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Scarcity And Spotlight Effects On Term Structure
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Book Synopsis Scarcity Effects of Quantitative Easing on Market Liquidity: Evidence from the Japanese Government Bond Market by : Mr.Fei Han
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.
Book Synopsis The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area by : William Arrata
Download or read book The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area written by William Arrata and published by International Monetary Fund. This book was released on 2018-12-07 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks’ excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we explore empirically the interactions between the PSPP and repo rates. We document different channels through which asset purchases may affect them. Using proprietary data from PSPP purchases and repo transactions for specific (“special") securities, we assess the scarcity channel of PSPP and its impact on repo rates. We estimate that purchasing 1 percent of a bond outstanding is associated with a decline of its repo rate of 0.78 bps. Using an instrumental variable, we find that the full effect may be up to six times higher.
Book Synopsis What Determines U.S. Swap Spreads? by : Ádám Kóbor
Download or read book What Determines U.S. Swap Spreads? written by Ádám Kóbor and published by World Bank Publications. This book was released on 2005 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: References p. 45-47.
Book Synopsis Flow and Stock Effects of Large-Scale Treasury Purchases by : Stefania D'Amico
Download or read book Flow and Stock Effects of Large-Scale Treasury Purchases written by Stefania D'Amico and published by DIANE Publishing. This book was released on 2011-02 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a print on demand edition of a hard to find publication. Using a panel of daily CUSIP-level data, the authors study the effects of the Federal Reserve¿s program to purchase $300 billion of U.S. Treasury coupon securities announced and implemented during 2009. The authors find that each purchase operation, on average, caused a decline in yields in the sector purchased of 3.5 basis points on the days when these purchases occurred (the ¿flow effect¿ of the program). In addition, the program as a whole resulted in a persistent downward shift in the yield curve of as much as 50 basis points (the ¿stock effect¿), with the largest impact in the 10- to 15-year sector. The coefficient patterns generally support a view of segmentation or imperfect substitution within the Treasury market. Charts and tables.
Book Synopsis Government Bonds and their Investors by : Mr.Jochen R. Andritzky
Download or read book Government Bonds and their Investors written by Mr.Jochen R. Andritzky and published by International Monetary Fund. This book was released on 2012-06-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a new dataset on the composition of the investor base for government securities in the G20 advanced economies and the euro area. During the last decades, investors from abroad have increased their presence in government bond markets. The financial crisis broke this trend. Domestic financial institutions allocated a larger share of government securities in their portfolios, as Japan has done since its crisis in the 1990s. Increases in the share held by institutional investors or non-residents by 10 percentage points are associated with a reduction in yields by about 25 or 40 basis points, respectively. The data show a varied lead-lag relationship between bond yields and investor holdings. Portfolio balance estimates suggest that a change in statutory or regulatory holdings of government securities to the tune of 10 percent of the outstanding stock causes expected returns to decline by 7 to 25 basis points.
Book Synopsis German Bond Yields and Debt Supply: Is There a “Bund Premium”? by : Anne-Charlotte Paret
Download or read book German Bond Yields and Debt Supply: Is There a “Bund Premium”? written by Anne-Charlotte Paret and published by International Monetary Fund. This book was released on 2019-11-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are Bunds special? This paper estimates the “Bund premium” as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign bonds. We document a rise in the “Bund premium” in the post-crisis period. We show that there is a negative relationship of the premium with the relative supply of German sovereign bonds, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going forward, we expect German government debt supply to remain scarce, with important implications for the ECB’s monetary policy strategy.
Download or read book Scarcity written by Sendhil Mullainathan and published by Macmillan. This book was released on 2013-09-03 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: A surprising and intriguing examination of how scarcity—and our flawed responses to it—shapes our lives, our society, and our culture
Book Synopsis Handbook of Fixed-Income Securities by : Pietro Veronesi
Download or read book Handbook of Fixed-Income Securities written by Pietro Veronesi and published by John Wiley & Sons. This book was released on 2016-04-04 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape. Well organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature: • An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them • Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks’ influence on interest rates, including the recent quantitative easing experiments • Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints • The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the United States and abroad, and their sources, such as liquidity and volatility • Advanced topics, with a focus on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds • Derivatives markets, including a detailed discussion of the new regulatory landscape after the financial crisis and an introduction to no-arbitrage derivatives pricing • Further topics on derivatives pricing that cover modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints • Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, bonds, derivatives, and financial markets. Pietro Veronesi, PhD, is Roman Family Professor of Finance at the University of Chicago Booth School of Business, where he teaches Masters and PhD-level courses in fixed income, risk management, and asset pricing. Published in leading academic journals and honored by numerous awards, his research focuses on stock and bond valuation, return predictability, bubbles and crashes, and the relation between asset prices and government policies.
