Nov. 7th, LUO Xingguo, Zhejiang University

Lecturer: LUO Xingguo, Zhejiang University

 

Time: Nov. 7th, Thursday, 15：30-17：00

 

Venue: Boxue 1222

 

Topic: The Dynamic Interactions between the Chinese Yield Curve and Macro Economy

 

Abstract: In this paper, we employ the dynamic Nelson-Siegel model to estimate the term structure of Chinese Treasury yields, and study the interactions between the yield curve factors and macroeconomic variables. Our analysis shows that the model fits the data very well, especially for the middle part of the yield curve. We also find that the bidirectional relation only exists between yield curve and money supply. For most macroeconomic variables, the interactions with yield curve are one-way relationship. In particular, the yield curve contains the information of inflation, economic growth and liquidity, such as CPI, industrial added value and interbank offered rate. This observation is important for policymaker and investors. Meanwhile, the yield curve is also affected by some macroeconomic variables, which is useful in forecasting the yield curve.