중국 국채 수익률 기간구조와 영향요인 분석

This study focuses on the Chinese government bond market, which is the starting point of all financial structures and policies of the country. For this purpose, the study makes estimation on the yield curve of Chinese government bonds and analysis on the factors affecting the curve. Understanding the Chinese government bond market structure means the identification of key variables for investment in the Chinese bond market. Nelson-Siegel term structure model is used to estimate the key parameters of the model and to analyse the yield curve formation based on the daily China treasury bond yields from 2002 to 2017. Estimation results show the parameter estimates of the level and slope in the NS yield curve models are statistically significant. SUR estimation shows that the yield curve of China treasury bond is not significantly affected by real sector or external variables. In contrast, the effects of the central bank interest rate, domestic inflation rate, and monetary growth rate, which directly affect domestic nominal interest rates, were highly statistically significant. This can be interpreted as a result of the low liquidity of the China treasury bond market and the weak transmission mechanisms of the market with other sectors of the economy.