不以涨跌论债市

盘点2006年债市,首先要回答的问题是,2006年中国债市涨跌如何?这个问题看似简单,但若分别考察指数涨跌和收益率高低变化,却又很容易使人迷惑。如果用指数衡量,债市涨了；而如果用收益率测度,则债市跌了——二者似乎在同时讲述着不同的故事。实际上,2006年的债市不宜单纯以涨跌考量,在经过了“两起两落”之后,债市全年呈宽幅震荡格局,波动性比较大——这也是指数和收益率指标之所以反向变动的真正含义所在。     

我国债市和汇市溢出效应的实证研究——基于VAR-GARCH-BEKK模型

利用VAR-GARCH-BEKK模型,研究了我国债市和汇市之间的价格和波动溢出效应。实证研究表明,债市和汇市收益率都呈现高峰厚尾的非正态分布,波动聚集特征显著;债市和汇市存在单向溢出效应,仅汇市对债市有价格和波动溢出效应;债市和汇市收益率序列总体呈现负相关,相关性较弱,样本期内两市场动态相关系数具有显著的时变性。     

海富通一年定期开放债基拟任经理位健：四季度债市或小幅回暖 配置机遇凸显

今年以来,债市波云诡谲难以琢磨,多位公募人士纷纷唱响四季度债市好声音。正在发行的海富通一年定期开放债基拟任基金经理位健表示,从基本面看短期经济企稳难以持续,债市资金面或可迎来放松,通胀并无大碍。债券到期收益率上升,绝对收益机会凸显。债市回暖使债基迎来良好的建仓时机。     

中银惠利打开申购成立以来年化收益率超12％

今年以来,债券基金收益凭借债市转牛水涨船高,成为公募基金中最赚钱的品种。中银基金旗下中银惠利纯债半年定期开放债基于11月17日起开放申购,助投资者把握债市投资跨年行情。据悉,中银惠利债基成立一年以来年化收益率超12％,已经两次分红共计超l亿元,值得投资者关注。     

金融市场月度资讯

正债市收益率下行或暂告段落,分析人士称市场将回归理性5月3日,受央行定向降准、银监会发文限制农村中小金融机构投资非标产品等因素影响,债市收益率出现一定幅度的下行。业内人士认为,消息层面利好触发的本轮行情并不牢靠,其推动的市场投机情绪未来或难以持续。央行公开市场六百亿正回购,旨在调短期流动性稳定利率     

基于多分辨分析的股市与债市溢出效应研究

运用多分辨分析研究我国股市与债市溢出效应,对两市收益率序列作信号分解,分解为高频信号和低频信号,比较各层信号占原始信号的能量比发现,股市高频信号占原始信号的能量比远大于低频信号,而债市高频信号和低频信号所占能量比基本持平,从而说明了我国股市主要受短期因素影响,波动较大,而债市波动较小。高频信号的Granger因果关系检验表明,股市与债市之间存在溢出效应,但溢出效应是单向的,即只存在股市向债市的溢出效应,这与债市作为金融市场的避风港有关。     

中国汇市、股市和债市相依结构实证研究——基于资本账户开放加快推进前后的对比分析

金融市场间收益率的相依结构是规避风险发生的理论基础。随着资本账户开放加快推进,研究中国汇市、股市和债市相依结构的变化对于维持金融市场健康平稳发展显得尤为重要。文章首先基于GJRGARCH模型过滤不同金融市场收益率序列,然后采用经验分布估计方法,建立边际分布序列,最后选取最佳Copula函数,建立了汇市、股市和债市间的二元联合分布模型。研究发现,随着资本账户开放的加快推进,第一,中国汇市、股市和债市间的尾部相依性降低;第二,中美两国股市间和债市间的相依性明显增强;第三,中美两国股市间和债市间的相依性比中国金融市场间的相依性强。本文研究结论帮助我国投资者在进行资产管理和金融监管部门制定政策时,对金融市场的变化做好事先的评判。     

基于多分辨分析的股市与债市溢出效应研究

运用多分辨分析研究我国股市与债市溢出效应,对两市收益率序列作信号分解,分解为高频信号和低频信号,比较各层信号占原始信号的能量比发现,股市高频信号占原始信号的能量比远大于低频信号,而债市高频信号和低频信号所占能量比基本持平,从而说明了我国股市主要受短期因素影响,波动较大,而债市波动较小。高频信号的Granger因果关系检验表明,股市与债市之间存在溢出效应,但溢出效应是单向的,即只存在股市向债市的溢出效应,这与债市作为金融市场的＂避风港＂有关。     

