An Empirical Analysis of the Impact Factors of China's Long and Short Term Treasury Bond Term Spreads and CPI

DOI: https://doi.org/10.62517/jse.202511408

Author(s)

Yifei Xiong*

Affiliation(s)

North China University of Technology, Shijingshan District, Beijing, China *Corresponding Author

Abstract

This paper selects the monthly CPI data from January 2014 to July 2024 and the maturity yield spreads of 10-year and 3-month treasury bonds, and empirically analyses the correlation between the two and the influencing factors through regression models.The results show that there is a significant positive linear relationship between CPI and the maturity spread of short- and long-term government bonds, with the maturity spread increasing by 0.070 units for every 1-unit increase in CPI, and the relationship is stable and reliable after multiple tests.This conclusion can provide reference for macroeconomic analysis, monetary policy making and investors' decision-making, and help judge the economic cycle, adjust policy direction and optimise asset allocation.

Keywords

Long and Short Term Treasury Bonds; Term Spreads; CPI; Economic Linkages

References

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