Longzhen Fan

Department of Finance, School of Management, Fudan University

SCHOLARLY PAPERS

5

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560

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Scholarly Papers (5)

Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market

Number of pages: 37 Posted: 12 Mar 2012 Last Revised: 27 Mar 2013
Longzhen Fan, Canlin Li and Guofu Zhou
Department of Finance, School of Management, Fudan University, Board of Governors of the Federal Reserve System and Washington University in St. Louis - John M. Olin Business School
Downloads 219 (151,962)

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Preferred-habitat hypothesis, Market segmentation, Ocial interest rates, Bond demand, Affine term structure model

Preferred-Habitat and Demand Factors in the Term Structure: Evidence from the Chinese Bond Market

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 37 Posted: 02 Oct 2012 Last Revised: 26 Mar 2013
Longzhen Fan, Canlin Li and Guofu Zhou
Department of Finance, School of Management, Fudan University, Board of Governors of the Federal Reserve System and Washington University in St. Louis - John M. Olin Business School
Downloads 58 (399,410)

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the preferred-habitat hypothesis, market segmentation, official interest rates, bond demand, affine term structure model

2.

Why are Excess Returns on China’s Treasury Bonds So Predictable?

Number of pages: 48 Posted: 03 Apr 2010 Last Revised: 15 Oct 2011
Longzhen Fan, Shu Tian and Chu Zhang
Department of Finance, School of Management, Fudan University, Asian Development Bank and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 174 (187,879)

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bond excess return, official rate, inflation rate, risk premiums

3.

What Drive Market Interest Rates in China?

Number of pages: 30 Posted: 12 Feb 2013
Longzhen Fan and Canlin Li
Department of Finance, School of Management, Fudan University and Board of Governors of the Federal Reserve System
Downloads 109 (271,847)

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macro finance, interest rates, monetary policy, demand effect

4.

What Moves Bond Yields in China?

China Economic Research Center Working Paper Series No. 2009-9
Posted: 22 Jun 2009
Longzhen Fan and Anders C. Johansson
Department of Finance, School of Management, Fudan University and Stockholm School of Economics

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China, yield curve, macroeconomic factors, monetary policy

5.

China's Official Rates and Bond Yields

China Economic Research Center Working Paper Series No. 2009-3
Posted: 24 May 2009
Longzhen Fan and Anders C. Johansson
Department of Finance, School of Management, Fudan University and Stockholm School of Economics

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China, deposit rate, bond yields, jump process, affine model