美国长期国债市场上主要外国投资者的投资行为比较

发布时间：2018-10-31 14:56

【摘要】：本文基于2002-2012年的年度数据,通过比较美国长期国债市场上主要外国投资者的不同行为特征,并在此基础上讨论不同行为特征的可能影响因素,得出了如下主要结论:由历史原因形成的市场势力和主动的资产配置策略,以及金融市场的风险与收益变化,是导致外国投资者不同行为特征的主要原因。这具体表现在:对于持有较大美国长期国债存量的中国和日本而言,类似做市商角色的市场势力使得其边际投资行为较为谨慎,以避免相应的国债价格变动造成其存量资产的价值波动;欧洲国家的投资行为则显示出风险偏好较高的特点(例如注重收益的逆势投资),这可能是由于它们持有的长期国债占比稳定在低位,从而能够将美国长期国债仅仅当做一类分散风险的金融投资品。此外,在金融市场动荡期间,由于避险需求和长短期国债收益利差缩小的双重影响,部分外国投资者的资产配置行为也会发生较大变化。
[Abstract]:Based on the annual data from 2002 to 2012, this paper compares the different behavioral characteristics of major foreign investors in the US long-term treasury bond market, and discusses the possible influencing factors of different behavioral characteristics. The main conclusions are as follows: the market power and active asset allocation strategy formed by historical reasons, as well as the changes of risks and returns in the financial market, are the main reasons leading to the different behavior characteristics of foreign investors. This is reflected in: for China and Japan, which hold a larger stock of long-term US Treasuries, market forces similar to the role of market makers have made their marginal investment behavior more cautious. In order to avoid the corresponding changes in the price of national debt caused by the stock of assets value fluctuations; European countries, on the other hand, have shown a higher risk appetite (for example, riskier countertrend investments), probably because their holdings of long-term government bonds have stabilized at a low level. Thus, long-term Treasury bonds can only be regarded as a kind of financial investment with scattered risk. In addition, during the financial market turmoil, the asset allocation behavior of some foreign investors will also change greatly due to the double effects of the risk avoidance demand and the narrowing of the yield gap between long-term and short-term government bonds.
【作者单位】：清华大学公共管理学院;中国社会科学院世界经济与政治研究所国际投资室;
【分类号】：F831.51

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