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.
|Journal||General and Social Science: Current Trends|
|Publication status||Published - May 2019|
- Treasury yield
- Macroeconomic variables
CAO, Y., SHEN, J., WANG, D., & ZHAO, Y. (2019). The impacts of macroeconomic factors on Chinese short-term treasury yield : an application of a vector error correction model. General and Social Science: Current Trends , 1(1).