人民币汇率对债券收益率的影响途径及启示

The influence of RMB exchange rate on bond yields and its enlightenment

2016年债券收益率与人民币汇率走势之间总体呈负相关性。文章具体解释了背后的原因：一方面随着人民币的走弱，金融部门认为人民币汇率在向均衡汇率靠拢，根据利率平价理论，人民币贬值预期的减弱给予国债收益率以下行空间；另一方面居民部门需要权衡美元存款和人民币理财产品的收益，如果居民部门的人民币贬值预期居高不下，资产管理机构不得不采取高杠杆操作，则形成国债收益率不断下降的一个动力。

There has been a negative correlation between the RMB exchange rate and bond yields in 2016. This essay discusses the reasons behind. On the one hand, as the RMB exchange rate weakened, the financial sector believes that the RMB is reaching the equilibrium level, and the government bond yields will decline with a lower depreciation expectation according to the interest rate parity theory. On the other hand, the household sector needs to tradeoff the returns of dollar holdings and RMB financial products. If the RMB depreciation expectation in the household sector stays high, asset managers will have to resort to high leverage to offer higher returns of RMB financial products, thus driving a continuous drop of government bond yields. The essay suggests to stabilize the exchange rate expectation and to adopt macro-prudential policy tools with leverage ratio restraints to prevent asset managers from taking on excessive leverage.