An Empirical Analysis of the Impact of Interest Rate Rise on the Treasury Markets in the US and China

摘要：

This study empirically examines the impact of interest rate rise on the treasury markets based on the Expectations Hypothesis by comparing the yields in U. S. A and China. It is shown that there are significantly differences between the treasury markets in America and China when interest rate rising and the Chinese treasury market is more sensitive and over-reactive to the rises of interest rate.

关键词： interest rate increase term structures treasury market

作者: Wei Lu Gang Li Wenjun Wang

作者单位: School of Management, University of Science and Technology of China, Hefei, 230051, China

会议类型: 国际会议

会议名称: 第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)

会议地点: 武汉

会议语种:英文

页码: 1387-1392

在线出版日期: 2009-05-30（万方平台首次上网日期，不代表论文的发表时间）