传统认为美债作为无风险资产,美债利率是全球资产的定价锚。但是近年来,一些现象或表明美债对大类资产的定价能力削弱,美债与其他资产的联动不再显著,甚至相关性发生逆转,导致以美债利率为定价中枢的大类资产定价框架或面临一定挑战,具体而言: 1)黄金对美债呈现跟涨不跟跌的特征。历史上看,黄金与美债利率尤其是实际美债利率保持较强的相关性,即美债指数与金价“同涨同跌”。但随着央行加速购金,以及近期美债风险溢价...
Source Link传统认为美债作为无风险资产,美债利率是全球资产的定价锚。但是近年来,一些现象或表明美债对大类资产的定价能力削弱,美债与其他资产的联动不再显著,甚至相关性发生逆转,导致以美债利率为定价中枢的大类资产定价框架或面临一定挑战,具体而言: 1)黄金对美债呈现跟涨不跟跌的特征。历史上看,黄金与美债利率尤其是实际美债利率保持较强的相关性,即美债指数与金价“同涨同跌”。但随着央行加速购金,以及近期美债风险溢价...
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