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...

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...

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...

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...

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...

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...

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...