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首页> 外文期刊>Journal of International Money and Finance >Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve
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Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve

机译：在长城的回声：QE公告对中国产量曲线的溢出效应

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摘要

This paper examines the spillover effects of announcements on quantitative easing (QE) conducted in developed economies on the Chinese Treasury yield curve. In spite of China's firewall of cross-boarder capital control, we find that the US QE announcements move the Chinese yield curve immediately and significantly, through the channels of signaling and portfolio balancing. The results are robust across a variety of event analysis methods using reduced-form or structural models. Using the heteroskedasticity assumption for shock identification in an arbitrage-free term structure model, it was identified that the impact of US QE on Chinese yields was comparable, in size and significance, to China's own monetary policy shocks. (C) 2020 Elsevier Ltd. All rights reserved.
机译：本文探讨了发达经济体对中国国债收益曲线进行的量化宽松（QE）的溢出效应。尽管中国防火墙的交叉寄宿生资本控制，我们发现美国QE公告立即通过信令和投资组合平衡的渠道立即移动了中国产量曲线。结果在使用缩小形式或结构模型的各种事件分析方法中稳健。利用异源性假设在自由术语结构模型中进行冲击识别，确定了美国QE对中国产量的影响与中国自身货币政策冲击的规模和意义相当。 （c）2020 elestvier有限公司保留所有权利。

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