Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system
It is well documented that the time-varying bond excess returns can be explained by predetermined variables such as information in the term structure and macro economic variables. Recent studies suggest that demand and supply of bonds influence bond excess returns. We extend the literature and find...
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| Veröffentlicht in: | Journal of banking & finance 2012-01, Vol.36 (1), p.239-248 |
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| container_title | Journal of banking & finance |
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| creator | Fan, Longzhen Tian, Shu Zhang, Chu |
| description | It is well documented that the time-varying bond excess returns can be explained by predetermined variables such as information in the term structure and macro economic variables. Recent studies suggest that demand and supply of bonds influence bond excess returns. We extend the literature and find that monetary system attributes affect return dynamics in the bond market. By introducing a theoretical model to forecast excess returns on Treasury bonds in the context of China's unique monetary system, this paper attributes the predicted components of bond excess returns mainly to the inflexible term structures of official interest rates set by China's central bank. [PUBLICATION ABSTRACT] |
| doi_str_mv | 10.1016/j.jbankfin.2011.07.006 |
| format | Article |
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| identifier | ISSN: 0378-4266 |
| ispartof | Journal of banking & finance, 2012-01, Vol.36 (1), p.239-248 |
| issn | 0378-4266 1872-6372 |
| language | eng |
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| source | ScienceDirect Journals (5 years ago - present) |
| subjects | Abnormal returns Bonds China Economic models Inflation rate Interest rates Monetary policy Monetary systems Studies Supply and demand Treasury bills Treasury bonds |
| title | Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system |
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