深度专题 | 债市的“盲点”：警惕低利率环境下“高波动”陷阱（申万宏观·赵伟团队）

Group 1 - The article highlights that low interest rates do not guarantee low volatility in the bond market, as evidenced by overseas experiences where significant adjustments occur even in low-rate environments [1][6][11] - In the context of low interest rates, the bond market often experiences rapid and substantial adjustments, characterized by large average adjustment amplitudes of 81bp for the US, 53bp for Germany, 59bp for France, and 74bp for Japan, typically occurring within 1-2 months [1][17][34] - The concept of "convexity" in bonds amplifies market volatility in low interest rate environments, leading to a non-linear increase in duration and significant sensitivity to interest rate changes, resulting in greater capital losses compared to high interest rate environments [1][24][34] Group 2 - The article discusses that the micro-foundation of bond market vulnerability in low interest rate environments stems from homogenized strategies and crowded trading behaviors among institutions, which can lead to increased market fragility [2][34][46] - A reversal in macroeconomic expectations often triggers high volatility in the bond market, with historical instances showing that significant market adjustments can occur without tightening monetary policy, driven instead by unexpected changes in nominal GDP [2][46][57] - The anticipated economic recovery in 2026 is expected to shift from a confidence-building phase to a "non-typical" recovery, with monetary policy becoming more cautious regarding interest rate cuts, potentially leading to increased volatility in the bond market [3][79][88]