Notice of RetractionOfficial Interest Rate and Bond Excess Return in Chinese Bond Market

Notice of Retraction

After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.

We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.

The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.

The deposit and lending interest rates of commercial banks are regulated by Chinese central bank and are called official interest rates. They change only a few times during sample period from March 1995 to December 2006. Market interest rates and bond excess returns are determined by investors´ trading activities. The theoretical analysis and empirical result both reveal the great influence of the official interest rates on bond excess returns. The influence causes the deviation of the market interest rates from their theoretical level according to expectations hypothesis and so bond excess returns are mainly determined by the official rates in the early part of the sample period, but influence of official interest rates on bond excess returns becomes less in the late part of the sample period. Besides the official rates, inflation rate is another factor that has big influence on the bond excess returns.