标题：Official interest rates and bond excess returns

汇报人：Longzhen Fan (FudanUniversity)

功夫：11月17日（周二）10:00-11:30am

地址：拉斯维加斯9888新楼217教室

提要：People usually think asset excess returns are caused by risks or irrational behavior of investors. In this paper, we show bond excess returns mainly come from effect of monetary policy on bond markets. InChina, the central bank sets different terms of deposit interest rates and lending interest rates, long-term rates are always higher than short-term interest rates, and slope of the yield curve hardly changes. This results that long-term rate has almost the same forecastability than that of short-term interest rate. This is very different to western economies where long-term rates are mainly determined by expectations, and change of expectations is unforecastable. We show both theoretically and empirically that bond market rates are heavily influenced by the official interest rates. We construct several factors based on the idea and find that about 50% of quarterly bond excess returns can be forecasted. So the monetary policy causes a much higher predictability of bond excess returns inChina.