Interest rate term structure and the Chinese fiscal policy: a mixed frequency term structure approach

References

• Afonso, A. 2010. “Long-Term Government Bond Yields and Economic Forecasts: Evidence for the EU.” Applied Economics Letters 17 (2): 105–109. doi:10.1080/13504850903049627.
   Web of Science ®Google Scholar
• Afonso, A., and M. M. F. Martins. 2012. “Level, Slope, Curvature of the Sovereign Yield Curve, and Fiscal Behaviour.” Journal of Banking & Finance 36 (6): 1789–1807. doi:10.1016/j.jbankfin.2012.02.004.
   Web of Science ®Google Scholar
• Afonso, A., and C. Rault. 2010. Long-Run Determinants of Sovereign Yields. CESIfo Working Paper 3155.
   Google Scholar
• Ang, A., G. Bekaert, and M. Wei. 2008. “The Term Structure of Real Rates and Expected Inflation.” The Journal of Finance 63 (2): 797–849. doi:10.1111/j.1540-6261.2008.01332.x.
   Web of Science ®Google Scholar
• Ang, A., J. Boivin, S. Dong, and R. Loo-Kung. 2011. “Monetary Policy Shifts and the Term Structure.” The Review of Economic Studies 78 (2): 429–457. doi:10.1093/restud/rdq006.
   Web of Science ®Google Scholar
• Ang, A., and M. Piazzesi. 2003. “A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables.” Journal of Monetary Economics 50 (4): 745–787. doi:10.1016/S0304-3932(03)00032-1.
   Web of Science ®Google Scholar
• Auclert, A. 2019. “Monetary Policy and the Redistribution Channel.” American Economic Review 109 (6): 2333–2367. doi:10.1257/aer.20160137.
   Web of Science ®Google Scholar
• Bikbov, R., and M. Chernov. 2013. “Monetary Policy Regimes and the Term Structure of Interest Rates.” Journal of Econometrics 174 (1): 27–43. doi:10.1016/j.jeconom.2013.01.002.
   Web of Science ®Google Scholar
• Borağan Aruoba, S. 2020. “Term Structures of Inflation Expectations and Real Interest Rates.” Journal of Business & Economic Statistics 38 (3): 542–521. doi:10.1080/07350015.2018.1529599.
   Web of Science ®Google Scholar
• Bernoth, K., J. von Hagen, and L. Schuknecht. 2006. Sovereign Risk Premiums in the European Government Bond Market. GESY Discussion Paper No. 151.
   Google Scholar
• Canzoneri, M. B., R. E. Cumby, and B. Diba. 2002. “Should the European Central Bank and the Federal Reserve Be Concerned about Fiscal Policy?” Rethinking Stabilization Policy 29–31.
   Google Scholar
• Dai, Q., and T. Philippon. 2005. Fiscal Policy and the Term Structure of Interest Rates. (No. w11574) National Bureau of Economic Research.
   Google Scholar
• Diebold, F. X., and C. Li. 2006. “Forecasting the Term Structure of Government Bond Yields.” Journal of Econometrics 130 (2): 337–364. doi:10.1016/j.jeconom.2005.03.005.
   Web of Science ®Google Scholar
• Diebold, F. X., and R. S. Mariano. 1995. “Comparing Predictive Accuracy.” Journal of Business & Economic Statistics 13 (3): 253–263. doi:10.2307/1392185.
   Web of Science ®Google Scholar
• Diebold, F. X., G. D. Rudebusch, and S. B. Aruoba. 2006. “The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach.” Journal of Econometrics 131 (1–2): 309–338. doi:10.1016/j.jeconom.2005.01.011.
   Web of Science ®Google Scholar
• Favero, C. A., L. Niu, and L. Sala. 2012. “Term Structure Forecasting: No-Arbitrage Restrictions versus Large Information Set.” Journal of Forecasting 31 (2): 124–156. doi:10.1002/for.1181.
   Web of Science ®Google Scholar
• Gürkaynak, R. S., B. Sack, and J. H. Wright. 2010. “The TIPS Yield Curve and Inflation Compensation.” American Economic Journal: Macroeconomics 2 (1): 70–92. doi:10.1257/mac.2.1.70.
   Web of Science ®Google Scholar
• Haugh, D., P. Ollivaud, and D. Turner. 2009. What Drives Sovereign Risk Premiums. OECD Economics Department Working Paper 718.
   Google Scholar
• Hauner, D., and M. Kumar. 2011. “Interest Rates and Budget Deficits Revisited-Evidence from the G7 Countries.” Applied Economics 43 (12): 1463–1475. doi:10.1080/00036840802600574.
