🔀 Rate & Inflation利率与通胀 Transmission传导

How the interest-rate, rate-expectations and inflation (CPI · core PCE) state propagates — first, second and third order — into every asset class we track: the full yield-curve read (shape, regime, recession & cross-asset signals), the headwind / tailwind each asset faces now, the causal chains behind it, and what a rate or inflation shock would imply. Coefficients are MEASURED (split-half forward IC); display-only, never a trade call — repricing is reactive.利率、利率预期与通胀（CPI · 核心PCE）的当前状态如何一阶、二阶、三阶地传导至我们跟踪的每一类资产：完整的收益率曲线解读（形态、状态、衰退与跨资产信号）、各资产当前面临的逆风/顺风、其背后的因果链，以及一次利率或通胀冲击意味着什么。系数均为实测（前后半段前瞻IC）；仅供展示，绝非交易建议——重定价是被动的。 · As of截至 2026-07-16

Interest rates利率

2.33% real 10y实际10年
restrictive偏紧 · rising上行
Nominal 10y名义10年4.58%
2s10s curve2-10年曲线0.42
Real 10y %ile实际10年分位98
Policy gap (2y−ff)政策缺口0.55

Inflation通胀

3.4% core PCE YoY核心PCE同比
above target高于目标 · steady平稳
Core CPI核心CPI2.8%
Headline CPI整体CPI3.7%
Core PPI核心PPI4.7%
ECI wagesECI薪酬3.4%

Expectations通胀预期

2.21% 5y5y breakeven5年5年盈亏平衡
anchored锚定
10y breakeven10年盈亏平衡2.23%
Model 5y模型5年2.42%
Survey 1y调查1年4.8%
Mkt−model市场−模型-21bp

Inflation decomposition通胀分解

Headline − core CPI整体−核心CPI
+0.92
food / energy push食品/能源推动
Core services YoY核心服务同比
3.42
the sticky leg粘性部分
Shelter YoY住房同比
3.48
lagging rent滞后的租金
Core PCE − core CPI核心PCE−核心CPI
+0.61
basket / weight gap篮子/权重差
Actual − market-priced实际−市场定价
58bp
core CPI vs 10y breakeven核心CPI vs 10年盈亏平衡

Breakeven velocity & cause — visibility only盈亏平衡速度与成因 — 仅供观察

2.23% 10y breakeven10年盈亏平衡
flat平稳 · downtrend下降趋势
5d5日+0bp
10d10日+0bp
20d20日-2bp
63d63日-12bp
Accel 10d10日加速+2bp
Speed pctile速度分位21
5y5y 20d5y5y 20日-2bp
Cause成因: QUIET
Breakeven roughly stable — no actionable move.盈亏平衡大致平稳——无可操作变动。
Co-state联动状态: oil油 +3% · real 10y实际10年 +12bp · nom 10y名义10年 +12bp · HY-OAS z高收益OAS z -0.81 · VIX 37pct

VISIBILITY ONLY — a falling breakeven is a thermometer, not a forecast. Across 2008 / 2014–15 / 2018 / 2020 / 2022 / 2023 it led the risk cascade in ~0 clean cases; breakeven velocity has ~0 forward-drawdown edge and the credit/vol co-state adds nothing beyond VIX. Use this to disambiguate an in-progress move (which kind of fall?), never to front-run one.仅供观察——下行的盈亏平衡是温度计，不是预测。在2008/2014-15/2018/2020/2022/2023中，它几乎没有一次干净地领先风险资产的瀑布式下跌；盈亏平衡速度对前瞻回撤几乎没有预测力，信用/波动率联动相对VIX无增量。用它来辨别正在发生的变动（属于哪一类下跌），而非抢跑。

Yield curve — shape, regime, recession & cross-asset signals收益率曲线 — 形态、状态、衰退与跨资产信号

Curve: Bear steepener. recession dashboard low (0/4 flags).曲线：熊市陡峭。衰退面板低（0/4 项亮起）。