鑫元基金张明凯:二季度债市向好

马年以来,债市投资出现大逆转,10年期国债收益率一路向下,债券基金收益集体反弹。伴随着债市入春,债基发行市场也开始回暖。据Wind数据统计,截至3月10日,目前共有18只(A/B/C合并计算)新基金正在发行,其中包括6只债券基金。而鑫元基金目前正在发行一年定期开放债券基金,由于适逢建仓良机,受到了市场广泛关注。近日,该基金的拟任基金经理张明凯表示,2014年债券基金获得正回报的概率相对较大。市场人士普遍认为,这一轮的债市反弹主要是基于较为宽松的资金面支撑。短期而言,债市二季度尤为看好。张明凯认为,债市有其季节性因素,上半年债券发行量相对较小,后半段发行量才开始慢慢上来,而各机构年初的配置需求     

2011年4月份银行间利率市场回顾与后期展望

4月份上半月债市再次遭遇加息,但由于市场预期加息已到尾声,且资金面仍非常宽裕,因此债市对此反应较平淡,收益率下行趋势不改。下半月准备金率年内第四次上调,不同于此前三次的调整,此次准备金率上调对债市影响相对较大。由于4月份财政存款的回流,同时准备金缴款日接近月末时点,资金面出现一定紧张,但仅为短期因素,缴款日后资金价格即出现一定回落。而且后两周准备金率对公开市场的替代效应非常明显,大规模的净投放缓解了资金压力,因此债市仅小幅调整。     

信用债流动性视角下的货币政策传导效果

企业债券是社融存量规模中仅次于贷款的一个重要组成部分,其利率的变化直接关系到实体经济的融资成本,文章通过实证研究指出,近年来基准利率与信用债二级市场成交收益率和一级市场发行票面利率相关性逐步提升,反映出通过债券路径的货币政策传导效果在逐步增强,而债券市场成交活跃度提升是其重要推手。文章进而提出进一步提升市场流动性的相关政策建议。     

银行间债市收益率上扬的成因及后市展望

自2013年6月以来,利率的上行趋势已从货币市场利率扩散到中长端国债收益率,并蔓延到短端收益率。回归分析结果表明,经济基本面和资金面仅可部分解释国债收益率的上涨。文章进一步分析指出,货币政策维持中性偏紧趋向、金融机构调整资产配置结构削减债券投资额度、银行筹资方式多元化推高资金成本这三大因素,也是引起本轮利率接力上行的显著外力。中长期看,债券市场收益率中枢将随之抬升。在中性偏紧的货币政策基调没有改变前,债券市场将只有阶段性回嗳而无趋势性好转的行情。     

Market Segmentation and the Cost of Capital in a Domestic Market: Evidence from Municipal Bonds

We study the implications of market segmentation in a domestic setting, the US municipal bond market. A (state‐level) segmentation of this market emerges from asymmetric tax exemption. Municipal bond investors are exempt from state and local taxes on bonds issued by their own state, but not on bonds issued by other states. We demonstrate that market segmentation imposes significant costs on both issuers and investors in the form of higher yields and higher costs of financial intermediation. Our results provide insight into some well‐documented artifacts of the municipal bond market, such as high yields and the popularity of insurance.     

Investor behaviour and reaching for yield: Evidence from the sterling corporate bond market

We provide evidence on how corporate bond investors react to a change in yields, and how this behaviour differs in times of market‐wide stress. We also investigate ‘reaching for yield’ across investor types, as well as providing insights into the structure of the corporate bond market. Using proprietary sterling corporate bond transaction data, we show that insurance companies, hedge funds and asset managers are typically net buyers when corporate bond yields rise. Dealer banks clear the market by being net sellers. However, we find evidence for this behaviour reversing in times of stress for some investors. During the 2013 ‘taper tantrum’, asset managers were net sellers of corporate bonds in response to a sharp rise in yields, potentially amplifying price changes. At the same time, dealer banks were net buyers. Finally, we provide evidence that insurers, hedge funds and asset managers tilt their portfolios towards higher risk bonds, consistent with ‘reaching for yield’ behaviour.     

