An Empirical Study On The Factors Influencing The Yield Of Policy Financial Bonds In China

The China Development Bank,the Export-Import Bank of China,and the Agricultural Development Bank of China have played important roles in supporting key areas and weak links of China’s economy.As policy oriented financial institutions,they have both policy oriented,financial oriented,and non competitive characteristics,which determines that they need to obtain funds in the market in an appropriate way to invest in projects.Issuing policy financial bonds is the main means of financing for policy banks.With the maturity of China’s bond market,market participants require more bond investment varieties and a more complete interest rate term structure to meet investment activities.Policy financial bonds have developed with the development of the bond market.At present,the issuance of policy financial bonds ranks the third among all bonds,only after treasury bond and local government bonds.The research on the yield of policy financial bonds is of great practical significance to both the development of China’s bond market and investors.This thesis studies the macroeconomic factors that affect the yield of policy financial bonds and analyzes the factors that affect the yield of policy financial bonds from the perspectives of economic fundamentals,monetary policy,market funds,and market expectations.In empirical research,this thesis establishes a Structural Vector Autoregressive(SVAR)model by comparing the bond yields of the China Development Bank,the Export-Import Bank of China,and the Agricultural Development Bank of China with various economic variable indicators,and analyzes each influencing factor based on the pulse response results.Empirical research has found that in the short-term stage after economic factors impact,the main factors affecting the yield of short-term China Development Bank bonds are market expectation and monetary policy factors,while the main factors affecting the yield of medium and long-term China Development Bank bonds are market funding and market expectation factors.The characteristics of short-term Export-Import bank bond yields are similar to those of China Development Bank bonds,while medium to long-term Export-Import bank bond yields are mainly influenced by market funding and monetary policy factors.In the mid-term stage after economic factors impact,the main influencing factors of short-term,medium-term,and long-term bond yields of China Development Bank,the Export-Import Bank of China,and the Agricultural Development Bank of China are monetary policy and economic fundamentals.In the long-term period after the impact of economic factors,the factors that affect the bond yields of the China Development Bank,the Export-Import Bank of China,and the Agricultural Development Bank of China are all economic fundamentals and monetary policy factors.The difference lies in the different ranking of M2 and MLF in monetary policy factors.Based on the research findings,this thesis proposes trading and policy recommendations for bond market participants and monetary authorities,respectively.For bond market participants,short-term trading should pay more attention to market expectations and monetary policy factors,while long-term bond allocation should pay more attention to monetary policy and economic fundamentals.For monetary authorities,it is necessary to expand the participation of market entities in medium-term lending facilities,enhance information disclosure,and strengthen expected effects.