Curve shape曲线形态

Level (avg yield)水平（平均收益率）
4.28%
pctile分位 66 · +34bp/63d
Slope (2s10s)斜率（2-10年）
+0.42
pctile分位 68 · -12bp/63d
Curvature (2s5s10s fly)曲率（2-5-10年蝶式）
-0.14
pctile分位 72 · + humped / − bowed+隆起／−凹陷
Principal components of daily curve changes (Litterman-Scheinkman)日度曲线变动的主成分（Litterman-Scheinkman）
82%9%4%
Level水平Slope斜率Curvature曲率

The three classic factors span三个经典因子合计解释 96.3% of curve variance — the textbook result, measured on our data.的曲线方差——教科书结论，在我方数据上实测。

Curve regime曲线状态

Bear steepener熊市陡峭
long rates rising faster than short — reflation / term-premium / fiscal repricing长端利率上行快于短端 — 再通胀/期限溢价/财政重新定价
Fed-cycle phase美联储周期阶段: Reflation / fiscal supply / term-premium repricing — long end rising fastest再通胀／财政供给／期限溢价重新定价——长端上行最快 · slope斜率 +13bp/21d · term premium期限溢价 rising上行
Favoured受益XLEXLFXLB
Pressured承压QQQXLKXLUXLRETLTGC=F

Historically the BEST equity regime overall (~+22% annualised across post-2000 growth-led episodes) — value, banks and real-asset cyclicals over long-duration growth/utilities/REITs. BUT a TERM-PREMIUM/fiscal-driven steepener (long end up with no growth) is not the bullish kind — check 5s30s + breakevens to disambiguate; rising term premium also breaks the 'duration = safe haven' assumption.历史上整体最佳的股票状态（2000年后增长主导的episode年化约+22%）——价值、银行、实物资产周期跑赢长久期成长/公用/REITs。但由期限溢价/财政驱动的变陡（长端上行而无增长）并非看多版本——用5-30年与盈亏平衡来区分；上升的期限溢价也会打破“久期＝避风港”的假设。

Recession dashboard衰退面板

low低 · 0/4 flags项亮起
Near-term fwd spread近端远期利差
+0.67
NY Fed 10y-3m probit纽约联储10年-3月概率
16%
Un-inversion alarm重新变陡警报
no否
TP-adjusted 2s10s期限溢价调整2-10年
+1.20
Policy stance政策立场: 3.63% funds vs基金 vs ~2.5% = restrictive偏紧 (+1.13pp)

The near-term forward spread (3m rate ~18m forward − 3m bill) statistically dominates the 2s10s — Engstrom-Sharpe (Fed 2018-19) find it renders the 2s10s redundant in a joint probit. We read 3m10y, not 2s10s, as the recession slope (Estrella-Mishkin γ = −0.53, −0.66). The genuinely ominous configuration is the curve RE-STEEPENING out of a deep inversion: the un-inversion has historically COINCIDED WITH or slightly led recession onset (1990 ≈3m, 2001 ≈6m after the curve turned positive) — a fresh dis-inversion is the late-cycle handoff, not an all-clear.近端远期利差（约18个月远期3月利率−3月票据）在统计上优于2-10年——Engstrom-Sharpe（美联储2018-19）发现在联合probit中它使2-10年变得多余。我们以3月-10年（而非2-10年）作为衰退斜率（Estrella-Mishkin γ＝−0.53、−0.66）。真正危险的形态是深度倒挂后曲线重新变陡：历史上重新转正与衰退开始大致同步或略微领先（1990年约3个月、2001年约6个月），因此刚出现的重新变陡是周期晚段的交接，而非解除警报。 Funds 3.63% vs ~2.5% nominal-neutral = restrictive. Wright (2006): the same curve slope is more restrictive at a higher funds level — a flat curve at 5% funds is a stronger recession tell than at 2%.联邦基金3.63% vs 约2.5%名义中性＝偏紧。Wright（2006）：相同曲线斜率在更高基金利率下更具紧缩性——5%基金利率下的平坦曲线比2%下更强的衰退信号。

