等同比上涨40%-50%不等，黄金等避险资产价格大幅波动。\n为了提高对通胀的容忍度，欧洲央行和日本央行均受到由固定通胀目标制转变为平均通胀目标制的压力。","news_type":1,"symbols_score_info":{".DJI":0.9}},"isVote":1,"tweetType":1,"viewCount":1235,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":5,"xxTargetLangEnum":"ORIG"},"commentList":[],"hasMoreComment":false,"orderType":2}