S1 Dataset -

This paper models the dynamics of Chinese yuan–denominated long-term interest rate swap yields. It shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as core inflation, the growth of industrial production, the percent change in the equity price index, and the percentage change in the Chinese yuan exchange rate. The autoregressive distributed lag approach is applied to model the dynamics of the long-term swap yield. The findings reinforce and extend John Maynard Keynes’s conjecture that in advanced countries, as well as emerging market economies such as China, the central bank’s actions have a decisive role in setting the long-term interest rate on government bonds and over-the-counter financial instruments, such as swaps.

本文针对以人民币计价的长期利率互换收益率的动态变化进行建模分析。研究表明，在控制核心通胀、工业生产增速、股指涨跌幅、人民币汇率涨跌幅等各类宏观金融变量后，短期利率对长期互换收益率具有决定性影响。本文采用自回归分布滞后（autoregressive distributed lag, ARDL）方法对长期互换收益率的动态变化进行建模。本研究结论进一步强化并拓展了约翰·梅纳德·凯恩斯的相关猜想：无论在发达国家还是中国等新兴市场经济体，央行的政策行动均对政府债券及互换等场外交易（over-the-counter）金融工具的长期利率定价发挥着决定性作用。