中国债券市场债券回报率及宏观经济变量关系的实证分析.pdf

200433 lzfan@fudan.edu.cn czhang@ust.hk 1997 8 2005 12 Empirical study on the influence of macro economic variables on bond excess returns in Chinese bond market Longzhen Fan Chu Zhang School of Management, Department of Finance Fudan University, Shanghai 200433 Hong Kong University of Science and Technology, Clear Bay, Hong Kong Abstract: Using data from August 1997 to December 2005, we investigate the role of macroeconomic variables in determining bond yields and excess returns in the China’ Treasury bond market. We find that bond yields are influenced by official interest rate, the CPI inflation rate, the growth rate of real consumption, and the growth rate of money supply M1. These macroeconomic variables also have impact on bond excess returns. The bond excess returns tend to increase with the official interest rate level and the inflation rate, and tend to decrease with the growth rate of M1. We also find that the impact of the macroeconomic variables varies with bond duration. Key words official interest rates; bond excess returns; CPI; M1; real consumption; duration 0 Fama, Bliss (1987) Campbell, Shiller (1991) Brandt, Wang (2003) Balduzzi, Bertola,