Yield and Volatility of BYD in Uncertain Market: Evidence from Fed’s Monetary Policy

Abstract

On March 16, 2022, the U.S. Federal Reserve Board announced that It would be the first rate increase since December 2018 and the target range for the rate of federal funds should be increased by 25 basis points, to 0.25 and 0.5%. The Federal Reserve Board of the United States announced a rise in interest rates on June 15, 2022, increasing the fed funds rate firing range to 1.5% and 1.75%, which was the Fed's biggest single rate increase since 1994. Chinese multinationals would be affected by the Federal Reserve's rate increase through the mechanisms of interest rates and currency rates, which will significantly affect the economy of China in many areas, including the automobile industry. This paper selects the well-known Chinese automobile international company BYD and intercepts its stock data as well as the Federal Reserve interest rate and uses both VAR model and ARMA-GARCH model to analyze the data, to study how the yield of Chinese companies has been affected by the Federal Reserve interest rate hike, and to provide feasible suggestions for the investors, lawmakers, and other international enterprises.