Slopes & momentum斜率与动能

Spread利差Level水平%ile分位63d Δ63日变动
2s10s (cycle slope)2-10年（周期斜率）+0.4268-12bp
3m10y (recession slope)3月-10年（衰退斜率）+0.7281+17bp
5s30s (long-end / term-premium)5-30年（长端/期限溢价）+0.7773-25bp
2s5s (front belly)2-5年（前段腹部）+0.1372-1bp
Real 5s10s (TIPS curve)实际5-10年（TIPS曲线）+0.3056-32bp
Breakeven 5s10s (inflation curve)盈亏平衡5-10年（通胀曲线）-0.0270+20bp
TP-adjusted 2s10s期限溢价调整2-10年+1.2094+5bp

Curve speed (63d)曲线速度（63日）: real 10y实际10年 +42bp · front 2y前端2年 +46bp · |real-speed| pctile|实际速度|分位 73. Rate-of-change beats level — the SPEED of a real-yield move breaks equities more than its level.变动速度胜过水平——实际收益率移动的速度比其水平更能冲击股票。

Term-spread trend (2y smooth)期限利差趋势（2年平滑）: +0.08 · rising上行. The literature flags the smoothed, business-cycle-frequency component of the 3m10y spread as the curve read with genuine equity-premium content (Faria-Verona 2020) — but OUR calibration finds it regime-dependent (the IC sign flips post-2015), so we carry it as context, never a timing signal.文献认为3月-10年利差经平滑的商业周期频率成分是收益率曲线中具有真正股权溢价含义的读数（Faria-Verona 2020）——但我方校准发现其依赖状态（IC符号在2015年后翻转），故仅作背景，绝非择时信号。

Forward rates & carry远期利率与持有收益

1y1y fwd1年1年远期4.34%
2y1y fwd2年1年远期4.33%
5y5y fwd5年5年远期4.85%
10y carry10年持有4.58%
10y roll-down10年滚动+0.37%
carry + roll持有＋滚动4.95%

Forward rates are the market-implied future short rates embedded in today's curve; carry+roll-down is the total return a duration holder earns if the curve is unchanged in a year (the cushion before price loss).远期利率是今日曲线隐含的市场预期未来短端利率；carry＋滚动收益是久期持有者在曲线一年不变时获得的总回报（价格亏损前的缓冲）。

