Judging from the influence of the bond market, the scissors difference of M 1-M2 has a certain guiding effect on the bond market yield. The scissors difference of M 1-M2 has widened rapidly recently, which is mainly affected by the sharp drop in the growth rate of M 1 year-on-year. The conversion of medium-and long-term loans of enterprises into resident deposits is the main reason for the continuous decline in the growth rate of M 1 in June and October, and the slight increase in M2. At present, the growth rate of M 1 is at the lowest level in history, and the scissors difference of M 1-M2 is expected to stabilize in the future. The yield to maturity center of 10-year treasury bonds is still 3.0%~3.4%.
According to the financial data of 65438+ 10, the scissors difference of M 1-M2 began to turn negative in February last year, and continued to expand. M 1-M2 scissors difference is an important embodiment of the business activities of non-financial enterprises, which is ahead of the nominal GDP growth rate and has forward-looking significance for prices. M 1-M2 scissors difference has a certain guiding effect on bond market yield.
The scissors difference of M 1-M2 has widened rapidly recently, which is mainly affected by the sharp drop in the growth rate of M 1 year-on-year. Demand deposits of non-financial enterprises and government organizations are the main components of M 1. After July 20 16, the decline in the growth rate of M 1 was mainly caused by the decline in corporate demand deposits and government group deposits. Corporate deposits are closely related to the trend of real estate, and the weakening of the conversion from resident time deposits to corporate demand deposits is one of the reasons for the year-on-year decline in the growth rate of corporate demand deposits. The decline of corporate profits and the limitation of non-standard financing are important factors leading to the decline of corporate demand deposits. The decline in demand deposits of government agencies and groups is related to the acceleration of bond replacement by local governments.
The scissors difference between M 1 and M2 is expected to be stable in the future. The conversion of medium-and long-term loans of enterprises into resident deposits is the main reason for the continuous decline in the growth rate of M 1 in June and October, and the slight increase in M2. The year-on-year growth of M 1 is cyclical, and the current growth rate of M 1 is at the lowest level in history. If M2 maintains the current growth rate of M 1 to stabilize under the loose monetary policy environment, the scissors difference between M 1 and M2 will also stabilize.
The reaction based on fundamentals lags behind the scissors difference of M 1 and M2 by about 3- 12 months on average. In the long run, the downward trend of bond market yield will continue. However, in the short term, when financial data fluctuates steadily and economic data lags behind, market sentiment may lead to interest rate fluctuations. Generally speaking, we think that the yield to maturity center of 10-year national debt is still 3.0%~3.4%.
main body
Recently, the central bank released the monthly financial data of 1, and many data exceeded market expectations. It is noteworthy that the scissors difference of M 1-M2, which turned negative from February 2065438+08, continued to widen. The scissors difference between M 1 and M2 has a strong correlation with economic fundamentals, while bond yields have a high correlation with fundamentals. This paper will discuss the change of bond yield from the perspective of the reasons that affect the increase of scissors difference between M 1-M2 and how the scissors difference between M 1 and M2 will change in the future.
The difference between M 1 and M2 is instructive to the rate of return.
M 1-M2 scissors difference is an important embodiment of the activity of non-financial enterprises. The scissors difference of M 1-M2 refers to the difference between the year-on-year growth rate of M 1 and M2. The activity of enterprise management is reflected in the conversion of enterprise deposit term, and it is all kinds of time deposits that increase the statistical caliber of M2 relative to M 1. Therefore, the scissors difference of M 1-M2 reflects the approximate term structure and activity degree of enterprise funds, and is an important indicator for macroscopic investigation of the internal situation of the real economy.
The growth difference between M 1 and M2 is ahead of the nominal GDP growth rate. From 1996 to 1, China experienced seven cycles of M 1-M2 scissors difference, and each cycle lasted about 3 to 4 years on average. In addition to 20 12-20 15, the nominal GDP growth rate of China after 2000 also shows a periodic feature of about 3 to 4 years. Historical data show that the scissors difference of M 1-M2 is similar to the growth cycle of nominal GDP and ahead of the growth rate of nominal GDP. After 20 1 1 year, the correlation between M 1-M2 scissors difference and nominal GDP growth rate weakened due to the gradual disappearance of China's demographic dividend and reform dividend and the influence of nominal GDP entering a low growth stage.
