Impact Of CCTV Tone Regarding COVID-19 On China’s Bond Yields

The COVID-19 outbreak in early 2020 is the most severe public health emergency in modern China.Since the outbreak of COVID-19,domestic and foreign scholars have conducted a multifaceted study of its impact on financial markets.In fighting the epidemic and maintaining the stability of the financial market,the central government has played a leading role.It not only stabilized and reduced the impact of the epidemic through administrative actions,fiscal policies and monetary policies,but also stabilized people’s emotions through effective public expectation management.Among them,news reports are one of the main channels of public expectation management,In particular,CCTV news,a national media dominated and monitored by the state.Based on the COVID-19 epidemic prevention and control and the specific institutional environment in China,this paper explores the strategic reports of CCTV news during the epidemic and the governance efficiency of managing the bond market risks,and further explore the ways and mechanisms of the state media’s impact on the bond market during the COVID-19 crisis.Through the nonlinear autoregressive distributed lag(NARDL)model,this paper studies the nonlinear and asymmetric relationship between state media tone on China’s bond market during the COVID-19 crisis.At the same time,by combing the classification system of China’s bond market,this paper further studies the impact of national media tone on different types of bond markets,bond markets with different maturities and bond markets with different credit ratings.It is found that there is a long-run cointegration but asymmetric relationship between the tone change of the state media and the overall bond market returns,and the short-run analysis shows that the negative impact of the national media is stronger than that of the positive impact in the same period.The analysis of the results of the sectoral bond market of different bond types shows that among the government supported bonds(treasury bonds,municipal bonds,policy market bonds),the long-term and short-term market response to the tone change of the state media is stronger.For bonds with different credit ratings,we find that AAA credit rated bonds have no significant long-term response to the tone change of national media.Finally,for bonds with different maturities,this paper finds that long-term treasury bonds are not sensitive to the change of tone of state media in the long and short term.With the development of China’s financial market and the promotion of market-oriented reform,and the increasing correlation between the real economy and finance,maintaining financial stability and smooth operation of the capital market has become more and more important,especially in the environment of severe public crises such as COVID-19.This study enriches the research on the impact of COVID-19 on the capital market and puts forward new insights into the risk management and control of capital market under the crisis.At the same time,by analyzing the experience and lessons of the government in guiding the public sentiment and stabilizing the capital market during the fight against COVID-19,it helps to carry out relevant work for the government and regulatory authorities,which has both theoretical and practical significance.