WHAT MOVES BOND YIELDS IN CHINA?

This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We show that macroeconomic variables as well as monetary policy variables have a significant impact on two factors that capture the variation in yields. An increase in the inflation rate and economic growth result in a rise in the yield curve. Similarly, an increase in the money supply causes a rise in the yield curve, albeit with a delayed effect. Finally, when official rates are raised, the long yield shows signs of a delayed decline. Overall, the long yield is more sensitive to most changes in macroeconomic and monetary variables. These results differ from an earlier study on bond yields by Ang and Piazzesi (2003), who show that the U.S. short-term rate is more sensitive to changes in macroeconomic variables. Possible explanations for the difference include certain unique structural features in the domestic financial system and the way monetary policy is conducted in China.China; yield curve; macroeconomic factors; monetary policy

CHINA'S OFFICIAL RATES AND BOND YIELDS

Recent research shows that bond yields are influenced by monetary policy decisions. To learn how this works in an interest rate market that differs significantly from that of the U.S. and Europe, we model Chinese bond yields using the one-year deposit rate as a state variable. We also add the difference between the one-year interest rate and the one-year deposit rate as a factor. The model is developed in an affine framework and closed-form solutions are obtained. It is tested empirically and the results show that the new model characterizes the changing shape of the yield curve well. Incorporating the benchmark rate into the model thus helps us to match Chinese bond yields.China; deposit rate; bond yields; jump process; affine model

Hybrid topological photonic crystals

Photonic topological phases offering unprecedented manipulation of electromagnetic waves have attracted much research interest which, however, have been mostly restricted to a single band gap. Here, we report on the experimental discovery of hybrid topological photonic crystals which host simultaneously quantum anomalous Hall and valley Hall phases in different photonic band gaps. The underlying hybrid topological phase manifests itself in the edge responses as the coexistence of the chiral edge states and valley Hall edge states in different frequency ranges. We experimentally verify such an emergent phenomenon and show that such a feature enables novel multiplexing of photon transport in the edge channels. Our study reveals a situation with coexisting topology of distinct nature in a single photonic system that may enable frequency-dependent filtering and manipulation of topological edge photons

中国株式市場における証券の特徴とクロス・セクションの平均収益

With data of monthly stock returns, prices, trading volumes, and corporate financial statements from July 1995 to June 2001, size effect, book-to-market equity ratio effect, E/P ratio effect, trading volume effect, ratio of A-shares to total shares effect, and price effect are found to be obvious in China stock market. These effects can't be explained by their market betas. If two other factors: size factor and book-to-market equity ratio factor are added, the three-factor model of Fama-French's explains the effects quite well in China stock market

Beyond segmentation: The case of China's repo markets

This paper explores the reasons behind the discrepancy between interest rates in China's two repurchase agreement (repo) markets, the interbank repo market and the exchange-traded repo market. The repo rates in the exchange market are at times, significantly higher than those in the interbank market, especially in the first three years of the 2000-2005 sample period. While market segmentation clearly hinders arbitrage, the causes of the repo rate discrepancy are related to the alternative investment opportunities available to market participants and to the volatility differences in the repo rates. (c) 2006 Elsevier B.V. All rights reserved

China's official rates and bond yields

Recent research shows that bond yields are influenced by monetary policy decisions. To learn how this works in a bond market that differs significantly from those in the US and Europe, we model Chinese bond yields using the one-year deposit interest rate as a state variable. We also include the spread between the one-year market interest rate and the one-year deposit interest rate as another factor. The model is developed in an affine framework and closed-form solutions are obtained. We then test the model empirically with a Markov Chain Monte Carlo simulation procedure. The results show that the new model that incorporates the official rate in China characterizes the changing shape of the yield curve well.China Deposit interest rate Bond yields Jump process Affine model

An empirical evaluation of China's monetary policies

This paper investigates the responsiveness of the Chinese government's monetary policies in terms of the money supply and interest rates to economic conditions and the effectiveness of these policies in achieving the goals of stimulating economic growth and controlling inflation. We analyze the responsiveness and effectiveness by estimating the Taylor rule, the McCallum rule, and a vector autoregressive model using quarterly data in the period of 1992-2009. The results show that, overall, the monetary policy variables respond to economic growth and the inflation rate, but the magnitudes of the responses are much weaker than those observed in market economies. Money supply responded actively to both the inflation rate and the real output and had certain effects on the future inflation rates and real output. The official interest rates, on the other hand, responded passively to the inflation rate and did not respond to the real output. They do not have any effect on future inflation rates and real output either. (C) 2010 Elsevier Inc. All rights reserved

An empirical evaluation of China's monetary policies

This paper investigates the responsiveness of the Chinese government's monetary policies in terms of the money supply and interest rates to economic conditions and the effectiveness of these policies in achieving the goals of stimulating economic growth and controlling inflation. We analyze the responsiveness and effectiveness by estimating the Taylor rule, the McCallum rule, and a vector autoregressive model using quarterly data in the period of 1992-2009. The results show that, overall, the monetary policy variables respond to economic growth and the inflation rate, but the magnitudes of the responses are much weaker than those observed in market economies. Money supply responded actively to both the inflation rate and the real output and had certain effects on the future inflation rates and real output. The official interest rates, on the other hand, responded passively to the inflation rate and did not respond to the real output. They do not have any effect on future inflation rates and real output either.Monetary policy Taylor rule McCallum rule Output gap Inflation rate Real effective exchange rate