   Web of Science ®Google Scholar
• Huse, C. 2011. “Term Structure Modelling with Observable State Variables.” Journal of Banking & Finance 35 (12): 3240–3252. doi:10.1016/j.jbankfin.2011.05.004.
   Web of Science ®Google Scholar
• Jardet, C., A. Monfort, and F. Pegoraro. 2013. “No-Arbitrage Near-Cointegrated VAR (p) Term Structure Models, Term Premia and GDP Growth.” Journal of Banking & Finance 37 (2): 389–402. doi:10.1016/j.jbankfin.2012.09.003.
   Web of Science ®Google Scholar
• Joslin, S., M. Priebsch, and K. J. Singleton. 2014. “Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks.” The Journal of Finance 69 (3): 1197–1233. doi:10.1111/jofi.12131.
   Web of Science ®Google Scholar
• Kung, H. 2015. “Macroeconomic Linkages between Monetary Policy and the Term Structure of Interest Rates.” Journal of Financial Economics 115 (1): 42–57. doi:10.1016/j.jfineco.2014.09.006.
   Web of Science ®Google Scholar
• Laubach, T. 2009. “New Evidence on the Interest Rate Effects of Budget Deficits and Debt.” Journal of the European Economic Association 7 (4): 858–885. doi:10.1162/JEEA.2009.7.4.858.
   Web of Science ®Google Scholar
• Marsal, A., L. Kaszab, and R. Horvath. 2016. Fiscal Policy and the Term Structure of Interest Rates in a DSGE Model. FinMaP-Working Paper.
   Google Scholar
• Mariano, R. S., and Y. Murasawa. 2003. “A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series.” Journal of Applied Econometrics 18 (4): 427–443. doi:10.1002/jae.695.
   Web of Science ®Google Scholar
• Nelson, C., and A. Siegel. 1987. “Parsimonious Modelling of Yield Curve.” The Journal of Business 60 (4): 473–489. doi:10.1086/296409.
   Web of Science ®Google Scholar
• Nickel, C., P. Rother, and J. Rülke. 2009. Fiscal Variables and Bond Spreads-Evidence from Eastern European Countries and Turkey. European Central Bank Working Paper 1152.
   Google Scholar
• Paccagnini, A. 2016. “The Macroeconomic Determinants of the US Term Structure during the Great Moderation.” Economic Modelling 52: 216–225. doi:10.1016/j.econmod.2014.11.013.
   Web of Science ®Google Scholar
• Rogers, J. H., C. Scotti, and J. H. Wright. 2018. “Unconventional Monetary Policy and International Risk Premia.” Journal of Money, Credit and Banking 50 (8): 1827–1850. doi:10.1111/jmcb.12511.
   Web of Science ®Google Scholar
• Rudebusch, G., and T. Wu. 2003. “A No-Arbitrage Model of the Term Structure and the Macroeconomy.” manuscript, Federal Reserve Bank of San Francisco.
   Google Scholar
• Rudebusch, G. D., and T. Wu. 2008. “A Macro‐Finance Model of the Term Structure, Monetary Policy and the Economy.” The Economic Journal 118 (530): 906–926. doi:10.1111/j.1468-0297.2008.02155.x.
   Web of Science ®Google Scholar
• Schorfheide, F., and D. Song. 2015. “Real-Time Forecasting with a Mixed-Frequency VAR.” Journal of Business & Economic Statistics 33 (3): 366–380. doi:10.1080/07350015.2014.954707.
   Web of Science ®Google Scholar
• Schuknecht, L., J. von Hagen, and G. Wolswijk. 2010. Government Bond Risk Premiumsin the EU Revisited –The Impact of the Financial Crisis. European Central Bank Working Paper 1152.
   Google Scholar
• Sgherri, S., and E. Zoli. 2009. Euro Area Sovereign Risk During the Crisis. International Monetary Fund Working Paper 09/222.
   Google Scholar
• Shang, Y., and T. Zheng. 2018. “Fitting and Forecasting Yield Curves with a Mixed-Frequency Affine Model: Evidence from China.” Economic Modelling 68: 145–154. doi:10.1016/j.econmod.2017.07.002.
   Web of Science ®Google Scholar
• Ulrich, M. 2013. “Inflation Ambiguity and the Term Structure of US Government Bonds.” Journal of Monetary Economics 60 (2): 295–309. doi:10.1016/j.jmoneco.2012.10.015.
   Web of Science ®Google Scholar
• Wright, J. H. 2011. “Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset.” American Economic Review 101 (4): 1514–1534. doi:10.1257/aer.101.4.1514.
   Web of Science ®Google Scholar
• Yan, Y., and J. Guo. 2018. “The Sovereign Yield Curve and Fiscal Behaviour in China.” Pacific Economic Review 23 (2): 271–295. doi:10.1111/1468-0106.12159.
   Web of Science ®Google Scholar