【主讲】Linlin Niu 副教授 (厦门大学)
【主题】A Flattening Power on the US Yield Curve: The RMB Appreciation Pressure
【时间】2013年11月4日 (周一) 15：30-17：00
【地点】上海财经大学经济学院楼801室
【语言】英文
【摘要】We study the effects of the appreciation pressure of RMB, the Chinese yuan (CNY), versus the US dollar on the US Treasury bond market within an arbitrage-free Nelson-Siegel term structure framework. Cross-sectionally, the US yield curve can be summarized by three latent yield factors, Level, Slope and Curvature, using the Nelson- Siegel interpolation. Dynamically, the yield factors interact with an exchange rate risk factor, the expectation on RMB appreciation re- vealed from the CNY non-deliverable forward contracts. We find that the RMB appreciation pressure has a significant áattening power on the US yield curve since the end of 2003, causing the yield curve level to fall and its slope to rise through a substitution effect between short-term bonds and long-term bonds. The average effect on the 10-year yield is about a fall of 20 basis points, i.e., about 2 percent of increase in the zero-coupon bond price. This paper shows clear evidence that, although denoted by its domestic currency, the US sovereign bond prices are significantly affected by the exchange rate risk with China, an important economic partner.
