NDLI: The relationship of macroeconomy and the Treasury yield curve: evidence from China

Content Provider	IEEE Xplore Digital Library
Author	Hui-yan Dong Shou-yang Wang
Copyright Year	2014
Description	Author affiliation: Acad. of Math. & Syst. Sci., Beijing, China (Shou-yang Wang) \|\| Res. Centre on Fictitious Econ. & Data Sci., Univ. of Chinese Acad. of Sci., Beijing, China (Hui-yan Dong)
Abstract	The joint behavior of the Treasury yield curve and macroeconomic variables is important for bond pricing, investment decision and policy making. The empirical analysis has been carried out for mature markets like U.S., and in this paper we focus on China, an emerging market with an immature bond market. Through the Principle Component Analysis, we extract the level, slope and curvature factors from the Treasury yield curve and inflation factor and real economic activity factor from a set of macro variables. Structural VAR model is used to analyze their relationship. The impulse respond result shows that the inflation and real economic activity have significant influence on the level, slope and curvature factors of yield curve, and vice versa. The monetary policy can affect the three factors of yield curve, but cannot be influenced by any of them.
Starting Page	736
Ending Page	743
File Size	412962
Page Count	8
File Format	PDF
ISBN	9781479953752
ISSN	21551855
e-ISBN	9781479953769
DOI	10.1109/ICMSE.2014.6930302
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-08-17
Publisher Place	Finland
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Reactive power Economic indicators Loading SVAR model Macroeconomics Treasury yield curve Indexes Principal component analysis macro economy
Content Type	Text
Resource Type	Article

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