中美长期国债收益率关系的实证分析

Empirical analysis of the long-term government bond yields relationship of China and USA

2008年全球金融危机后,美国和中国长期国债收益率的联动性明显提高。通过格兰杰因果检验,探讨两国之间长期国债收益率变动的因果关系,得出美国是中国长期国债收益率变动的格兰杰原因,美国长期国债收益率变动对中国产生影响,但中国对美国长期国债收益率的变动并没有显著的影响。

After the global financial crisis in 2008,the United States and China＇ s long-term bond yields correlation has improved significantly. Based on the granger causality test,this paper discusses changes in long-term bond yields of causality between the two countries,the granger cause of change America＇ s long-term government bond yields changes impact on China,but the change of China to the United States long-term government bond yields no significant influence. And the bond yields for China＇ s future trend are prospected.