> **来源：[研报客](https://pc.yanbaoke.cn)** # 宏观专题 # 宏观经济深度研究 # 分位数视角下的美元指数走势 2025年以来，美元汇率波动性明显抬升，短期运行偏弱、长期结构仍偏强的特征逐步显现。从短期看，这一变化主要反映出市场在利率路径、跨境资金流动与风险定价等方面进入再校准阶段。从更长周期观察，美元指数仍运行在由储备货币地位与相对稳健的经济基本面所支撑的强美元区间，但其运行方式正在发生变化。基于上述背景，本文从分位数视角出发，对美元指数的阶段性位置与未来运行区间进行系统性刻画。滚动分位数分析与长短期状态矩阵结果显示，美元指数在短期窗口内的相对分位数水平已明显回落，而在更长时间尺度上仍维持在历史分布的偏高区间，短长周期错位特征日益突出。在此基础上，分位数回归结果进一步表明，利差与风险定价因素在不同分布位置上的作用存在显著差异，美元运行机制呈现出明显的状态依赖特征。展望2026年，美元仍处于短期修正与长期支撑相互作用的方向选择阶段，在多重力量的拉扯下或将继续呈现反复、拉扯，美元指数更可能在较宽区间内通过震荡波动完成阶段性再平衡。 分位数表现：短期走弱与长期支撑并存。为了刻画美元当前所处的阶段性状态，本文对美元指数进行滚动分位数分析。基于2001年以来的美元指数日度数据，分别在2年与15年的时间窗口内，计算美元指数当前水平在各自历史分布中的相对位置。从判断绝对点位到分布中的相对状态，分位数方法有助于区分周期性波动与结构性位置，从而更清晰地识别美元指数变化的短期扰动与长期约束。 统计结果显示，近两年来美元指数2年期分位数位置出现明显回落，反映出美元短期强势有所缓和，价格波动加快。这一变化对应的是近期宏观预期调整与美联储货币政策转向过程中，美元阶段性压力的释放。与此同时，在15年的长周期中，美元分位数仍维持在相对偏高区间，显示其在历史分布中的位置依然具有较强支撑。这表明，从更长期视角看，美元在全球货币体系中的结构性地位面临调整压力，但其定价基础仍处于较高区间。长短期分位数的对比揭示出美元当前的阶段特征。一方面，短期窗口反映的是波动放大与强美元的阶段性降温，另一方面长期窗口刻画的是结构性支撑。二者叠加之下，美元运行状态呈现出短期走弱与长期偏强并存。 图1：美元指数点位走势与分位数走势对比 资料来源：Wind、工银国际整理(注：截至 2026 年 1 月 27 日) 2026年1月30日 程实，博士 (852) 2206 8049 shi.cheng@icbc.com.cn 徐婕，博士 (852) 2683 3777 jessica.xu@icbci.com # 相关研究： 1/29/2026：《独立性承压下的货币政策路径——2026年1月美联储议息会议点评》 1/26/2026：《以历史主动精神应对混沌演化——变局世界与潜能中国系列研究之二》 1/22/2026：《人工智能重塑劳动力市场的理论认知》 1/14/2026：《从银价波动看“变乱交织、动荡加剧”》 1/7/2026：《价值链攀升的中国坐标——“经纬之间纵横其链”中国价值链系列研究之二》 1/6/2026：《人工智能时代的中国比较优势》 1/5/2026：《如何充分挖掘经济潜能？