Curve signals — sector, style & market tendency曲线信号 — 板块、风格与市场倾向

Per-sector curve tilt under the current regime. ✓meas = a calibrated forward-IC edge in the transmission matrix; ·thy = textbook channel only.当前状态下各板块的曲线倾向。✓实测＝传导矩阵中存在校准的前瞻IC优势；·理论＝仅教科书传导。
XLF✓curvature -0.20
tailwind顺风 · short短久期
banks earn the curve — steeper = wider NIM; rate beneficiary银行赚取曲线——更陡＝更宽净息差；利率受益
XLP✓NTFS -0.11
tailwind顺风 · short短久期
staples — mild bond proxy with pricing power; relatively favoured when the curve flattens / growth slows (weaker rate sensitivity than utilities)必需消费——具定价权的温和类债券；曲线趋平/增长放缓时相对受青睐（利率敏感度弱于公用事业）
XLV✓curvature -0.07
tailwind顺风 · short短久期
health care defensive — low rate sensitivity, late-cycle relative haven医疗防御——利率敏感度低、周期晚段相对避风港
XLE✓curvature -0.10
tailwind顺风 · short短久期
energy — reflation/inflation beneficiary, bear-steepener winner能源——再通胀/通胀受益，熊市变陡赢家
XLB✓NTFS -0.22
tailwind顺风 · neutral久期中性
materials — cyclical reflation play, helped by a steepening growth curve材料——周期再通胀，受益于增长型变陡
XLRE·thy
headwind逆风 · long长久期
REITs are bond-proxy long-duration — hurt by higher long ratesREITs为类债券长久期——受长端利率上行拖累
XLU✓NTFS -0.05
headwind逆风 · long长久期
utilities are the classic bond proxy — dividend yield competes with rates公用事业为经典类债券——股息率与利率竞争
XLK✓curvature -0.22
headwind逆风 · long长久期
long-duration growth — rising discount rate de-rates future cash flows长久期成长——贴现率上行压低未来现金流估值
XLI·thy
headwind逆风 · neutral久期中性
industrials — cyclical, mild positive to a growth-led steepening工业——周期性，对增长型变陡温和正向
IWM✓curvature -0.19
headwind逆风 · long长久期
small caps — heavy floating-rate debt; financing cost is the squeeze, easing the relief小盘——大量浮动利率债务；融资成本是挤压，宽松是缓解
XLY·thy
neutral中性 · neutral久期中性
consumer discretionary — cyclical growth offset by financing-cost drag (autos/credit) + long-duration mega-cap skew可选消费——周期性增长被融资成本拖累（汽车/信贷）抵消，且有长久期巨头偏向
Equity style / factor股票风格／因子
Value vs growth价值vs成长Value价值
Size规模Neutral中性
Duration factor久期因子headwind逆风

Equity duration: growth stocks discount cash flows further out, so they behave as long-duration assets and de-rate when real yields rise (~2× the rate-sensitivity of value, BIS 2022); value/financials are short-duration. HONEST CAVEAT: the long-run correlation of the value-minus-growth factor with Δ10y is only ~0.10 (AQR/Asness) — the link is concentrated in episodes (the +25% growth→value rotation of 2022) and is largely NOT pure duration. Small caps are driven by the FRONT end (floating-rate debt cost), a distinct channel from value/growth duration.股票久期：成长股贴现更远期的现金流，因而表现为长久期资产，实际收益率上行时估值下修（利率敏感度约为价值的2倍，BIS 2022）；价值/金融为短久期。诚实提醒：价值减成长因子与10年期变动的长期相关性仅约0.10（AQR/Asness）——该联系集中于特定时期（如2022年+25%的成长→价值轮动），且大部分并非纯久期效应。小盘由前端驱动（浮动利率债务成本），与价值/成长久期是不同的渠道。

Market tendency (curve-speed → drawdown risk)市场倾向（曲线速度→回撤风险）
calm平静

No fast real-rate repricing — the curve is not flagging near-term equity stress.无快速实际利率重定价——曲线未对近端股票压力发出警示。

Display-only. No yield-curve leg passed the forward-drawdown scored-leg gate (see reports/rate-inflation-transmission-calibration.md).仅供展示。没有任何收益率曲线腿通过前瞻回撤可计分门槛（详见校准报告）。
Cross-asset transmission — what each asset faces now跨资产传导 — 各资产当前所面对的

Headwinds逆风

Materials (inflation beneficiary)材料（通胀受益） -0.44
Real 10y — 63d change (speed)✓ · us2y − funds (cut/hike pricing)✓ · Core PCE YoY − 2% target✓
S&P 500标普500 -0.41
Real 10y — 63d change (speed)✓ · us2y − funds (cut/hike pricing)✓ · Core PCE YoY − 2% target✓
Technology科技 -0.39
us2y − funds (cut/hike pricing)~ · Real 10y — 63d change (speed)✓ · Core PCE YoY − 2% target✓
Nasdaq 100 (long-duration growth)纳斯达克100（长久期成长） -0.38
Core PCE YoY − 2% target✓ · Real 10y — 63d change (speed)✓ · us2y − funds (cut/hike pricing)~
Financials (rate beneficiary)金融（利率受益） -0.36
us2y − funds (cut/hike pricing)~ · Real 10y — 63d change (speed)✓ · Core PCE YoY − 2% target✓
Russell 2000 (small caps)罗素2000（小盘） -0.33
Core PCE YoY − 2% target✓ · Real 10y — 63d change (speed)✓ · us2y − funds (cut/hike pricing)~

