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Author :
Publisher :
ISBN 13 :
Total Pages : 6 pages
Book Rating : 4.:/5 (223 download)
Download or read book Pricing of Japanese Government Bonds written by and published by . This book was released on 2001 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Young Ho Eom
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (129 download)
Download or read book Coupon Effects and the Pricing of Japanese Government Bonds written by Young Ho Eom and published by . This book was released on 2009 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many markets, the term structure of interest rates implied by coupon Treasury bonds provides a key input for pricing and hedging interest rate-sensitive securities. Previous studies in the Japanese market, however, suggest that the prices of the Japanese Government Bonds (JGB's) were significantly affected modelling in the Japanese context bases on interest rate factors could leave to misleading results. Since the previous studies, there have been significant structural changes in the regulatory environment, and in the liquidity of the Japanese bond market in the 1990's. In this light, we examine the effect of these changes on the JGB prices during the period between 1990 and 1996, by analyzing the term structure of interest rates in the JGB market over time. Specifically, we use the B-spline method to fit the term structure of interest rates using weekly prices of quot;non-benchmarkquot; ten-year JGB's. We also use a non-linear econometric model to examine the significance of the quot;couponquot; effects, which are the results of regulatory, accounting and liquidity factors.
Author : Young Ho Eom
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 ( download)
Download or read book Coupon Effects and the Pricing of Japanese Government Bonds written by Young Ho Eom and published by . This book was released on 1998 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Waikei W. Lam
Publisher : International Monetary Fund
ISBN 13 : 1463927266
Total Pages : 19 pages
Book Rating : 4.4/5 (639 download)
Download or read book Assessing the Risks to the Japanese Government Bond (JGB) Market written by Mr.Waikei W. Lam and published by International Monetary Fund. This book was released on 2011-12-01 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the rise in public debt, Japanese Government Bond (JGB) yields have remained low and stable, supported by steady inflows from the household and corporate sectors, high domestic ownership of JGBs, and safe-haven flows from heightened sovereign risks in Europe. Over time, however, the market's capacity to absorb new debt will likely shrink as population ages and risk appetite recovers. In the short term, a decline in fund supply from the corporate sector, where financial surpluses are abnormally high, and spillovers from global financial distress could push up JGB yields. Fiscal reforms to reduce public debt more quickly and lengthen the maturity of government bonds will help limit these risks.
Author : Nobuyuki Oda
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (318 download)
Download or read book A Note on the Estimation of Japanese Government Bond Yield Curves written by Nobuyuki Oda and published by . This book was released on 1996 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Takashi Nakayama
Publisher :
ISBN 13 :
Total Pages : 6 pages
Book Rating : 4.:/5 (224 download)
Download or read book Price Developments of Japanese Government Bonds in 2003 written by Takashi Nakayama and published by . This book was released on 2004 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Takeo Hoshi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (86 download)
Download or read book Defying Gravity written by Takeo Hoshi and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent academic papers have shown that the Japanese sovereign debt situation is not sustainable. The puzzle is that the bond rate has remained low and stable. Some suggest that the low yield can be explained by domestic residents' willingness to hold Japanese government bonds (JGBs) despite its low return, and that as long as domestic residents remain home-biased, the JGBs are sustainable. About 95% of JGBs are currently owned by domestic residents. This paper argues that even with such dominance of domestic investors, if the amount of government debt breaches the ceiling imposed by the domestic private sector financial assets, the JGB rates can rapidly rise and the Japanese government can face difficulty rolling over the existing debt. A simulation is conducted on future paths of household saving and fiscal situations to show that the ceiling would be breached in the next 10 years or so without a drastic fiscal consolidation. This paper also shows that the government debt can be kept under the ceiling with sufficiently large tax increases. The JGB yields can rise even before the ceiling is hit, if the expectation of such drastic fiscal consolidation disappears. This paper points out several possible triggers for such a change in expectation. However, downgrading of JGBs by credit rating agencies is not likely to be a trigger, since past downgrades have not produced any change in the JGB yield. If and when the JGB rates rapidly rise, the Japanese financial institutions that hold a large amount of JGBs will sustain losses and the economy will suffer from fiscal austerity, financial instability, and inflation.
