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图6、2023年下半年,MOVE指数高位震荡,在9-11月间短暂走陡
图6、2023年下半年,MOVE指数高位震荡,在9-11月间短暂走陡
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图片格式:PNG
图片大小:102KB
图片尺寸:1748*859
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所属报告:
宏观研究-复盘:供给如何影响美债价格?-250821(16页).pdf
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相关数据
MOVE指数的提高对美联储增持国债具有短期影响(%)
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行业数据
2025-11-14
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美债波动率MOVE指数与中证红利相对收益在2022年以来具有同步性
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行业数据
2025-07-15
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2024年11月大选结束后MOVE指数大幅下行
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而波动性来看:流动性收紧和货币政策不确定性会推动波动性提升。2023年下半年,随着债务上限延期,美债市场波动性整体趋稳,MOVE 指数维持高位震荡,表明美债定价受货币政策、经济韧性的不确定性而反复摇摆,波动性增强,但较上半年未出现新的冲击。不过,2023年 9–10月期间,MOVE指数出现短暂陡升,一方面是受 9月 FOMC会议驱动,联储虽暂停加息,但对未来宽松路径仍持谨慎态度,同时财政部正值发债高峰,市场对未来利率路径及债券供给节奏的不确定性提升,引发 MOVE指数上行;同时,9月企业缴税叠加联储缩表使得美元流动性边际收紧,也会导致美债波动性增加。随后,2023年 10月末财政部下调四季度借贷预估,11 月 FOMC 会后联储微妙转鸽,加之经济数据走弱,市场重启对降息路径的定价,MOVE指数随之回落。
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宏观研究-复盘:供给如何影响美债价格?-250821(16页).pdf
图9、2023年1-5月美国公共债务规模基本不变,6月开始扩大
图8、2023年6月债务上限解除后,TGA账户迅速回补
图7、2023年6-11月短债净发行规模显著增加,长端美债也较上半年增发
图6、2023年下半年,MOVE指数高位震荡,在9-11月间短暂走陡
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