风景这边可好?境外机构债券持仓的推拉因素  

Beyond Compare?Push-pulling Factors Affecting Foreign Institutional Bond Holdings

作　　者：谭力丹 谢洁玉[2] TAN Lidan;XIE Jieyu(China Foreign Exchange Trade System)

机构地区：[1]中国外汇交易中心博士后科研工作站 [2]中国外汇交易中心

出　　处：《金融市场研究》2024年第2期38-48,共11页Financial Market Research

摘　　要：境外机构对我国债券的持仓在2022年前后发生一些变化,引起广泛关注。本文基于2018年1月—2023年6月境外机构月度债券持仓数据,采用ARDL-ECM模型分析影响境外机构持仓变化的因素。实证结果表明,影响境外机构持仓长期趋势和短期波动的因素不同:短期因素是我国债券收益率和全球金融风险水平;长期因素是我国经济基本面和全球金融周期;人民币汇率的影响较弱。本文为理解境外机构债券投资及汇率、利率在跨境资金流动中的作用提供一个经验证据。In 2022,a decline in holdings of domestic Chinese bonds by foreign institutions attracted widespread attention.Using an error-correction form of the ARDL model and based on data on different types of bonds held by foreign institutions between January 2018 and June 2023,this paper analyzes the factors affecting foreign institutions'bond holdings.The research reveals that the factors affecting long-term trends in bond holdings of foreign investors are different from those affecting short-term fluctuations.China's economic fundamentals and the global financial cycle significantly explain long-term changes,while bond prices and global financial risks are key factors in short-term fluctuations.The impact of the renminbi exchange rate on foreign holdings is limited.This paper provides theoretical support for understanding the investment behavior of foreign institutions,and provides guidance for attracting foreign investment in bonds and promoting development of the bond market.

关 键 词：境外机构 银行间债券市场 中美利差 协整检验 

分 类 号：O29[理学—应用数学] F832.51[理学—数学] F832.6[经济管理—金融学]