Author : Mr.Fei Han
Publisher : International Monetary Fund
ISBN 13 : 1484353676
Total Pages : 43 pages
Book Rating : 4.4/5 (843 download)
Download or read book Scarcity Effects of Quantitative Easing on Market Liquidity: Evidence from the Japanese Government Bond Market written by Mr.Fei Han and published by International Monetary Fund. This book was released on 2018-05-09 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central bank’s holdings of certain securities leads to a scarcity of those securities and hence higher search costs in the market. Using security-level data from the Japanese government bond (JGB) market, this paper finds evidence of the scarcity (flow) effects of the Bank of Japan (BOJ)’s JGB purchases on market liquidity. Moreover, we also find evidence that such scarcity effects could dominate other effects when the share of the BOJ’s holdings exceeds certain thresholds, suggesting that the flow effects may also depend on the stock.
Author : John Y. Campbell
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (318 download)
Download or read book Monetary Policy and the Term Structure of Interest Rates in Japan written by John Y. Campbell and published by . This book was released on 1991 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 146 pages
Book Rating : 4.:/5 (1 download)
Download or read book Guide to Japanese Government Bond written by and published by . This book was released on 2004 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas J. Urich
Publisher :
ISBN 13 :
Total Pages : 114 pages
Book Rating : 4.3/5 (512 download)
Download or read book U.K., German and Japanese Government Bond Markets written by Thomas J. Urich and published by . This book was released on 1991 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tanweer Akram
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (13 download)
Download or read book Understanding Long-Term Japanese Government Bonds' Low Nominal Yields written by Tanweer Akram and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the past two decades chronic fiscal deficits have led to elevated and rising ratios of government debt to nominal GDP in Japan. Nevertheless long-term Japanese government bonds' (JGBs) nominal yields initially declined and since then have stayed remarkably low and stable. This is contrary to the received wisdom of the existing literature which holds that higher government deficits and indebtedness shall exert upward pressures on nominal yields. This paper examines the relationship between JGBs' nominal yields and short-term interest rates and other factors, such as low inflation and persistent deflationary pressures and tepid growth. It is also argued that Japan has monetary sovereignty, which gives the Government of Japan the ability to service its debt and enables the Bank of Japan (BOJ) to keep JGBs' nominal yields low by ensuring that short-term interest rates are low and by using various other tools of monetary policy. The argument that short-term interest rates and monetary policy are the primarily drivers of long-term interest rates follows Keynes's (1930) insights.
Author : International Monetary Fund. Asia and Pacific Dept
Publisher : International Monetary Fund
ISBN 13 : 1484316908
Total Pages : 61 pages
Book Rating : 4.4/5 (843 download)
Download or read book Japan written by International Monetary Fund. Asia and Pacific Dept and published by International Monetary Fund. This book was released on 2013-08-05 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Selected Issues paper examines implications for long-term bond yields in case of Japan. The analysis finds that so far, upward pressure on interest rates from high public debt has been offset by domestic factors, including a stable investor base with a preference for safe assets. As these effects could decline with population aging, yields could rise unless reforms are implemented to stimulate growth and reduce the public debt-to-GDP ratio. In such a scenario, long-term Japanese government bond rates would remain relatively low and stable. The paper also analyzes to what extent rising health care spending poses a fiscal risk to Japan’s economy.
Author : Frank J. Fabozzi
Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 560 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Japanese Bond Markets written by Frank J. Fabozzi and published by Irwin Professional Publishing. This book was released on 1990 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Toshiaki Watanabe
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (877 download)
Download or read book Interday Price Volatility and Trading Volume written by Toshiaki Watanabe and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shang-Wu Yu
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)
Download or read book Quality Options and Hedging in Japanese Government Bond Futures Markets written by Shang-Wu Yu and published by . This book was released on 1994 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marti G. Subrahmanyam
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps written by Marti G. Subrahmanyam and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990-96. We obtain measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze the relationship between the swap spreads and credit risk variables.
