發(fā)布時(shí)間：2018-09-06 12:27

【摘要】：正短期而言,人民幣匯率走勢(shì)對(duì)債市的影響主要沿著"人民幣匯率—外匯占款—市場(chǎng)流動(dòng)性—債市供求"的路徑進(jìn)行傳導(dǎo)。2016年債市難以延續(xù)去年的趨勢(shì)性機(jī)會(huì),多種因素疊加下呈現(xiàn)震蕩市的概率較大。在震蕩市中投資者應(yīng)積極采用利率互換、國(guó)債期貨等衍生品對(duì)沖交易策略,同時(shí)在資金利率平穩(wěn)預(yù)期下,還可考慮利用IRS組合套利策略降低風(fēng)險(xiǎn)。
[Abstract]:In the short term, the impact of RMB exchange rate movements on the bond market is mainly transmitted along the path of "RMB exchange rate-foreign exchange occupying-market liquidity-bond market supply and demand." the debt market in 2016 will not be able to continue the trend opportunity of last year. Under the superposition of a variety of factors, the probability of a shock market is greater. In a volatile market, investors should actively adopt hedging strategies such as interest rate swaps, treasury bond futures and other derivatives. At the same time, under the expectation of stable capital interest rate, we can also consider using IRS portfolio arbitrage strategy to reduce risk.
【作者單位】： 廈門國(guó)際銀行博士后工作站;廈門大學(xué)博士后流動(dòng)站;
【分類號(hào)】：F832.51;F832.6

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