This paper examines the spillover effects of announcements on quantitative easing (QE) conducted in developed economies on the Chinese Treasury yield curve. In spite of China's firewall of cross-boarder capital control, we find that the US QE announcements move the Chinese yield curve...

We develop a parsimonious arbitrage-free yield net model for consistent bond pricing across maturities and issuers. Containing a core curve and multiple periphery curves, the yield net is spanned by three layers of factors: base factors spanning all curves, common spread factors spanning all...