The Impact Of Macroeconomic Variables On China’s Inter-bank Treasury Bond Prices

This paper in order to analysis the bond index of Inter-bank bond market,explored theimpact about changes and overall price movements in the inter-bank bond market frommacroeconomic variables.In addition,it analyzed the change of the price in the inter-bankbond market is affected by which macroeconomic variables and how much is the influencedegree.Viewing the relationship between bond price volatility and macroeconomic variables hasa certain practical significance，such as provide the basis for risk management systemconstruction of institutional investors.In addition, it is conducive to improve the efficiency of national macroeconomicregulation and control, the stability of the treasury bond market price level and the riskprevention capabilities of bond investors.This paper has important theoretical significance，such as fill in the blank of inter-bankbond market prices fluctuation theory， perfected the theory of bond price formationmechanism and provided theoretical basis for healthy development of the treasury bondmarket in china.Therefore,topic as "the impact of macroeconomic variables on China’sinter-bank treasury bond prices" has realistic significance and theoretical significance.First of all, this article reviews the domestic and foreign existing research results.Secondly, this article introduced the measurement of China’s inter-bank bond prices and thepresent situation of inter-bank bond market development,studyed the effect of various factorson bond prices from the bond pricing principle.And then, qualitative analysied therelationship between macroeconomic factors and the inter-bank bond prices.To prepare for anempirical analysis of the later work,the macroeconomic information is divided into monetarypolicy and macroeconomy basic situation according to its impact on bank bonds betweenshort and long.So we can respectively examine and weigh the impact factors from the twotype of macroeconomic information.In the end, in order to do the empirical research，we choosed a total of106monthly timeseries data in April2005-January2014，and then operated stata12.0for a variety ofeconometric model test to examine the macroeconomic variables’ influence on inter-bank bond price index from quantitative angle.We got the conclusion as follows:(1) In the long run,there is a long-term stable cointegration relationship exists betweenthe inter-bank bond prices and five factors.There is a negative correlation relationshipbetween economic growth and the inter-bank bond prices. Economic growth changes by oneunit,the inter-bank bond prices move in reverse0.42units;There is a positive correlationrelationship between interest rate,stock price and the inter-bank bond prices,interest ratechanges by one unit,the inter-bank bond prices move in the same0.05units;Share pricechanges by one unit, the inter-bank bond prices move in the same0.02units.(2) In the short term,the money supply and the csi300index is Short-term Grangercausality of inter-bank bond prices.Price level,interest rate and economic growth is notShort-term Granger causality of inter-bank bond prices.In other words,in the short term,themoney supply and stock price changes can cause changes in the inter-bank bond prices.Thereis a positive correlation relationship between the money supply,stock price and inter-bankbond prices.(3) From the macroeconomic variables to the influence degree of the inter-bank bondprices,according to the result of variance analysis,the interpretation of the price level, the csi300index, the narrow money supply, power generation and seven days between banksinterbank interest rates to the inter-bank bond price fluctuations is19%,9%,8.5%,5%and1.5%;According to the results of impulse response analysis,the inter-bank bond pricesresponse quickly to standard information impact from each variable,but there are2-5monthstime lag,in other words,it takes2to5months to give full play to the macroeconomicvariables influence on inter-bank bond prices.And the degree of response to the impact fromvarious factors is different,the order from big to small is price level, power generation, the csi300index, the narrow money supply, seven days between banks and interbank interest rates.Finally, according to the empirical analysis of the results， combining with thesegmentation in China’s bond market segmentation and the development of inter-bank bondmarket is imperfect, we can make some policy recommendations from four aspects.