With the gradual liberalization of the Chinese financial system, the interbank bond market is playing an increasing role in macro management, fund allocation and risk management. The objective of this paper is to help understanding the mechanisms and the efficiency of monetary policy transmission in China via the management of expectations reflected in the term structure of interest rates. However, the conduct of monetary policy significantly differs from the one in developed countries, in its use of a mixture of price- and quantity-based instruments. The transmission mechanisms are quantified through an EGARCH model focusing on the recent global financial crisis. Indeed, the 2006-2011 period allows us to evaluate how changes in the monetary policy stance transmit across the yield curve according to the business cycle. Results show that bond yields are most sensitive to changes in the benchmark deposit interest rate, also respond to changes in the announced reserve requirements, but are not particularly reactive to open market operations. However, results show differences in the ability of each instrument to affect the term structure of interest rates, depending on the monetary policy stance and the macroeconomic situation in China.