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Persistent link: https://www.econbiz.de/10012000827
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We construct a daily liquidity index of China’s government bond market using transaction data from the national interbank market over the past twenty years. The index is a composite of popular price-based and quantity-based metrics of liquidity. The composite indexes, obtained by averaging...
Persistent link: https://www.econbiz.de/10015226130
This paper examines how the introduction of bond lending in China's bond market has affected violations of the law of one price, measured by the yield spread between similar treasury bonds. To identify the effect of bond lending, we exploit the fact that in China identical bonds are traded on...
Persistent link: https://www.econbiz.de/10015229366
As the Chinese market economy expands and market institutions become stronger, there will be more incentives for Chinese households to substitute market activity for home production.The goal of this paper is to provide a quantitative analysis of the potential Chinese consumer demand for...
Persistent link: https://www.econbiz.de/10010690337
We investigate the effect of uncertainty on home durable purchase decisions, and empirically evaluate the efficacy of consumer durable policies under uncertainty. A model of lumpy home capital adjustment shows that elevated uncertainty leads households to adopt a cautionary perspective and...
Persistent link: https://www.econbiz.de/10014107930
This paper examines how the introduction of bond lending in China's bond market has affected violations of the law of one price, measured by the yield spread between similar treasury bonds. To identify the effect of bond lending, we exploit the fact that in China identical bonds are traded on...
Persistent link: https://www.econbiz.de/10013250148
We construct a daily liquidity index of China’s government bond market using transaction data from the national interbank market over the past twenty years. The index is a composite of popular price-based and quantity-based metrics of liquidity. The composite indexes, obtained by averaging...
Persistent link: https://www.econbiz.de/10013250149
Persistent link: https://www.econbiz.de/10012878989
Focusing on local state-owned enterprise (SOE) bond credit spreads in China during the period 2013 to 2020, we disentangle a province premia component from firms' fundamentals and present evidence of an increasing subnational debt market fragmentation since 2018, which is shown to be associated...
Persistent link: https://www.econbiz.de/10013222509