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基于中国债券市场微观交易数据，考察2022年3月美联储加息对境外机构重仓债券价格稳定性的影响及其传导机制。研究结果表明，美联储加息显著削弱境外机构重仓债券的价格稳定性，通过市场参与度提升及卖出方向共识度增强予以传导。境内机构呈现差异化调节作用，配置类机构政策导向更强，发挥“逆势承接”稳定器功能；产品类机构交易方向与境外机构趋同，放大市场波动；交易类机构作用随市场状态变化。异质性分析显示，长期限债券和境内机构参与度较低的债券受美联储加息的影响更显著。此外，境外机构重仓债券的波动具有明显外溢效应，冲击债券市场稳定性。为提升中国债券市场在外部扰动下的稳定性，建议强化识别与状态监测预警、分阶段完善闭环治理机制、优化稳定导向的制度与激励安排以增强市场主体的逆周期行为意愿。
Abstract：Based on micro-level transaction data from the Chinese bond market, this study investigated the impact of the Federal Reserve rate hike in March 2022 on the price stability of bonds heavily held by foreign institutions, and its underlying mechanisms.The findings indicated that the Federal Reserve rate hike significantly undermined the price stability of the aforesaid bonds via two pathways: increasing market participation and enhancing sell-side consensus.Domestic institutions exhibited different moderating effects: 1) allocation-oriented institutions, driven more by policy orientation, played a stabilizing role as “counter-cyclical buyers”; 2) product-based institutions' trading directions converged with those of foreign institutions, amplifying market volatility; and 3) the role of trading-oriented institutions varied with market conditions.The heterogeneity analysis showed that long-term bonds and those with low domestic institutional participation were more significantly affected by the rate hike.Furthermore, the price volatility of bonds heavily held by foreign institutions had a notable spillover effect, which weakened the bond market stability.To enhance the stability of China's bond market against external shocks, it is essential to strengthen identification, condition monitoring, and early warning, develop a phased closed-loop governance mechanism, and optimize stability-oriented institutional and incentive arrangements, to thereby increase the counter-cyclical behavioral intentions of market participants.
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(1)本文中的“美联储利率调整”主要指的是利率上调,即美联储加息。本文研究对象对于美联储利率调整的其他方向的变动,同样具备参考价值。
基本信息:
中图分类号:F832.51
引用信息:
[1]李旭,于畅,江晶晶.外部事件冲击、机构交易应变与境外机构重仓债券价格稳定性——持仓机构结构与行为视角的机制逻辑[J].金融经济学研究,2026,41(04):37-53.
基金信息:
国家自然科学基金面上项目(52270174); 北京联合大学2025年度科研创新能力培育计划科研创新团队建设项目(JSK20202502)
2026-07-20
2026-07-20