Empirical study on the influence of macro economic variables on bond excess returns in Chinese bond market

摘要：

Using data from August 1997 to December 2005, we investigate the role of macroeconomic variables in determining bond yields and excess returns in the China’ Treasury bond market. We find that bond yields are influenced by official interest rate, the CPI inflation rate, the growth rate of real consumption, and the growth rate of money supply M1. These macroeconomic variables also have impact on bond excess returns. The bond excess returns tend to increase with the official interest rate level and the inflation rate, and tend to decrease with the growth rate of M1. We also find that the impact of the macroeconomic variables varies with bond duration.

关键词： official interest rates bond excess returns CPI M1 real consumption duration

作者: 范龙振 张处

作者单位: 复旦大学管理学院 上海,200433 香港科技大学财务学系 香港,清水湾

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）