Tailwinds顺风

Long Treasuries (20y+)长期美债(20年+) +0.20
Real 10y — 63d change (speed)✓ · TP-adjusted 2s10s curve✓ · Nominal 10y — 63d change~
Gold黄金 +0.11
Expectations wedge (mkt − model)✓ · 10y breakeven — 63d change✓ · Nominal 10y — 63d change~

Net = the sum of each active driver’s current extension × its measured forward IC for that asset (the change / gap drivers only; raw levels are excluded as co-trend). ✓ confirmed split-half · ~ directional · ⤫ inverted (effect measured opposite the chain direction) · · context.净值＝各活跃驱动的当前偏离度 × 其对该资产的实测前瞻IC之和（仅取变动/缺口类驱动；原始水平因共趋势而剔除）。✓ 前后半段确认 · ~ 有方向 · ⤫ 反向（实测效应与链条方向相反）· · 仅背景。

Transmission chains — first → second → third order传导链 — 一阶 → 二阶 → 三阶
Real-rate / discount-rate channel实际利率／贴现率传导 ACTIVE活跃 · Real 10y — 63d change (speed) +1.6σ
1
Rising real 10y yields lift the discount rate → long-duration equities, REITs and other long-duration assets de-rate first.实际10年期收益率上行抬高贴现率→长久期股票、REITs等长久期资产首先承压。
Nasdaq 100 (long-duration growth) -0.20✓Technology -0.19✓Real Estate (rate-sensitive) +0.02·Long Treasuries (20y+) +0.15✓Bitcoin (long-duration) -0.31·
2
Higher US real yields pull capital in → the dollar firms → gold, industrial commodities and EM are pressured.美国实际收益率走高吸引资本流入→美元走强→黄金、工业商品与新兴市场受压。
US Dollar (DXY) +0.01·Gold -0.00·Copper -0.17✓Oil (WTI) -0.18✓China large-cap (EM proxy) -0.08·
3
A firm dollar + soft commodities → energy/materials relative headwind and EM-revenue exporters de-rate; financials are the relative beneficiary as curves steepen.强美元＋商品走软→能源/材料相对承压、新兴市场营收型出口商估值下修；曲线变陡时金融为相对受益者。
Energy (inflation beneficiary) -0.11✓Materials (inflation beneficiary) -0.21✓Financials (rate beneficiary) -0.16✓
Sticky-inflation / higher-for-longer channel通胀粘性／更高更久传导 ACTIVE活跃 · Core PCE YoY − 2% target +2.0σ
1
Core PCE/CPI stuck above the 2% target → the market reprices the terminal rate higher (breakevens, policy path) → broad equities carry a valuation headwind.核心PCE/CPI高于2%目标→市场上修终端利率（盈亏平衡、政策路径）→大盘股估值承压。
S&P 500 -0.11✓Nasdaq 100 (long-duration growth) -0.17✓
2
Higher-for-longer keeps real yields elevated → small caps and rate-sensitive borrowers are squeezed by financing cost.更高更久使实际收益率维持高位→小盘股与利率敏感借款方被融资成本挤压。
Russell 2000 (small caps) -0.19✓Financials (rate beneficiary) -0.12✓
3
PPI / ECI wage pressure compresses margins → defensives (staples, health care) relatively outperform.PPI／就业成本（ECI）工资压力压缩利润率→防御板块（必需消费、医疗）相对跑赢。
Staples (defensive) -0.09~Health Care (defensive) -0.19✓
Policy-easing / curve-steepening channel政策宽松／曲线变陡传导 ACTIVE活跃 · TP-adjusted 2s10s curve +0.8σ
1
Cuts priced (policy gap negative) → the front end falls and the curve bull-steepens → duration rallies.计入降息（政策缺口为负）→短端下行、曲线牛市变陡→久期资产上涨。
Long Treasuries (20y+) +0.24✓
2
A steeper curve → bank net-interest margins and rate-sensitive REITs/housing improve.曲线变陡→银行净息差与利率敏感的REITs/地产改善。
Financials (rate beneficiary) -0.14✓Real Estate (rate-sensitive) +0.16·
3
Easier financial conditions → small caps and cyclicals lead a risk-on rotation.金融条件转松→小盘与周期股领涨的风险偏好轮动。
Russell 2000 (small caps) -0.02·Materials (inflation beneficiary) -0.04~
Inflation-expectations (anchoring) channel通胀预期（锚定）传导 dormant静默 · Expectations wedge (mkt − model) -0.7σ
1
Market inflation expectations drift above the model/survey → unanchoring risk; the dollar firms as the Fed is expected to stay restrictive. Counter-intuitively, gold's MEASURED response to this wedge is a headwind — the higher real yields from a restrictive Fed dominate the inflation-hedge bid.市场通胀预期高于模型/调查→脱锚风险；美元因预期美联储维持紧缩而走强。与直觉相反，黄金对此缺口的实测反应为逆风——紧缩带来的更高实际收益率压过了通胀对冲买盘。
US Dollar (DXY) +0.15✓Gold -0.28✓
2
Unanchoring → the Fed stays restrictive → real yields rise; long-duration growth de-rates while defensives are relatively favored.脱锚→美联储维持紧缩→实际收益率上行；长久期成长下修，防御相对受青睐。
Nasdaq 100 (long-duration growth) -0.00·Health Care (defensive) +0.22✓
3
The textbook 'real-asset hedge' (energy, materials, gold) is unreliable for this wedge: with the Fed held restrictive, the measured beneficiaries are the dollar and defensives, not the inflation-beneficiary sectors.教科书式的“实物资产对冲”（能源、材料、黄金）对此缺口并不可靠：在美联储维持紧缩下，实测受益者是美元与防御板块，而非通胀受益板块。
Energy (inflation beneficiary) +0.00·Materials (inflation beneficiary) -0.00·
Conditional scenarios — if this shock holds a quarter情景推演 — 若该冲击持续一个季度

