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The Effects of Foreign Participation on Chinese Government Bond Yields

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  • Liu Kerry

    (Independent Scholar, Australia)

Abstract

Research background Since 2015, when China opened up its onshore bond markets more substantially, foreign investors have significantly increased their investments in Chinese local currency bonds. Purpose This study aims to examine the effects of foreign participation on Chinese government bond yields. Research methodology This study adopts a robust least squares model and a cointegration model. Results (Greater) foreign participation can significantly decrease 10-year Chinese government bond yields. Novelty There are almost no studies of the benefits and costs of foreign participation in Chinese bond markets. The conclusion drawn from this study is the first of its kind in the academic literature on the Chinese market, and contributes to knowledge about foreign participation in local currency bond markets.

Suggested Citation

  • Liu Kerry, 2023. "The Effects of Foreign Participation on Chinese Government Bond Yields," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 222-240, December.
    • Handle: RePEc:vrs:foeste:v:23:y:2023:i:2:p:222-240:n:11
    DOI: 10.2478/foli-2023-0028
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Chinese government bonds; yields; foreign participation; foreign investment; robust least squares model; cointegration;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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