金融机构视角下的债券收益率影响因素与市场机制

Key Factors Determining Bond Yields

本文首先描述了我国债券市场主要参与机构的行为特征,金融机构主要通过资产负债表管理承担信用风险、久期风险和流动性风险等来获取利差收益,但不同机构的负债来源、负债稳定性、负债成本以及监管约束、考核方式等存在差异,因此不同金融机构在债券投资时会表现出不同的行为特征。在此基础上,本文进一步实证分析了我国债券市场收益率的影响因素和市场机制,结果表明,资金面、基本面和风险偏好都影响债券收益率,资金利率是影响短期利率债、长期利率债以及信用债收益率的核心因素,因此利率并非完全是内生决定的,在很大程度上受央行货币政策引导。

This article describes the investment behavioral characteristics of major financial institutions participating in China’s bond market. Financial institutions obtain income from interest rate spreads by taking on credit risk, duration risk and liquidity risk through balance sheet management. But different financial institutions exhibit different behavioral characteristics when investing in bonds, reflecting a variety of factors such as debt costs, regulatory constraints, and assessment methods. This article analyzes the main factors and market mechanisms determining bond yields on the domestic market. It concludes that money market interest rates, underlying fundamentals, and risk preference all play a role in determining bond yields, with money market interest rates as the core factor affecting short-term and long-term debt as well as credit spreads.