Journal of Finance and Bank Management

Analysis of Co-Movement of the Chinese and US Treasury Yields: Empirical Evidence from T-Bond Markets During 2002-2015
DING Huiguan, Shiyou Li

Abstract
The volatility of Treasury yields has an important influence on financial asset pricing, the effectiveness of monetary policy, and financial market stability for a country. Based on the sample data of Treasury yields in the Chinese and US markets during 2002-2015, this paper conducts comparison study on the co-movement of the Chinese and US Treasury yields and their influence factors. The study found that in 2002-2008, there is a low correlation between the Chinese and US Treasury yields; after the 2008 global financial crisis, the co-movement between them is obviously improved, and the US Treasury yield has a positive effect on that of China; after 2012, the interest rates of China and the United States have entered a new stage of reciprocal causation. The result explains the reason for the divergence of the US Treasury yield from the Dollar index since the speculation of Fed rate hike began to rise in 2013. The weak global economy and the ease monetary policy of other major economies make the US Treasury yield run in a low level.

Full Text: PDF     DOI: 10.15640/jfbm.v4n2a2