Signalling and Portfolio Balance Effects of QE Announcements on China’s Yield Curve

Project Start:02/2016
Researchers:Mucai Lin, LinLin Niu
Category: Financial Markets, Macro Finance
Funded by:Volkswagen Stiftung

Although China still has capital market controls accompanying the managed floating exchange rate, China's financial market has been more and more integrated to the world financial market through information spillovers and steady (though restricted) capital flows over the border. The US Quantitative Easing has been found to spill over to the rest of the world but little is known on its impact on China. This project focuses on the reaction of the Chinese yield curve to US Quantitative Easing, using event study as well as VAR analysis.