The Research On The Macro Influencing Factors Of The Treasury Yields

The bond market plays an important role in the entire financial system.The bond market has undergone a process from the counter market and the exchange market to the interbank market.At present,the bond market has become the world's first two major markets.The bond rate of return is an important indicator for the analysis of the bond market.The treasury yields,as a risk-free rate indicator,can reflect the bond market more objectively.The macro-level factor is an important factor affecting bond yields,which including three aspects,the fundamentals,the policy and the financial factors.In this paper,I use the Consumer Price Index(CPI)to represent the fundamental situation,the broad money supply(M2)to represent the policy side and the inter-bank 7-day pledged repurchase weighted average interest rate(R007)to represent the funding side.In this paper,we first use panel clustering to analyze the bond yields from 2002 to 2017.Using the method of panel clustering.the yields of government bonds in 16 years are divided into three categories,namely,the yield of national debt in the bear market,bull market and steady market.At different periods,Economic fundamentals,policies and funds will have different degrees of impact on the yield of government bonds,and the influence of each factor is also different at the same time,that is,at each stage,it has the main influencing factors and secondary influencing factors.In this paper,we use panel clustering method to divide the yields of government bonds over 16 years into three categories.Respectively,the bear market,the bull market and the steady market environment.Based on this classification,we analyze the factors that affect the yield of government bonds.Then,by establishing SVAR model,this paper analyzes the impact of macroeconomic factors on the yield of government bonds by impulse response function and variance decomposition.Then under the stable market environment,under the bear market and bull market respectively,using the yield of 1-year,5-year and 10-year treasury bonds as dependent variables,CPI,M2 and R007 as independent variables.The Granger causality test was established and then establish the SVAR model,and then use impulse response analysis and variance decomposition to find out the impact of macroeconomic factors on the yield of government bonds.Draw the following conclusions:In a stable market,R007 has the biggest effect on the yield of 1-year and 5-year government bonds.CPI and M2 have the biggest influence on the yield of 10-year government bonds.In the bull market,R007 has the greatest impact on the yield of five-year government bonds,R007 and M2 has the greatest impact on the yield of ten-year government bonds.