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...

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...

It is well documented that bond excess returns are time-varying and that they can be explained by predetermined risk factors. This paper builds a theoretical model to forecast excess returns on treasury bonds in the context of China's unique monetary system. Empirical evidence shows that bond...

China's interest rate market is unique because its central bank sets a term structure of official interest rates on bank deposits and loans as well as money supply. In this paper we explore both theoretically and empirically how market interest rates in China are related to economic...

Recent empirical studies suggest that demand and supply factors have important effects on bond yields. Both market segmentation and preferred habitat hypothesis are used to explain these demand and supply effects. In this paper, we use an affine preferred-habitat term structure model and the...

Recent empirical studies suggest that demand and supply factors have important effects on bond yields. Both market segmentation and preferred habitat hypothesis are used to explain these demand and supply effects. In this paper, we use an affine preferred-habitat term structure model and the...

Because of the lack of short‐term government bonds, the interbank repo market in China has been providing the best information about market‐driven short‐term interest rates since its inception. This article examines the behavior of the repo rates of various terms and their term premiums....

We explore the linkages between social media marketing activeness and reputational assets on digital platforms with a unique sample of over 8,000 C2C sellers on both Taobao, China’s largest C2C online shopping platform, and Sina Weibo, China’s largest microblogging platform. A unique...

This study examines the stock-picking ability of mutual funds in China using evidence from the IPO market. We hypothesize that the decision to invest in the IPO market contains positive information about a fund’s underlying expectation of newly listed firms’ future prospects. Using residuals...

This paper analyzes the relationship between financial liberalization and urbanization. We conjecture that liberalizing financial policies enables the process of economic structural change and that this change results in an increased demand for labor in the predominantly urban service industry,...