——变局世界与潜能中国系列研究之一》 12/30/2025：《纵横捭阖：全球价值链重构与中国产业体系突破——“经纬之间纵横其链”中国价值链系列研究之一》 12/23/2025：《中等发达国家的丰富内涵与政策指向》 12/16/2025：《每一代人都有自己的Labubu——从新需求×新供给看中国消费新格局》 12/12/2025：《格物致知，成势在人——投资于物和投资于人的时代逻辑》 12/11/2025：《利率下行，风险上行——2025年12月美联储议息会议点评》 12/5/2025：《人工智能浪潮中的真实与泡影》 11/24/2025：《在临界中博弈路径——2026年全球大类资产展望》 11/21/2025：《在交汇中重塑平衡——2026年香港经济展望》 分位数回归框架：条件分布的状态刻画。在滚动分位数分析的基础上，本文进一步将美元指数的短期与长期状态映射至二维状态矩阵中，用以刻画其所处的结构位置。矩阵横轴表示基于长期窗口（15年）的分位数状态，纵轴表示基于短期窗口（2年）的分位数状态。该框架关注的重点在于识别美元当前所处的状态阶段。 从状态矩阵的时间演进看，自2024年以来，美元指数的结构位置发生了清晰而有序的变化。2024年阶段，美元主要分布在“短期偏强、长期偏强”的象限内，短长周期分位数同步处于高位，反映出当时美元在政策预期、利差优势与风险定价多重因素支撑下，呈现出较为一致的强势状态。进入2025年后，美元的长期分位数仍维持在高位区间，但短期分位数开始明显下移，状态逐步向“短期偏弱、长期仍强”象限迁移，显示出短长周期之间的错位加大，短期定价力量主导波动的特征愈发突出。至近期观察时点，这一格局进一步巩固。美元在长期维度上仍处于历史偏高区间，而在短期维度上维持低位徘徊，整体运行状态由同步强势转向结构分化，表明美元已由单一趋势阶段进入以再平衡为特征的区间化运行阶段。 短长周期分位数的错位，反映出美元当前运行环境中的多重约束与拉扯。一方面，利差边际收敛、美联储或加速降息等因素，对美元形成阶段性压力。另一方面，美元作为核心储备货币所具备的资产属性，仍对其下行空间构成约束。这一状态判断为后续模型选择提供了直接依据。在趋势信号弱化、分布特征增强的阶段，采用分位数回归与历史条件模拟来刻画美元未来路径的不确定性与条件分布，具有更高的适配性。与传统回归侧重条件均值不同，分位数回归直接刻画解释变量在不同分布位置上对被解释变量的影响，更适合分析具有显著非对称性与状态依赖特征的金融时间序列。具体而言，模型以美元指数月度对数变动率为被解释变量，引入三类核心解释变量。一是滞后收益率，用以刻画美元指数在风险偏好变化与预期调整过程中的惯性。二是国债利差变量，用美国与德国10年期国债收益率之差衡量，用以刻画美元资产相对于其他核心货币资产的长期回报优势，反映全球资金在主要资产之间的配置取向。其三为标准普尔500波动率指数（VIX），用于刻画全球风险定价环境及避险需求的波动。该框架允许利差与风险因素在不同分位数水平上呈现差异化影响，从而更准确地刻画美元在低分位、中位与高分位状态下的响应特征，为后续分布预测提供基础。 图2：美元指数长短期强弱四象限 资料来源：Wind、工银国际整理 回归结果与分布预测：两股力量的拉扯与区间再平衡。分位数回归结果显示，利差与风险指标对美元指数的影响在不同分布位置上呈现出明显的状态依赖特征。实证结果表明，利差在各分位数区间内整体呈现正向系数，显示收益率差异对美元运行具有稳定的方向性影响，但其统计显著性有限，更多体现为对美元分布中枢与区间边界的长期约束，但缺少对短期波动的直接影响。相较之下，VIX指数在分布尾部的影响更为突出。在低分位与高分位区间，其影响达到统计显著水平，而在中位附近影响明显减弱，表明当美元处于相对弱势或强势的极端状态时，全球风险情绪变化对美元波动具有更强的主导作用。综合而言，利差更多塑造美元运行的长期区间边界，而风险定价因素主要通过尾部状态放大短期波动。 在此基础上，本文进一步采用历史条件模拟方法，对未来12个月美元指数的可能运行区间进行分布预测。