The growth difference between M 1 and M2 is of forward-looking significance to the price. Similar to the M 1-M2 scissors difference cycle, the price growth rate in China has a periodicity of about three to four years. From 1999 to 20 15, the CPI growth has five obvious cycles, and from 1998 to 20 14, the scissors difference of M 1-M2 also has a similar cycle one year earlier. It can be seen that the scissors difference of M 1-M2 is similar to the price growth cycle and ahead of the price growth. Similarly, in recent years, influenced by the gradual disappearance of China's demographic dividend and reform dividend, the correlation between the scissors difference of M 1-M2 and the price growth rate has weakened.
M 1-M2 scissors difference has a certain guiding effect on bond market yield. To sum up, M 1-M2 scissors difference leads in fundamental indicators such as nominal GDP growth rate and CPI growth rate. The bond market yield is linked to the economic fundamentals, so the scissors difference of M 1-M2 plays a guiding role in the bond market yield trend. By analyzing the data of the price difference between treasury bonds and M 1-M2 scissors in the ten years from June 2002 to now, we can know that the price difference between M 1 and M2 scissors peaked in 10, the longest is 29 months, the shortest is 3 months, and most of the time is around 12 months. M 1, M2 scissors bottomed out in 10 years in advance. The longest is 24 months, the shortest is 2 months, and most of the time is about 3 months.
Why does the scissors difference between M 1 and M2 widen?
As the growth rate of M 1 decreased obviously, the scissors difference of M 1-M2 changed from negative to positive from February 2065438 to February 2008, and the scissors difference continued to expand. In February of 20 18, the scissors difference of M 1-M2 turned positive for the first time after February of 20 15, which was -0.30%. After that, the M 1-M2 scissors difference is still negative and continues to widen. In June of 20 19, M 1 increased by 0.40%, M2 increased by 8.40%, and the scissors difference of M 1-M2 was as high as -8.00%. Since February 20 18, the year-on-year growth rate of M2 has been stable at 8.00%-8.80%, while the year-on-year growth rate of M 1 has been continuously reduced from 8.50% to 0.40%. Therefore, the recent rapid widening of the M 1-M2 scissors difference is mainly affected by the sharp drop in the growth rate of M 1.
Demand deposits of non-financial enterprises and government organizations are the main components of M 1. According to the caliber of the central bank, M 1 includes M0 and corporate demand deposits; Among them, corporate demand deposits include non-financial corporate demand deposits and institutional group deposits. According to Fu Minjie's article "Government Deposits in China: Diameter, Scale and Macro Policy Implications", government organizations include "central organs, central institutions, central social organizations, local institutions, local organs, local social organizations and social security funds".
After July 20 16, the decline in the growth rate of M 1 was mainly caused by the decline in demand deposits of enterprises and government organizations. Since July 2065438+2006, the year-on-year growth rate of M0 has remained basically unchanged, but the year-on-year growth rate of unit demand deposits consisting of corporate demand deposits and institutional group demand deposits has dropped significantly. The decline in the growth rate of unit deposits has dragged down the growth rate of M 1.
Corporate deposits are closely related to the trend of real estate, and the weakening of the conversion from resident time deposits to corporate demand deposits is one of the reasons for the year-on-year decline in the growth rate of corporate demand deposits. Looking back at the historical data from February to October, 200718 and1February, we can find that the growth rate of commercial housing sales is obviously related to the year-on-year growth of RMB deposits of non-financial enterprises. During the boom period of real estate sales, the purchase behavior led to the conversion of residents' long-term deposits into corporate demand deposits, which greatly increased M 1. Since the beginning of this year, affected by the regulation of the housing market, real estate has weakened, the conversion from resident time deposits to corporate demand deposits has weakened, and the increment of corporate demand deposits has decreased.
