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 three main features: large adjustment amplitudes (average adjustments of 81bp for the US, 53bp for Germany, 59bp for France, and 74bp for Japan), quick adjustment speeds (typically occurring within 1-2 months), and adjustments that are often accompanied by rising term premiums [1][17][24] - 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 price changes, resulting in greater capital losses during interest rate rebounds compared to high-rate environments [1][24][28] Group 2 - The article discusses that the micro-foundations of bond market vulnerability in low interest rate environments stem from homogenized strategies and crowded trading behaviors among institutions, which can lead to increased fragility [2][34][46] - A reversal in macroeconomic expectations often serves as a direct trigger for breaking market consensus and inducing high volatility in the bond market, with historical instances showing that significant market adjustments can occur even without tightening monetary policy [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, which may lead to increased volatility in the bond market due to the rebalancing of funds [3][79][88]