Seminars & Events
APL (Ajiken Power Lunch)
Professor Shahida Pervin (Waseda University): What Factors Influence Chinese Government Bond Yields?
Date&time:
Thursday, 27th of March, 12:00 to 1:15 p.m.
Venue:
Abstract
This paper models the dynamics of long-term Chinese government bond (CGB) yields based on an autoregressive distributive lag (ARDL) approach. It examines whether the current short-term interest rate has a decisive influence on long-term CGB yields, after controlling for various macroeconomic variables. The estimated models all show that the current short-term interest rate has an economically and statistically significant effect on the long-term CGB yields of various maturity tenors. John Maynard Keynes claimed that a central bank’s policy rate exerts an important influence over long-term government bond yields through the current short-term interest rate. The paper’s findings evince that Keynes’s claim holds for China, implying that the People’s Bank of China’s (PBOC) actions are a key driver of the long-term CGB yields.
Speaker
Professor Shahida Pervin (Waseda University)
Moderator
Contact:
Institute of Developing Economies, APL Organizers
E-mail: APL