중국경제정책 불확실성의 장기국채 수익률에 대한 영향 분석

Abstract

The purpose of this study is to analyze how the increase in economic uncertainty affects the flow of funds in the financial market from the perspective of the current time when Chinese economic uncertainty is growing again. More specifically, this study aims to analyze the relationship between treasury bond yield and economic policy uncertainty to assess whether the uncertainty has an impact on the long-term treasury bond through the preference for safe assets. Two possibilities exist. The first is that, with the growth and development of the Chinese financial economy, it has developed substitutability between risky assets represented by stocks, especially long-term treasury stocks and safe assets represented by treasury bonds. The second is that, although China’s bond market is world’s the second or third largest in terms of issued bonds, the transaction volume falls short of this, and participants are limited, resulting in insufficient market supply and transaction with prices not fully reflecting such information. Therefore, this study aims to verify which of these two possibilities is correct through empirical analysis. This study confirms that, although the Chinese bond market is still immature in terms of trading volume and market participation, long-term government bond yields respond due to the preferences for safe assets caused by the increasing economic uncertainty.