2016年人民币汇率走势及其对债市的影响
发布时间：2018-09-06 12:27
【摘要】：正短期而言,人民币汇率走势对债市的影响主要沿着"人民币汇率—外汇占款—市场流动性—债市供求"的路径进行传导。2016年债市难以延续去年的趋势性机会,多种因素叠加下呈现震荡市的概率较大。在震荡市中投资者应积极采用利率互换、国债期货等衍生品对冲交易策略,同时在资金利率平稳预期下,还可考虑利用IRS组合套利策略降低风险。
[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.
【作者单位】： 厦门国际银行博士后工作站;厦门大学博士后流动站;
【分类号】：F832.51;F832.6
[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.
【作者单位】： 厦门国际银行博士后工作站;厦门大学博士后流动站;
【分类号】：F832.51;F832.6
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5 R壊，
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