机构行为对美债收益率影响的研究  

The Impact of Institutions’Behaviors on the Yields of US Treasuries

作　　者：程文钰 王开 

机构地区：[1]韩国投资信托运用株式会社上海代表处 [2]中银国际证券股份有限公司研究所

出　　处：《中国货币市场》2019年第12期58-61,共4页China Money

摘　　要：美债收益率除了经济基本面因素外,也受到机构行为的影响。从供给方看,美债的净发行受到债务上限、财政预算的影响,美债的超发并不一定引发熊市。从需求方看,美债面临国内投资者加仓、国外投资者离场的分化局面。曲线由凸转凹主要是2年期和7年期发行增量、5年期供给减量所致。根据模型分析,长端美债收益率可能已经超跌,应警惕过度降息预期后收益率的反弹。In addition to economic fundamentals,the behaviors of institutions will also have an impact on the US Treasury yields.From the bond supply side,the net issuance of U.S.Treasuries is a ffected by the debt ceiling and fiscal budget.Theexcess issuing of U.S.Treasuries does not necessarily trigger a bear market.From the bond demand side,the U.S.Treasury market is facing a situation that the domestic investors are increasing their holdings,while the foreign investorsare leaving the market.The shift from a convex yield curve to a concave one is mainly caused by the increase of 2Yand 7Y treasury issuance and the decrease of 5Y treasury supply.According to the model,the long end yields of USTreasuries may have been overshot.We should be alert to the rebound of yields following the excessive expectation onrate cuts.

关 键 词：国外投资者 财政预算 供给方 美债 基本面因素 降息 债务上限 模型分析 

分 类 号：F83[经济管理—金融学]