A Study On The Macroscopic Influencing Factors Of The Yield Rates Of Government Bonds

Bond market plays an important role in the whole financial system.From over-the-counter market,exchange market to interbank market,China's bond market has witnessed a rapid growth of both trading volume and varieties and has developed into the second biggest one in the world.The fluctuation of China's bond market can generate influence to the world market.The yield rate of bonds serves as one of the essential indexes used to analyze bond market.As a risk-free rate,the yield rate of bonds can reflect the fluctuation of bond market objectively.And macroscopic aspect including the aspect of fundament,policy and funds is a key factor that influences the yield rate of government bonds.Besides,by observing the yield rate of government bonds in history,these three aspects indeed have the above influence.This paper chooses data of one-year,five-year and ten-year yield rates of government bonds as short-term,mid-term and long-term indexes respectively from October,2006 to December,2016,and selects CPI,M2 and 7-day collateralized repo rates representing aspects of fundament,policy and funds respectively,after eliminating seasonal factors,then tests whether these three-aspect factors are the Granger cause of short-term,mid-term,long-term yield rates of government bonds and their spreads.The result shows that one-year,five-year and ten-year yield rates of government bonds,spreads of five-year and one-year yield rates of government bonds as well as spreads of ten-year and one-year yield rates of government bonds are significantly influenced by CPI,M2 and 7-day collateralized repo rates.However,the spreads of ten-year and five-year yield rates of government bonds are not influenced by CPI,M2 and 7-day collateralized repo rates.After that,SVAR model is built according to CPI,M2,7-day collateralized repo rates and one-year yield rates of government bonds,five-year yield rates of government bonds,ten-year yield rates of government bonds,spreads of five-year and one-year yield rates of government bonds and spreads of ten-year and one-year yield rates of government bonds.Then by means of impulse response analysis and variance analysis,how CPI,M2 and 7-day collateralized repo rates generate influence can be shown.It turns out that CPI,M2 and 7-day collateralized repo rates have greater influence on one-year yield rates of government bonds than on five-year and ten-year yield rates of government bonds.The latter are most influenced by themselves.CPI,M2 and 7-day collateralized repo rates significantly influence spreads of five-year and one-year yield rates of government bonds as well as spreads of ten-year and one-year yield rates of government bonds.CPI has the greatest influence,followed by 7-day collateralized repo rates and M2.The innovation of this paper lies in the comprehensive consideration of the aspects of fundament,policy and funds as well as short-term,mid-term and long-term yield rates of government bonds.The data collected are persuasive,covering more than ten years.Besides,SVAR model can make up the problem of VAR not being able to capture the instant structural relations of the various variables in the model.