Real 10y +50bp (persists a quarter)实际10年期收益率 +50基点（持续一季度）

Pressured承压
-8.2%
-6.0%
-6.0%
-5.4%
-3.6%
Favoured受益
+2.0%
+1.1%
+0.9%

Real 10y -50bp (easing)实际10年期收益率 -50基点（宽松）

Pressured承压
-2.0%
-1.1%
-0.9%
Favoured受益
+8.2%
+6.0%
+6.0%
+5.4%
+3.6%

Breakeven +30bp (inflation scare)盈亏平衡通胀 +30基点（通胀恐慌）

Pressured承压
-4.0%
-1.2%
Favoured受益
+17.5%
+12.6%
+8.7%
+7.3%
+6.0%

Curve bull-steepens +50bp (cuts priced)收益率曲线牛市变陡 +50基点（计入降息）

Pressured承压
-5.0%
-2.1%
-2.0%
-1.0%
Favoured受益
+12.3%
+4.0%
+3.0%
+2.4%
+2.2%

Implied move = the asset’s MEASURED contemporaneous 63-day beta to that driver × the shock. Illustrative & regime-dependent — not a forecast, and the shock must actually persist.隐含涨跌＝该资产对此驱动实测的同期63日beta × 冲击幅度。仅为示意且依赖状态——并非预测，且冲击须真实持续。

