The impacts of macroeconomic factors on Chinese short-term treasury yield : an application of a vector error correction model

Yiran CAO*, Jiehui SHEN, Dong WANG, Yanling ZHAO

*Corresponding author for this work

Research output: Journal PublicationsJournal Article (refereed)Researchpeer-review

Abstract

In this research, we find that the short-term Chinese treasury yield is cointergrated with a group of six macroeconomic variables by employing the vector error correction model (VECM) in the system of seven equations. The signs of the long-term elasticity coefficient of four of the selected variables on treasury yield support the hypothesized relations and are robust to different combinations of macroeconomic variables in four-dimension systems. The money supply and shanghai inter-bank offered rate have positive impacts on Chinese short-term treasury yield, while the stock market performance and trade balance are negatively correlated to the treasury yield. However, the effects of economic growth and inflation are not robust in our empirical analysis.
Original languageEnglish
JournalGeneral and Social Science: Current Trends
Volume1
Issue number1
Publication statusPublished - May 2019

Fingerprint

Vector error correction model
Macroeconomic factors
Macroeconomic variables
Elasticity
Trade balance
Empirical analysis
Money supply
Coefficients
Shanghai
Inflation
Economic growth
Stock market performance

Keywords

  • Treasury yield
  • VECM
  • Cointegration
  • Macroeconomic variables

Cite this

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title = "The impacts of macroeconomic factors on Chinese short-term treasury yield : an application of a vector error correction model",
abstract = "In this research, we find that the short-term Chinese treasury yield is cointergrated with a group of six macroeconomic variables by employing the vector error correction model (VECM) in the system of seven equations. The signs of the long-term elasticity coefficient of four of the selected variables on treasury yield support the hypothesized relations and are robust to different combinations of macroeconomic variables in four-dimension systems. The money supply and shanghai inter-bank offered rate have positive impacts on Chinese short-term treasury yield, while the stock market performance and trade balance are negatively correlated to the treasury yield. However, the effects of economic growth and inflation are not robust in our empirical analysis.",
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The impacts of macroeconomic factors on Chinese short-term treasury yield : an application of a vector error correction model. / CAO, Yiran ; SHEN, Jiehui; WANG, Dong ; ZHAO, Yanling.

In: General and Social Science: Current Trends , Vol. 1, No. 1, 05.2019.

Research output: Journal PublicationsJournal Article (refereed)Researchpeer-review

TY - JOUR

T1 - The impacts of macroeconomic factors on Chinese short-term treasury yield : an application of a vector error correction model

AU - CAO, Yiran

AU - SHEN, Jiehui

AU - WANG, Dong

AU - ZHAO, Yanling

PY - 2019/5

Y1 - 2019/5

N2 - In this research, we find that the short-term Chinese treasury yield is cointergrated with a group of six macroeconomic variables by employing the vector error correction model (VECM) in the system of seven equations. The signs of the long-term elasticity coefficient of four of the selected variables on treasury yield support the hypothesized relations and are robust to different combinations of macroeconomic variables in four-dimension systems. The money supply and shanghai inter-bank offered rate have positive impacts on Chinese short-term treasury yield, while the stock market performance and trade balance are negatively correlated to the treasury yield. However, the effects of economic growth and inflation are not robust in our empirical analysis.

AB - In this research, we find that the short-term Chinese treasury yield is cointergrated with a group of six macroeconomic variables by employing the vector error correction model (VECM) in the system of seven equations. The signs of the long-term elasticity coefficient of four of the selected variables on treasury yield support the hypothesized relations and are robust to different combinations of macroeconomic variables in four-dimension systems. The money supply and shanghai inter-bank offered rate have positive impacts on Chinese short-term treasury yield, while the stock market performance and trade balance are negatively correlated to the treasury yield. However, the effects of economic growth and inflation are not robust in our empirical analysis.

KW - Treasury yield

KW - VECM

KW - Cointegration

KW - Macroeconomic variables

M3 - Journal Article (refereed)

VL - 1

JO - General and Social Science: Current Trends

JF - General and Social Science: Current Trends

IS - 1

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