中国投资者是否是美国国债市场上的价格稳定者

发布时间：2018-06-12 07:10

本文选题：中国投资者 + 美国国债　；参考：《世界经济》2012年05期

【摘要】：本文在梳理美国国债市场若干特征事实的基础上,从纵向与横向比较的角度来描述中国投资者在美国国债市场的投资行为。计量分析的结果表明,从长期来看,美元汇率是中国投资者购买美国国债行为的影响因素,而美国国债收益率并非中国投资者购买美债行为的长期决定因素;尽管中国投资者从投资行为来看似乎在美国国债市场与外汇市场同时扮演价格稳定者的角色,但中国投资者增持美国国债的行为一方面难以扭转美国国债收益率的上升,另一方面导致美元贬值。这意味着中国投资者的确是外汇市场上美元价格的稳定者,但并非是美国国债市场上的价格稳定者;向量误差修正模型对美国国债收益率与美元汇率变动的解释力显著高于对中国投资者购买美国国债行为的解释力,这意味着后者可能还取决于一些其他因素。
[Abstract]:On the basis of some characteristics of the U.S. Treasury bond market, this paper describes the investment behavior of Chinese investors in the United States Treasury bond market from the angle of vertical and horizontal comparison. The results of the econometric analysis show that, in the long run, the dollar exchange rate is the influence factor of the Chinese investors' behavior of buying the United States bonds, and the yield of the US Treasury bonds. The long-term determinants of non Chinese investors' purchases of US debt; although Chinese investors seem to play the role of price stability in the US Treasury market and the foreign exchange market from the investment behavior, the increase in the behavior of Chinese investors is difficult to reverse the rise in the yield of US Treasury bonds on the one hand, and on the other hand it leads to the United States. This means that Chinese investors are indeed the stabilizer of the dollar price in the foreign exchange market, but not the price stabilizer in the US Treasury market; the vector error correction model has significantly higher interpretations of the U.S. Treasury bond yield and the dollar exchange rate than the interpretation of Chinese investors' purchase of US Treasury bonds. The latter may also depend on a number of other factors.
【作者单位】：中国社会科学院世界经济与政治研究所;
【基金】：国家社会科学基金重点项目《二十国集团面临的全球治理重点问题研究》(11AGJ001) 中国社会科学院创新工程项目《国际货币金融体系改革与中国的政策选择》的资助
【分类号】：F224;F837.12

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