具体而言，对近五年的利差与VIX指数的月度变动进行重抽样，构造一组可能的宏观状态路径，并在每一期结合分位数回归所刻画的条件分布进行随机抽样，从而生成美元指数未来路径的分布集合。相关结果以扇形图形式呈现，用以刻画不确定性随时间扩散的过程及区间约束的存在。预测结果显示，随着预测期限的延长，不确定性逐步累积，分布区间自然扩展。但在整个预测期内，中位路径及上下分位边界始终受到利差与风险定价机制的系统性约束。展望2026年，美元仍处于短期修正与长期支撑相互作用的方向选择阶段，在多重力量的拉扯下或将继续呈现反复、拉扯，美元指数更可能在较宽区间内通过震荡波动完成阶段性再平衡。 图3：分位数回归系数 资料来源：Wind、工银国际整理 图4：未来12个月美元指数路径的分布集合 资料来源：Wind、工银国际整理 # 重要披露 # 工银国际的股票评级 超越基准：预期未来12个月内股票总回报（包括股息）超越相应市场基准指数 $20\%$ 以上 中性：预期未来12个月内股票总回报（包括股息）对比相应市场基准指数在-20%至20%以内 落后基准：预期未来12个月内股票总回报（包括股息）落后相应市场基准指数 $20\%$ 以上 暂无评级：分析师目前对于预期未来12个月内股票总回报（包括股息）对比相应市场基准指数的变化幅度无法给出确信的判断 # 工银国际是中国工商银行的全资子公司 # 如有需要，可向工银国际索取进一步资料。 本报告所载的意见纯粹是分析员对有关证券或发行人的个人看法；彼以往、现在或未来并无就其研究报告所提供的特别建议或所表达的意见直接或间接收取任何报酬。 # 工银国际证券有限公司 地址：香港中环花园道3号中国工商银行大厦37楼电话：(852)26833888传真：(852)26833900 # 一般披露 主要负责撰写本研究报告全部或部份内容的分析师在此声明：(i)本研究报告的任何观点均精准地反映了上述(每位)分析师个人对目标证券和发行人的看法；及(ii)该分析师所得报酬的任何组成部分无论是在过去、现在及将来均不会直接或间接地与研究报告所表述的具体观点相联系。 本研究报告所载资料由工银国际证券有限公司编制和发表。 此研究报告并非针对或意图被居于或位于某些司法管辖范围之任何人士或市民或实体作派发或使用，而我们在该等司法管辖范围并无相关注册或牌照，且在该等司法管辖范围内分发、发布、提供或使用将会违反当地适用的法律或条例或会导致工银国际证券有限公司、集团成员及/或其联属方(统称“工银国际”或"我们”)需在该司法管辖范围内作出注册或领照之要求。仅就本文件而言，此研究报告不应被视为是一种邀约或邀请购入或出售任何文中引述之证券。 本研究报告 (i) 供阁下作个人参考之用；(ii) 若要约发行在任何司法管辖区为违法，本研究报告不应诠释为出售证券的要约或招揽购买证券的要约；(iii) 本研究报告的资料可能基于来自我们认为可靠的第三方来源但并未获工银国际独立核实。本研究报告仅提供一般参考资料，并非为提供个人投资意见，也没有考虑个别人士的具体投资目的、财务状况和特定需要。在准备本研究报告时，工银国际并无进行任何确保本研究报告中提及的证券适合任一特定投资者的步骤。阁下应自行决定涉及本研究报告提及的证券的所有交易，并因应阁下的财务情况、投资经验及投资目的，衡量每一交易是否适合阁下。本研究报告可能含有来自第三方的资料，包括信贷评级机构的评级；除非事先获第三方的书面许可，不得以任何形式分发该第三方材料。第三方材料供应者不保证任何资料(包括评级)的准确性、完整性、时间性或是否可以使用，工银国际和第三方材料供应者无论什么原因也不会就误差或遗漏（无论是不是因为疏忽）承担责任，同时也不会就因使用该材料而产生的结果承担责任。