China's Long-Term Treasury Bond Market Pricing Research

With the deepening of interest rate liberalization in China,the Treasury bond yield,as a representative of the risk-free interest rate in the market,plays an increasingly important role in the economic society.The national debt interest rate is the basis of the whole social financing pricing,and the long-term change of the yield rate reflects the change of the whole social financing cost,which directly determines the financial cost and financing arrangement of the government and enterprises,and also has an important impact on the investment behavior of investors.In recent years,documents and policies of the central government and local governments all emphasize the return of finance to entity,and the finance should better serve the real economy.Through the study on the pricing of long-term Treasury bond circulation market,relevant decision-making information can provide to governments,enterprises and investors,and better guide and promote the development of the real economy.The pricing of the Treasury bond circulation market,especially the pricing of the long-term Treasury bond circulation market,is closely related to the cyclical fluctuations of the economy.The current researches on the yield of long-term Treasury bonds mainly involve the construction and estimation of the term structure of the Treasury bond interest rate,while the domestic researches on the impact of macroeconomic factors,especially the economic cycle on the yield of Treasury bonds are relatively few.Therefore,this paper tries to study the long-term change of China's Treasury bond interest rate from the perspective of economic cycle,and conducts an empirical study on the data of China's long-term Treasury bond interest rate change from 2002 to 2017,in an attempt to provide some Suggestions and references for relevant decision-makers.First of all,this paper introduces the mainstream economic cycle theory,and Merrill lynch investment clock,which led to the investment tool based on economic cycle,and then does the necessary carding of major macroeconomic indicators combined with Merrill lynch investment clock.Secondly,this paper makes necessary explanations on the mechanism of Merrill lynch's investment clock pricing in China's long-term Treasury bond circulation market,and summarizes the internal and external environment and policy changes of China's economic development since 2002 based on the data of the yield to maturity of the 10-year Treasury note from 2002 to 2017.Finally,through the necessary localization of the Merrill lynch investment clock model,this paper tries to establish a set of domestic effective multiple regression model of the long-term Treasury bond yield,and apply it to specific practice.China famous statistician Mr.Wu once said:"All the models in the world are only approximations to the real world.There is no perfect model.All the models are doomed to be modified,improved and replaced." The same is true of this study.The short-term fluctuations of long-term Treasury bond yield are in a disorderly and disorderly state,but it is relatively easy to identify the long-term trend by removing the short-term fluctuations through technical means,and the connection with relevant macroeconomic indicators is also clearly visible.However,this paper only makes a preliminary exploration on the pricing of long-term Treasury bond circulation market,and it needs to be revised and improved continuously with the deepening of practice.