An Empirical Analysis of the Impact of Interest Rate Rise on the Treasury Markets in the US and China

摘要

This study empirically examines the impact of interest rate rise on the treasury markets based on the Expectations Hypothesis by comparing the yields in U.S.A and China. It is shown that there are significantly differences between the treasury markets in America and China when interest rate rising and the Chinese treasury market is more sensitive and over-reactive to the rises of interest rate.