Title: An Impossible Unity? The Effects of International Monetary Policy on Chinese Treasury Yields

Speaker: Wei Li, Shanghai University of Finance and Economics

Time: 2025/03/28 13:30-15:00

Venue: 106 Zhonghui Building

Abstract

This paper provides evidence that capital controls fail to insulate international spillovers of monetary policy shocks. Despite the limited openness of China's capital account, its Treasury yields are significantly affected by foreign monetary policy announcements and have changed constantly during the announcement windows, but barely respond to foreign non-monetary macroeconomic news announcements. Notably, Chinese yields closely track the announcement country’s counterparts during foreign monetary policy announcement windows but diverge on other days. We construct a model with imperfect information to explain the facts.