1, the price of treasury bonds futures is determined by the holding cost of treasury bonds spot. In other words, the futures price depends on the spot price and the cost between holding the spot and the delivery date, otherwise there will be arbitrage in the market, and a large number of arbitrage behaviors will make arbitrage unprofitable, thus making the futures price return to the equilibrium price.
2. According to the traditional fixed asset pricing theory, in the national debt issuance market, the national debt price is inversely proportional to the rate of return, while the interest rate rises and the national debt price falls, whereas the interest rate falls and the national debt price rises; Under the same circumstances in coupon rate, the longer the maturity of national debt, the higher the sensitivity of its price to interest rate changes, but the sensitivity decreases with the increase of the number of years; Under the same term, the lower the coupon rate of national debt, the higher its sensitivity to interest rate changes; The capital gains brought about by falling interest rates are greater than the capital losses brought about by rising interest rates in the same range. For investors in countries with market-oriented interest rates, the market interest rate of the same term is the best frame of reference for yield to maturity.
The economic cycle always changes between expansion and contraction, and the return on investment also rises and falls. In the stage of economic contraction, investment demand shrinks and interest rates drop. After the depression, interest rates remained low. After the recovery, the growth of investment and consumption led to a rise in interest rates, which remained at a high level. Because the price of national debt is inversely proportional to the rate of return, the price of spot bonds usually rises in the stage of economic contraction, but falls after the economic situation improves. The price of treasury bond futures is also affected by the same.
4. The price of national debt is mainly determined by the market interest rate, and inflation is an important factor affecting the market interest rate. The real interest rate is the fixed income from holding national debt minus the inflation rate. When there is high inflation in the society, the currency depreciates, which leads to a relative decrease in the principal and interest income of investors in national debt. In order to avoid the losses caused by inflation, investors often invest their money in commodities that can preserve their value, such as gold and real estate, and reduce their holdings of national debt, which makes the price of national debt fall. On the contrary, when inflation is low, the high yield of national debt will attract many investors, which will lead to an increase in demand and price of national debt. The empirical study shows that exchange bonds are very sensitive to the changes of CPI data, and there is a pre-reaction, and then there is a reverse correction. The yield of national debt is consistent with CPI, and its correlation coefficient has been as high as 0.8 1 since 2002.
5. The yield of other financial assets has a substitution effect on national debt. Due to the scarcity of funds, the fluctuation of the stock market will inevitably affect the trading activities in the maturity market, thus affecting the futures price. When the stock market fluctuates violently, it will attract more funds and investors' attention, while the futures market and bond market are flat. When the yields of stocks and real estate rise, holding these assets is more beneficial than national debt. At this time, investors will throw out treasury bonds to transfer funds, and the price of treasury bonds will fall. Since 2005, the yield of national debt and the change of stock index have a consistent trend, and the change of stock index is about three months ahead of national debt/kloc-0.
6. When the money supply is insufficient, the interest rate rises; When there is too much money supply, interest rates will fall. Money supply indirectly affects the spot and futures prices of government bonds by affecting interest rates. The central bank controls the money supply through open market operation, discount rate policy and statutory deposit reserve requirements. When the central bank buys government bonds from the open market, reduces the discount rate, or reduces the statutory deposit reserve ratio, it means that liquidity will be released, interest rates may fall, and the price of government bonds will rise, otherwise, the price of government bonds will fall.
7. The government's fiscal expenditure will also have an impact on the price of national debt. When the government deficit, the issuance of national debt, national debt supply exceeds demand, prices fall; When there is a fiscal surplus, the government may buy back the national debt or pay it in advance, and the demand for national debt will increase and the price will rise. As national debt is an important means to balance fiscal revenue and expenditure, national fiscal revenue and expenditure is the most direct factor affecting the relationship between supply and demand of national debt. When the fiscal revenue and expenditure are in good condition and there is a surplus, the state will buy government bonds in the government bond market, thus increasing the demand for government bonds and pushing up the price. On the other hand, when the fiscal revenue and expenditure situation deteriorates and there is a deficit, the state will increase the issuance of national debt to make up for the deficit, which will increase the supply of national debt and push down the price. The futures price of government bonds has also changed.
Tips: The above information is for reference only.
Reply time: 2021-11-22. Please refer to the latest business changes announced by Ping An Bank in official website.