The decline of corporate profits and the limitation of non-standard financing are important factors leading to the decline of corporate demand deposits. The decline of corporate profitability and corporate cash flow will also lead to the decline of corporate demand deposits, which will further affect the growth rate of M 1. There is a strong correlation between the profit growth rate of industrial enterprises and the demand deposits of enterprises. Since 20 18, the profits of industrial enterprises have been declining, which is consistent with the trend of corporate demand deposits. During 20 15-20 16, non-standard business developed rapidly, and the growth rate of M 1 also climbed all the way. After 20 17, with the tightening of supervision and the restriction of off-balance sheet financing, corporate demand deposits declined. 20 18 with the centralized implementation of regulatory documents, non-standard business contracted, and corporate demand deposits further declined.
The decline in demand deposits of government agencies and groups is related to the acceleration of bond replacement by local governments. According to the Interpretation of Indicators of Financial Statistics and Financial Instruments compiled by the Survey and Statistics Department of the People's Bank of China 20121,"institutional group deposits" refer to "fixed demand deposits deposited by institutional legal persons, institutions, armed forces, and enterprise legal persons in banking financial institutions, as well as monetary funds deposited by banking financial institutions entrusted by the above-mentioned units." It can be seen that provident fund deposits, social security fund deposits and self-operated income and expenditure deposits are the main components of institutional group deposits. In addition, part of the local government's replacement bonds and new bond funds will be temporarily retained in government agency group accounts (mainly local government financing platform accounts), which is the main reason for the increase in demand deposits of government agency groups in 20 16. From the data point of view, the change of local government bond replacement is more in line with the fluctuation of M 1. In recent years, with the approach of bond replacement, the progress of local government replacement has been accelerated, and the scale of funds conversion deposits in bond swap has declined.
How will the scissors difference between M 1 and M2 change in the future?
The conversion of medium-and long-term loans of enterprises into resident deposits is the main reason for the continuous decline in the growth rate of M 1 in June and October, and the slight increase in M2. According to the latest financial data, in 1 month, M 1 increased by 0.4% year-on-year, down by 1. 1 percentage point from last month, and M2 increased by 8.4% year-on-year and 0.3 percentage point from last month. At the same time, we can see that while the medium and long-term loans of enterprises have soared, the deposits of residents have also increased by a large margin. Here, we can get a glimpse of the capital flow of enterprises. In June 5438+ 10, the medium and long-term loans of enterprises increased, and at the same time, due to the influence of the Spring Festival, the demand for corporate demand deposits rose in June 5438+ 10, and corporate demand deposits were converted into resident deposits through bonuses and benefits, that is, the transformation from M 1 to M2 was completed.
The year-on-year growth of M 1 is cyclical. At present, the growth rate of M 1 is at the lowest level in history, and the scissors difference between M 1 and M2 is expected to stabilize in the future. From 1996 to 1, China experienced six ups and downs growth cycles of m 1, and each cycle lasted about 3 to 4 years on average. At present, the seventh cycle of China started from 3.70% in April of 20 15, and began to decline after reaching the highest point of 25.40% in July of 20 16, which lasted for nearly four years. The year-on-year growth rate of M 1 has dropped to 0.40%. Under the loose monetary policy environment, if M2 maintains the current growth rate of M 1 and stabilizes, the scissors difference between M 1 and M2 will also stabilize.
On the whole, M 1 is the main reason for the sharp increase in the scissors difference between M 1 and M2. Judging from the periodic changes and influencing factors of M 1, M 1 will tend to be stable in the future. However, the reaction based on fundamentals lags behind the change of M 1 and M2 scissors by about 3- 12 months on average, and the downward trend of bond market yield will continue in the long run. However, in the short term, when financial data fluctuates steadily and economic data lags behind, market sentiment may lead to interest rate fluctuations. Generally speaking, we think that the yield to maturity center of 10-year national debt is still 3.0%~3.4%.
(Article source: Qing Bi Tan)