Core Insights - The article emphasizes the significant role of banks in the bond market, highlighting that their asset allocation behavior not only determines their own profit models and risk preferences but also profoundly influences bond market trends and pricing mechanisms [1][9] - It identifies a need for more granular analysis of banks' asset-liability management and how their allocation behaviors evolve dynamically with economic cycles, regulatory constraints, and risk management strategies [2][9] Group 1: Static Relationship Between Bank Balance Sheets and Bond Markets - The logic of bank asset allocation is embedded within the framework of their balance sheets, where the liability side determines funding costs and stability, while the asset side reflects the trade-off between credit issuance and financial investments [3] - An increase in deposit growth and a decrease in funding costs lead banks to favor long-term government and local bonds, while weak deposit growth or rising interest rates push banks towards higher volatility, shorter-term assets [3][4] Group 2: Dynamic Transmission of Credit Issuance to Bond Markets - Empirical analysis from 2016 to 2025 using VAR models reveals that household short-term loans have a leading effect on bond markets, with their growth leading to rising ten-year government bond yields within four months [5] - In contrast, household medium- to long-term loans, primarily reflecting real estate demand, influence bond yields with a lag of 8 to 12 months, while corporate loans have a less significant and sustained impact on bond yields [6] Group 3: Heterogeneous Impact of Bond Investment Categories - The study categorizes bond investments into three types based on accounting treatment and finds that different types of banks exhibit varying impacts on government bond yields [7] - State-owned banks' investments in FVOCI accounts tend to lower government bond yields, while smaller banks, facing higher funding costs, often engage in strategies that increase market volatility [7] Group 4: Comprehensive Conclusions and Policy Implications - The research reveals that credit issuance is pro-cyclical while bond investment is counter-cyclical, reflecting the macro-regulatory function of bank asset allocation [8] - It suggests optimizing bond asset allocation, improving internal fund transfer pricing mechanisms, and strengthening risk management frameworks to enhance the sustainability of smaller banks [8][9]
新刊速读 | 银行资产配置对债券市场影响的动态传导