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Understanding Chinese Bond Yields and their Role in Monetary Policy, Nathan Porter, Nuno Cassola

Contributor
Abstract
China's financial prices are informative enough for the PBC to introduce a monetary policy framework centered around interest rates. While bond yields are not fully efficient?reflecting regulation, liquidity, and segmentation?we find they contain considerable information about the state of the economy as well as evidence of an emerging transmission channel: changes in PBC rates influence the structure of Treasury, financial, and corporate bond yield curves, which are then associated with changes in growth and inflation. Coporate spreads are also a leading indicator of growth and inflation. While further liberalization will strengthen both efficiency and transmission, several necessary elements to move towards indirect monetary policy are already in place
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Statistical Description of Yield Curves; A. Statistical Description of the Yield Curves; 1 Nelson-Siegel Factor Loadings; B. Comparing Statistical and No-Arbitrage Yield Curves; III. Monetary Operations and Markets in China; 2. PBC Open Market Operations; 3. Overnight Interest Rates; 4. Interest Rate Corridor; 5. Interbank and Central Bank Repo Rates; 6. The Value of Bonds Outstanding; IV. Data; 1. Properties of the Yield Data; V. Results; A. Estimated Yield Curves and Market Behavior; 2. Properties of the Estimated Errors
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (56 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781463953362

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