This paper models the dynamics of long-term Chinese government bond (CGB) yields based on an autoregressive distributive lag (ARDL) approach. It examines whether the current short-term interest rate has a decisive influence on long-term CGB yields, after controlling for various macroeconomic variables. The estimated models all show that the current short-term interest rate has an economically and statistically significant effect on the long-term CGB yields of various maturity tenors. John Maynard Keynes claimed that a central bank’s policy rate exerts an important influence over long-term government bond yields through the current short-term interest rate. The paper’s findings evince that Keynes’s claim holds for China, implying that the actions of the People’s Bank of China(PBoC)are a key driver of the long-term CGB yields.