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Report
The Microstructure of China's Government Bond Market
Although China now has one of the largest government bond markets in the world, the market has received relatively little attention and analysis. We describe the history and structure of the market and assess its functioning. We find that trading in individual bonds was historically sparse but has increased markedly in recent years. We find also that certain announcements of macroeconomic news, such as China?s producer price index (PPI) and manufacturing purchasing managers? index (PMI), have significant effects on yields, even when such yields are measured at a daily level. Despite the ...
Report
Forecasting through the rear-view mirror: data revisions and bond return predictability
Real-time macroeconomic data reflect the information available to market participants, whereas final data?containing revisions and released with a delay?overstate the information set available to them. We document that the in-sample and out-of-sample Treasury return predictability is significantly diminished when real-time as opposed to revised macroeconomic data are used. In fact, much of the predictive information in macroeconomic time series is due to the data revision and publication lag components.