Research On The Influencing Factors And Threshold Characteristics Of China's Treasury Bond Yields

The national debt is a kind of government bond issued by the central government.It is regarded as the investment tool with the highest safety coefficient as the guarantee of national credit.However,in recent years,under the impact of the United States subprime mortgage crisis and the European sovereign debt crisis,the yield of national debt has fluctuated sharply,and the government began to pay great attention to this phenomenon,which also has a certain inspiration to the Chinese bond market.National debt is of great significance to macroeconomic regulation.Bond yield is a good indicator of risk preference,economic expectation and liquidity expectation in the whole financial system.It is also the basis of pricing for financial instruments and derivatives,thus becoming a hot topic in the field of financial research.In recent years,China's national debt market has developed rapidly,its scale is expanding,and the process of the interest rate market is also advancing.More and more scholars and investors pay attention to the field of bond market.In this context,it is of great significance to study the factors affecting the yield of treasury bonds,especially in specific circumstances.This paper mainly discusses the factors affecting the yield of national debt in different period of time and the effect of inflation on the yield of national debt under different inflation levels,in order to understand the role of the yield of national debt in the financial market more deeply.Therefore,this paper selects the 1 year,10 year and 30 year Treasury yield data by using the ordinary least square method to carry on the basic regression,and uses the ARDL model to carry on the robustness test,and uses the threshold regression model to discuss the effect of inflation on the yield of national debt under different inflation levels,in order to fully understand the Treasury bond market.The results show that the impact of economic factors on the yield of national debt in different periods is different.The effects of most indicators such as inflation,exchange rate expectations,market risk appetite,and interbank lending rates on the yields of 1-year,10-year and 30-year Treasury bonds are significant.The short-term treasury bonds are mainly influenced by inflation and liquidity factors.Exchange rate expectations and market risk preferences have a greater impact on the yields of medium and long term treasury bonds.The impact of inflation volatility on the yield of national debt is also different.Inflation has a significant impact on the yield of 1-year and 10-year treasury bonds in high inflation,but is not significant at low inflation.In view of the above conclusions,this paper puts forward the corresponding policy suggestions: for the Chinese government,it is necessary to develop the Treasury bond market,improve the degree of marketization,develop national debt derivatives,enhance the vitality of the Treasury bond market,promote the overall development of the bond market and strengthen its ability to predict the economy.For investors,it is necessary to fully recognize the market risk,improve the accuracy of judgment,and adjust the portfolio according to the sensitivity of the debt rate of different maturities to the economic factors.