2011年银行问债券市场运行报告

2011年,银行间债券市场波动幅度加大,市场制度和基础设施建设进一步完善。其主要特点是：全年债券指数呈先抑后扬走势,年末较年初略有上升,债券收益率波动幅度加大;债券发行规模同比下降,但债券品种更加丰富,发行方式不断优化;市场交易总体活跃,信用债券市场保持陕速增长,债券市场支持经济发展的力度进一步增强。     

Estimating the Equity Risk Premium and Expected Equity Rates of Return: The Case of Canada

It is common to use the average excess return of equities over bonds estimated over long time periods as an expected equity risk premium on the grounds that going back far enough covers most possible economic scenarios. But although this data is useful in guiding the exercise of judgment, it cannot substitute for judgment. Adding more years of data to the near century of Canadian stock and bond returns that inform today's estimate of the equity risk premium will not produce a “random walk” for a simple reason: the historic bond series is the result of a specific historic monetary policy. This is particularly true of and important for the case of Canada, where today's very low current bond yields reflect the emergence of the Canadian dollar as a reserve currency as well as the impact of unconventional monetary policy elsewhere. After analyzing the historic record of the Canadian equity risk premium and noting the need for adjustments when this premium is applied to the current anomalously low Canadian long‐term bond yields, the author reaches the following conclusions:

• The historic Canadian equity risk premium is approximately 5.0% (based on arithmetic returns), which is slightly lower than the roughly 6.0% value for the U.S.
• The historic equity risk premium has not been constant because of obvious changes in the Canadian bond market. To some extent, the huge cycle in which bond yields began their increase from the 4.0% level starting in 1957, when markets were liberalized, and then fell back to the 4.0% level in 2007‐2008 completed an adjustment to changes in fiscal versus monetary policy. However, in 2016, average long Canada bond yields dropped to an anomalously low 1.8%, which is below the long‐term inflation target of the Bank of Canada, and have barely recovered since. It is difficult to view this as an equilibrium rate determined by private investors.
• Of the drop in bond yields, about 0.50% is unique to Government of Canada bonds as they became attractive to sovereign investors as a rare AAA‐rated issuer.
• Using an indicator variable for the post‐2010 years, a simple regression analysis indicates that current long Canada bond yields should be about 2.75% higher but for the recent changes. And for 2018, this means that the 2.35% average long Canada bond yield should have been about 5.0%. Apart from the impact of higher government deficits, this is consistent with average yields before the 2008 financial crisis.
• Adding an adjusted 5.0% long Canada bond yield to the historic equity risk premium in Canada of 4.50% gives 9.50% for the cost of the overall equity market or, given the Bank of Canada's target inflation rate of 2.0%, a real equity return of 7.5%, both slightly higher than the long‐run averages.

In sum, the conventional practice of adding a historic market risk premium to the current low Canada long bond yields would impart a sharp downward bias to current equity cost estimates; use of this method would not be appropriate until long Canada bond yields increase to at least the 4.0% level.     

China’s official rates and bond yields

Recent research shows that bond yields are influenced by monetary policy decisions. To learn how this works in a bond market that differs significantly from those in the US and Europe, we model Chinese bond yields using the one-year deposit interest rate as a state variable. We also include the spread between the one-year market interest rate and the one-year deposit interest rate as another factor. The model is developed in an affine framework and closed-form solutions are obtained. We then test the model empirically with a Markov Chain Monte Carlo simulation procedure. The results show that the new model that incorporates the official rate in China characterizes the changing shape of the yield curve well.     

An Empirical Study of the Asset Price Channel of Monetary Policy Transmission in China

By testing the impact of monetary policy on the bond market and the impact of the bond market on the real macro economy using different empirical methods, this article examines the performance of the bond price transmission mechanism in China’s monetary policy. Empirical studies show that monetary policy has power over bond yield fluctuations, while the bond market has a relatively limited impact on the real macro economy. Short-term bond yields have relatively significant transmission effects on some output variables, such as consumption, investment, and the consumer price index, while the influence of long-term bonds is not significant.     

Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?

We assess the degree of market fragmentation in the euro-area corporate bond market by disentangling the determinants of the risk premium paid on bonds at origination. By looking at over 2400 bonds we are able to isolate the country-specific effects which are a suitable indicator of the market fragmentation. We find that, after peaking during the sovereign debt crisis, fragmentation shrank in 2013 and receded to pre-crisis levels only in 2014. However, the low level of estimated market fragmentation is coupled with a still high heterogeneity in actual bond yields, challenging the consistency of the new equilibrium.     

Municipal Disclosure Timeliness and the Cost of Debt

A longstanding concern for municipal bond investors is the lack of timely financial statement disclosures. Municipalities are held to lower disclosure standards than corporations. Using continuing disclosure dates for audited financial statements, we find bond issuers with slower disclosure have higher secondary market yields and spreads, less frequent secondary market trading, and are less likely to issue new bonds. We observe that future disclosure is largely predictable based on past disclosure and that disclosure often improves prior to new bond issuances. When municipalities do not capitalize on the benefits of timely disclosure, economic consequences are imposed on bondholders and taxpayers.