How this is graded · and what it is not如何评级 · 以及它不是什么

Display-only. Scored-leg gate: NO rate/inflation leg passed the forward-drawdown bar with purged-CV robustness (see reports/rate-inflation-transmission-calibration.md).仅供展示。可计分腿检验：没有任何利率/通胀腿通过前瞻回撤门槛并满足清洗交叉验证稳健性（详见校准报告）。
Candidate leg候选腿Verdict判定IC dd (f/pre/post)IC回撤(全/前/后)hi-tercile edge高三分位超额scored?计分?
Real-rate SPEED (63d rise) — 'speed breaks equities'DIRECTIONAL0.139/0.052/0.2227.2pp—
Real-rate LEVEL (high real yields)DIRECTIONAL0.047/0.053/0.004-1.0pp—
Core-PCE-vs-target gap (sticky inflation)DIRECTIONAL0.042/0.009/0.130.2pp—
Inflation re-acceleration (3m>12m)DIRECTIONAL0.053/0.049/0.0734.0pp—
Expectations unanchoring (market>model)INVERTED-0.054/-0.05/-0.106-6.2pp—
TP-adjusted curve inversion (flip: low=stress)CONTEXT0.005/0.01/0.031-0.7pp—
Nominal-rate SPEED (63d rise)DIRECTIONAL0.095/0.068/0.208-0.4pp—
Near-term forward spread inversion (flip: low=stress; Engstrom-Sharpe beats 2s10s)CONTEXT-0.018/0.048/-0.213-1.2pp—
Curve curvature (2s5s10s butterfly — humped = late-cycle)CONTEXT0.032/-0.013/0.177-0.1pp—
Real-rate move VIOLENCE (|63d speed|, either direction)DIRECTIONAL0.112/0.161/0.0573.0pp—
Curve flattening impulse (flip: − = flattening = stress; INVERTED if post-inversion steepening is the tell)CONTEXT-0.032/-0.085/0.169-2.1pp—
3m10y TREND inversion (flip: low trend = stress) — Faria-Verona OOS equity-premium claim, tested on the return-forecast barCONTEXT0.163/0.234/-0.0316.4pp—

• Display-only — never scored. The repricing of rates/inflation is REACTIVE; the curve moves after the data and the Fed, it does not lead them.仅供展示，从不计入评分。利率/通胀的重新定价是被动的；曲线在数据与美联储之后变动，而非领先。

• Rate-of-change beats level: the SPEED of a real-yield move breaks equities more than its level. Coefficients are the measured forward IC, not a promise.变动速度比水平更重要：实际收益率移动的速度比其水平更能冲击股票。系数为已测得的前瞻IC，并非承诺。

• Scenario moves apply a historical beta to a hypothetical shock — they are regime-dependent illustrations, not predictions, and assume the shock persists one quarter.情景中的涨跌幅是将历史beta应用于假设冲击——属于依赖状态的示意而非预测，且假设冲击持续一个季度。

• The real / nominal / breakeven 63d-change drivers are mechanically collinear (real = nominal − breakeven); do not treat them as independent confirmations.实际／名义／盈亏平衡的63日变动驱动在机制上共线（实际＝名义−盈亏平衡）；不应视为相互独立的印证。

Data.数据。 Free / keyless FRED: full Treasury curve, real yields (TIPS), 5y/10y/5y5y breakevens, term premium; headline & core CPI, headline & core PCE (the Fed’s 2% target gauge), PPI, ECI wage growth, shelter & core-services CPI; Cleveland model + UMich survey inflation expectations. All point-in-time vintaged for honest backtests.免费/无密钥的FRED：完整国债曲线、实际利率(TIPS)、5/10年与5年5年盈亏平衡、期限溢价；整体与核心CPI、整体与核心PCE（美联储2%目标）、PPI、ECI工资增长、住房与核心服务CPI；克利夫兰模型与密歇根调查通胀预期。均按时点存档以便诚实回测。

Calibration校准: scripts/calibrate_rate_inflation.py · report报告 reports/rate-inflation-transmission-calibration.md · History历史 1927-12-30 → 2026-07-16 · built构建于 2026-07-17 17:04 UTC