第三方材料供应者并无作出任何明确或隐含的保证，包括但不限于某一特殊目的或用途的可销性或适用性保证。第三方材料供应者毋须就使用这些材料(包括评级)负上任何直接、间接、附带、惩戒性、补偿性、惩罚性、特殊或相应损害赔偿、讼费、开支、法律费用或损失(包括失去的收入或利润及机会成本)的法律责任。信贷评级为意见陈述，并非事实陈述，或购买、持有或销售证券的推荐意见，也并非就证券的适当性或证券投资的适当的引导，不应作为第三方材料供应者的投资意见般倚赖。 本研究报告所载数据可能描述过往表现或根据过往表现作出的模拟情况，这些过往表现或模拟情况并非未来表现的可靠指标。若数据含有未来表现的指针，该预测不可作为未来表现的可靠指标。此外，模拟情况乃基于模型及简化的假设推断，当中可能有过份简化的情况，也不反映未来的回报的分派。本研究报告所述的事实以及当中表达的观点、估计、预测和推测以本研究报告的日期为准，可以在没有通知的情况下有所更改。工银国际并无就本研究报告所载数据发表声明或作出明确或隐含的保证，除非另外获工银国际同意外，阁下亦不应倚赖本研究报告所载数据。在没有和适用于工银国际且不时修订、更改或替代的证券及期货事务监察委员会持牌人或注册人操守准则的义务不一致的情况下，工银国际概不就因使用或倚赖本研究报告或其材料而产生或引致的直接、间接或相应损失或损害赔偿承担法律责任。本研究报告并非为提供个人专业意见(包括但不限于会计、法律或税务意见或投资的推荐意见)，阁下也不应作为专业意见般倚赖；不可取代阁下的判断。除非另外获工银国际同意外，工银国际非阁下的顾问，也不就财务或其它后果承担受信责任或法律责任。投资者须考虑本研究报告的资料或观点是否适合他的特定情况，若适用，应寻求专业意见，包括税务意见、投资限制意见或任何法律或监管意见。 本报告不应被视为阐明或建议与投资决定相关的所有直接或间接风险。工银国际出版很多不同种类的研究产品，其中包括基本面分析、计量分析和短期买卖点子；一类研究产品所含的观点有别于其它种类的研究产品所含的观点，不论是因为不同时间性、方法或其它因素。 准备本研究报告的分析师的报酬由研究部门的管理层及工银国际的高级管理层全权决定。分析师的报酬并不取决于工银国际的企业融资业务的收入，但可能和工银国际企业融资业务的整体总收入联系，而当中包含企业融资、销售及交易业务。 若工银国际以外的金融机构或实体(包括但不限于任何信息提供商)发送本研究报告，则由该金融机构或实体为此发送行为承担全部责任。该发送本研究报告的金融机构的客户应联系该机构如果他们决定进行相关证券的交易。该发送本研究报告的金融机构或实体的客户应直接联系该机构或实体以要求获悉本研究报告提及的证券更详细的信息。本研究报告不构成工银国际向发送本研究报告的金融机构或实体之客户(其并非工银国际的客户)提供的投资意见，工银国际及其各高级职员、董事和员工亦不为前述金融机构或实体之客户因使用本研究报告或其裁明的内容产生的直接或间接损失承担任何责任。 工银国际透过其合规政策及程序（包括但不限于利益冲突、中国墙和保密政策）以及中国墙的维护及雇员培训管理有关其研究活动及研究报告发布的冲突。 本研究报告仅发送给阁下供参考，在没有工银国际的事先书面同意的情况下，不得以任何方式翻印或分发本研究报告的任何部份给其它人士。 收到本研究报告即等同阁下知悉并同意以上条款。 工银国际证券有限公司2026版权所有。保留一切权利。 # 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