美联储的信心危机

122 July 2025Cheng Shi,PhD(852) 2683 3231shi.cheng@icbci.icbc.com.cnJessica Xu, PhD(852) 2683 3777jessica.xu@icbci.icbc.com.cn Macro Economy In-depth Analysis - 22 July 2025reinforced (positively), market reactions are mild, whereas when institutions arequestioned (negatively), reactions are sharp and spill over. This asymmetricstructure ensures that markets are far more sensitive to bad news than to goodnews. Thus, the trust discount caused by a president’s extreme remarks oftencannot be fully offset by policy clarifications or subsequent silence.Chart 1a: Fed’s independence undermined by remarks of the then-presidentSource: Bloomberg Economics, ICBCI collation (Note: This index is constructed on a monthly basis, with the lastobservation in April 2025. Red indicates remarks by the incumbent president that undermine Fed’s independence, whilegreen indicates remarks supporting Fed’s independence.)Chart 1b: Fed’s independence indexSource: Bloomberg Economics, ICBCI collation (Note: The independence score is the sum of four components, with the bestpossible score being 50 and the worst being -50.)The pricing system itself has embedded the risk premium of institutionalexpectations.In macroeconomic models,changes in exchange rates,riskpremiums, and asset valuations are primarily driven by fundamentals such asinterest rate differentials, growth expectations, and liquidity. However, in recentyears, even when these variables remain stable, the market has frequently seensevere price volatilities. A key factor behind this is the increasing visibility andweight of the risk premium associated with institutional expectations in pricingmodels. For example, since April 2025, the term premium of U.S. Treasury bondshas continued to rise, partly attributable to concerns over fiscal sustainability but,more fundamentally, also reflecting the market’s heightened risk premium forinstitutional expectations. The emergence of this risk premium signifies thatinstitutional trust has become one of the key variables in pricing duration risk.Another example is the U.S. dollar as the global reserve currency. As wepreviously mentioned the Triffin dilemma of the dollar system in our previous Macro Economy In-depth Analysis - 22 July 2025reportHardly Any Deal at Mar-a-Lago1, and pointed out that the stability of thedollar system relies on the continuity of market trust in the dollar in another of ourprevious reportsThe Cracks in Faith Toward Dollar Assets2, if market consensuscollapses, the original positive feedback of the dollar and its related assets couldreverse.In other words,when the market amplifies the risk premium ofinstitutional expectations in pricing models in face of, among others, the potentialscenarios like presidential interference with the central bank, congressional debtceiling deadlocks, or weakened regulatory frameworks, dollar assets would haveto bear additional potential discounts due to institutional expectations. This rise inrisk premium first manifests in investor behaviour, such as increasing allocationsto institutionally insensitive assets like gold, reducing holdings of longer-durationU.S. Treasuries, and enhancing portfolio liquidity to hedge against potentialinstitutional shocks. These behaviours, in turn, reinforce the market consensus thatinstitutions are being repriced, creating a self-fulfilling cycle of expectations.Consequently, the market no longer focuses solely on “what policies are doing”but also considers “whether the institution can still constrain policy power.” Thisshift in logic means that asset prices may undergo systemic revaluation evenagainst a backdrop of stable macroeconomic data.Chart 2: The disturbance of institutional trust has become one of the main factorscontributing to volatility premium010203040506002004006008001,0001,200Jan 2025Feb 2025Mar 2025Apr 2025May 2025Jun 2025Jul 2025U.S. Economic Policy Uncertainty IndexVIX index (RHS)Source: EPU, Bloomberg, ICBCIThe risk premium anticipated by institutional frameworks exhibits pathdependence and irreversibility.Since early April 2025, when the U.S. EconomicPolicy Uncertainty Index began to climb, gold prices have risen in tandem,Treasury term premiums have continued to expand, while the U.S. dollar indexhas weakened significantly. The co-movement of these variables reflects a marketreassessment of the stability of institutional frameworks and the incorporation ofadditional risk premiums tied to institutional expectations. More critically, oncesuch risk premiums are priced in by the market, short-term policy easing ortemporary declines in uncertainty indices are insufficient to reverse the trend. Thesustained upward trajectory of gold prices and term premiums underscores that1Cheng Shi, Jessica Xu, April 2025, “Hardly Any Deal at Mar-a-Lago,” ICBCI MacroEconomy In-depth Analysis2Cheng Shi, Dorothy Zhou, June 2025, “The Cracks in Faith Toward Dollar Assets,” ICBCIMacro Economy In-depth Analysis Macro Economy In-depth Analysis - 22 July 20