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Analysis Of Factors Affecting China's Bond Market Yields

Posted on:2010-07-23Degree:MasterType:Thesis
Country:ChinaCandidate:L ZhangFull Text:PDF
GTID:2199360275971314Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
China bond market underwent great development in the past 20 years, and becomes one of the essential parts of China capital market. Recently the financial crisis which started from 2007 deeply affects the economy of China. Bonds are more attractive than more risky securities. So the research on yield of bond market is becoming more meaningful.This thesis focuses on the relationship between main economic indices and the interbank bond market bond yield in the time area between Mar. 2006 and Feb. 2009 and in two sub time areas. Firstly, the thesis applies factor analysis method in analyzing yield of bond of different maturity years. Then, by using error correction model and vector autoregression model we find that bond market and stock market are closely related, and this relation is more tight in financial crisis.
Keywords/Search Tags:Interbank Bond Market, Factor Analysis, Error Correction Model, Vector Autoregression model
PDF Full Text Request
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