所属栏目:资本市场/资产定价

Why are Excess Returns on China’s Treasury Bonds so Predictable?
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发布日期:2010年04月08日 上次修订日期:2010年04月08日

摘要

It is well documented that bond excess returns are time-varying and that they can be explained by predetermined risk factors. This paper builds a theoretical model to forecast excess returns on treasury bonds in the context of China’s unique monetary system. Empirical evidence shows that bond excess returns in China are highly predictable when compared to those in developed markets. Further investigation suggests that the predicted components are primarily driven by the inflexible term structures of official interest rates set by China’s central bank.
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Longzhen Fan; Shu Tian; Chu Zhang Why are Excess Returns on China’s Treasury Bonds so Predictable? (2010年04月08日) https://www.cfrn.com.cn/lw/13141

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