薛鹤翔：货币宽松与风险偏好的角力—9月份国债期货投资策略报告

Market Overview - In August, driven by a series of policies, market risk appetite increased, leading the Shanghai Composite Index to break a 10-year high, with a continued stock-bond seesaw effect [1][25] - Bond funds and deposits from residents and enterprises flowed into higher-yielding non-bank sectors, suppressing bond market sentiment, while the 10-year government bond yield exceeded 1.8% [1][25] - The average daily trading volume of government bond futures in August was 417,000 contracts, a month-on-month increase of 39.41% [5] Economic Indicators - Domestic real estate investment, sales, and price declines continued to expand, indicating weak demand [1][25] - The central bank is expected to continue implementing a moderately loose monetary policy to maintain reasonable liquidity in the market, which will provide some support for the bond market, especially for short-term government bond futures [1][25] Bond Market Dynamics - The bond market is experiencing a shift as funds continue to flow into non-bank sectors, which may lead to further weakening of government bond futures prices [1][25] - The Ministry of Finance has resumed the collection of value-added tax on government bonds and financial bonds, which may increase the tax burden on new bonds and widen the price differences across varieties [1][25] Financing and Supply - As of the end of August, the bond market's outstanding scale exceeded 191.71 trillion yuan, with net financing of 17,571 billion yuan in August, maintaining a high level [18] - The government is expected to continue high levels of bond financing, with a cumulative increase of 10.2 trillion yuan in government and local government bonds by August [21] Future Outlook - The report anticipates that the seesaw effect between stocks and bonds will continue, with bond market sentiment likely to remain suppressed as funds flow into higher-yielding sectors [1][25] - The central bank's monetary policy will play a crucial role in stabilizing the economy and supporting the bond market amid external uncertainties and domestic demand weaknesses [1][25]