The Policy Banks’ Financial Bonds In The Process Of Transition

Through30years’gradual reforming, our country has successfully changed from Planned Economy Model to Market Economy Model. But in terms of the development of financial market, there is still a long way to go. Policy banks born in a special economic background, whose endogenous power for marketization enhance continuously with the change of the development environment. The national financial work conference has indicated definitely that, China Development Bank, The Export-Import Bank of China, Agricultural Development Bank of China must push forward reform under the principle’One Bank, One Policy’. The main financing of Policy banks is achieved by issuing financial bond. The policy financial bond has been the second largest issuing in bond market, which has traditionally enjoyed a national credit guaranteed by the State and has the same level of risk with treasure bonds. However, with the commercialization reform of the State Development Bank, the risk weighted will increased from zero to20%, which is same with the commercial organizations. During the transition period, the attributes of policy financial bonds will bring out new features. The rate of return, volatility and liquidity are three attributes of financial assets which reflect the return, security and liquidity. In this paper, take the transformation of policy banks as the research background, we start at the return and risk of policy financial bonds, and study of the term structure, market risk, liquidity risk and credit risk systematically. Combined with theoretical and empirical results we put up with the corresponding policy recommendations.This article researched the return rate of policy financial bond, we researches the return rate curve and the term structure of interest rate using method of Principal Component Analysis(PCA) and GARCH model, and conclude that we can analyze the term structure of interest rate of policy financial bond with few principal component. The return volatility also has the character of clustering, just like the volatility of other interest rate products; with time series VAR model, Granger causality test and Impulse Response analysis methods, we researches the return rate of policy financial bond and the instrument of macroeconomic policy, we conclude that the policy change of central bank does have an impact on the return rate of policy financial bond, moreover, the shock of inflation expectation persists, investors trust the policy of central bank.This article researches the liquidity of policy bonds exchanged between banks. And analyze the basic liquidity problems of the policy financial bond of our country, then discuss the impacts on the liquidity of policy financial bonds through6aspects: trading system, trade cost, market transparency, trade category, market participant and macro factors. We summarize the measuring methods of bond liquidity, and calculate the liquidity of policy financial bonds of our country with effective methods. With the empirical research of the factors that impact the liquidity of policy financial bond of our country, we concluded that average trade volume, risk, residual maturity and the coupon rate of bond have significant impacts on the liquidity of our country, while trade volume have positive impacts, and information transparency and distribution volume have little impacts. Finally we proposed some actions to smooth the liquidity of policy financial bond of our country from4aspects:product innovation, distribution frequency, market maker and regular construction.The article also analyzes the factors that determine the credit risk of policy financial bonds of our country from three aspects:service quality of bank, supports from government and macroeconomic cycle, and conclude these decisive factors. Combing with the existing operation mechanism of Chinese policy banks, we analyzed how credit impact on holders, price and market risk of the policy financial bonds of our country, and how the risk weight of policy financial bank impacts the capital adequacy of commercial bank, our research indicates while the weight of bond increases, the capital adequacy of commercial banks decreases. At last we discusses the innovation and development of the policy financial bond, and analyzes the necessity and feasibility of policy financial bond innovation, and demonstrates from two aspects:exist problems and superiority of innovation. Then we analyze what we can learn from other countries that do well on policy bond.