Abstract: With rapid development of the wealth-management product (WMP) market, the yields of WMPs began to demonstrate a role of price discovery. In particular, the yields of WMPs affect the pricing of deposits and bonds through the substitution between financial products. In addition, under the policy rate-based new monetary policy framework in the future, the yields of WMPs will be subject to the influence of monetary policy transmission. Therefore, a yield curve of WMPs should be part of our yield curve system. In this paper, we develop a WMP yield curve using the cubic smoothing spline interpolation method, and conduct some quantitative analyses of the economic information contained in the yield curve. Our preliminary findings include: the term structure of WMP yield curve is largely complete; the yield curve responds to monetary policy shocks; the correlation between the yield curve and macroeconomic variables suggests that the former can be used as a predictor of economic preformance.

Full report ：Constructing and Analyzing the Yield Curve of China's Wealth Management Products.pdf