• The 10 year or longer rate can be decomposed as two component

  • The real interest rate, which reflects of the economic fundamentals
    • The real treasury yield is a proxy of expected economic growth
  • The inflation expectation
    • or say inflation breakeven rate, a measure of investors’ future inflation expectations

  

The inflation breakeven

• Research shows
  • 1% increase in gov’t debt-to-GDP ratio causes 2 bps increase in gov’t bond yield
  • 1% increase in potential growth rate causes 45 bps increase in gov’t bond yield

Real interest rate

经济基本面

• 国债从本质上来讲，是以该国经济发展预期为背书所发行的债务

  • GDP：扣除通胀的实际GDP增速

    • 实际GDP增速代表了经济的基本面，自八十年代以来，与美国国债收益率基本同步下行。

    GDP

  • PMI：制造业采购经理指数

    • 更加高频、反应经济景气程度和运行状况

      PMI