채권 가이드 : Drivers of Bond Yields

Drivers of Bond Yields.pdf

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아주 간단한 채권가이드

미국채 10년 모델 OIS1y1y + 인플레이션 스왑5y5y

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AQR에서 발간한 Drivers of Bond Yields는 채권 투자 입문자에겐 가장 추천할 만한 자료다. 온갖 채권 투자 정보가 넘쳐나는 요즘이지만, 정말로 중요한건 채권 가격이 무엇에 의해 움직이는지를 아는 것이다. 그런 점에서 이정도로 컴팩트하게 채권 투자를 다루는 자료를 본 적이 없는 것같다.

또 전반적으로 내용이 간단하고 친절하지만 깊게 파고들면 한없이 깊어질 수 있는 주제들을 다루고 있다. (사실 완전히 배경이 없다면 이해가 좀 어려울 순 있다) 이 자료를 primer로 삼아 궁금한걸 더 찾아봐도 좋겠다.   

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Executive Summary

This paper provides an overview of the various factors that influence government bond yields. The current short-term interest rate, expected future short-term interest rates, and term premia determine the level of (risk-free) bond yields in the economy. While the current short-term interest rate and its near-term expected path are largely controlled by central banks, longer-horizon expectations of future short-term interest rates, as well as term premia, are largely driven by non-policy factors. Different forms of monetary policy – e.g., traditional interest rate policy, forward guidance, and quantitative easing – are unified, reacting to the same set of economic variables and influencing broad economic conditions through their impact on longer-maturity yields. Both in theory and in the data, non-monetary policy factors drive significant variation in yields, particularly at longer maturities. Indeed, ten-year bond yields move nearly one-for-one with changes in long-term growth and inflation expectations, which explains the secular decline in bond yields over the past several decades. Despite "noise" to the contrary, and despite the exceptionally low yield environments we have witnessed, fundamentals continue to drive bond markets.

These findings have implications for investors. From a strategic allocation standpoint, assuming government bond risk is highly one-sided, with low interest rates implying there is no room for bonds to rally, is misguided. From a tactical perspective, despite low yields and innovations in the conduct of monetary policy since the Global Financial Crisis, a fundamentally driven approach to bond market investing should retain its efficacy into the future.