Author :National Academies of Sciences, Engineering, and Medicine Publisher :National Academies Press ISBN 13 :0309452961 Total Pages :583 pages Book Rating :4.3/5 (94 download)
Book Synopsis Communities in Action by : National Academies of Sciences, Engineering, and Medicine
Download or read book Communities in Action written by National Academies of Sciences, Engineering, and Medicine and published by National Academies Press. This book was released on 2017-04-27 with total page 583 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the United States, some populations suffer from far greater disparities in health than others. Those disparities are caused not only by fundamental differences in health status across segments of the population, but also because of inequities in factors that impact health status, so-called determinants of health. Only part of an individual's health status depends on his or her behavior and choice; community-wide problems like poverty, unemployment, poor education, inadequate housing, poor public transportation, interpersonal violence, and decaying neighborhoods also contribute to health inequities, as well as the historic and ongoing interplay of structures, policies, and norms that shape lives. When these factors are not optimal in a community, it does not mean they are intractable: such inequities can be mitigated by social policies that can shape health in powerful ways. Communities in Action: Pathways to Health Equity seeks to delineate the causes of and the solutions to health inequities in the United States. This report focuses on what communities can do to promote health equity, what actions are needed by the many and varied stakeholders that are part of communities or support them, as well as the root causes and structural barriers that need to be overcome.
Book Synopsis Inside and Outside Liquidity by : Bengt Holmstrom
Download or read book Inside and Outside Liquidity written by Bengt Holmstrom and published by MIT Press. This book was released on 2013-01-11 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two leading economists develop a theory explaining the demand for and supply of liquid assets. Why do financial institutions, industrial companies, and households hold low-yielding money balances, Treasury bills, and other liquid assets? When and to what extent can the state and international financial markets make up for a shortage of liquid assets, allowing agents to save and share risk more effectively? These questions are at the center of all financial crises, including the current global one. In Inside and Outside Liquidity, leading economists Bengt Holmström and Jean Tirole offer an original, unified perspective on these questions. In a slight, but important, departure from the standard theory of finance, they show how imperfect pledgeability of corporate income leads to a demand for as well as a shortage of liquidity with interesting implications for the pricing of assets, investment decisions, and liquidity management. The government has an active role to play in improving risk-sharing between consumers with limited commitment power and firms dealing with the high costs of potential liquidity shortages. In this perspective, private risk-sharing is always imperfect and may lead to financial crises that can be alleviated through government interventions.
Author :International Monetary Fund Publisher :International Monetary Fund ISBN 13 :1513573926 Total Pages :157 pages Book Rating :4.5/5 (135 download)
Book Synopsis Guidance Note For Developing Government Local Currency Bond Markets by : International Monetary Fund
Download or read book Guidance Note For Developing Government Local Currency Bond Markets written by International Monetary Fund and published by International Monetary Fund. This book was released on 2021-03-12 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: This guidance note was prepared by International Monetary Fund (IMF) and World Bank Group staff under a project undertaken with the support of grants from the Financial Sector Reform and Strengthening Initiative, (FIRST).The aim of the project was to deliver a report that provides emerging market and developing economies with guidance and a roadmap in developing their local currency bond markets (LCBMs). This note will also inform technical assistance missions in advising authorities on the formulation of policies to deepen LCBMs.
Book Synopsis Scarcity and Growth by : Harold J. Barnett
Download or read book Scarcity and Growth written by Harold J. Barnett and published by Routledge. This book was released on 2013-10-18 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this classic study, the authors assess the importance of technological change and resource substitution in support of their conclusion that resource scarcity did not increase in the Unites States during the period 1870 to 1957. Originally published in 1963
Book Synopsis U.S. Health in International Perspective by : National Research Council
Download or read book U.S. Health in International Perspective written by National Research Council and published by National Academies Press. This book was released on 2013-04-12 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: The United States is among the wealthiest nations in the world, but it is far from the healthiest. Although life expectancy and survival rates in the United States have improved dramatically over the past century, Americans live shorter lives and experience more injuries and illnesses than people in other high-income countries. The U.S. health disadvantage cannot be attributed solely to the adverse health status of racial or ethnic minorities or poor people: even highly advantaged Americans are in worse health than their counterparts in other, "peer" countries. In light of the new and growing evidence about the U.S. health disadvantage, the National Institutes of Health asked the National Research Council (NRC) and the Institute of Medicine (IOM) to convene a panel of experts to study the issue. The Panel on Understanding Cross-National Health Differences Among High-Income Countries examined whether the U.S. health disadvantage exists across the life span, considered potential explanations, and assessed the larger implications of the findings. U.S. Health in International Perspective presents detailed evidence on the issue, explores the possible explanations for the shorter and less healthy lives of Americans than those of people in comparable countries, and recommends actions by both government and nongovernment agencies and organizations to address the U.S. health disadvantage.
Author :National Academies of Sciences, Engineering, and Medicine Publisher :National Academies Press ISBN 13 :0309439124 Total Pages :171 pages Book Rating :4.3/5 (94 download)
Book Synopsis Ending Discrimination Against People with Mental and Substance Use Disorders by : National Academies of Sciences, Engineering, and Medicine
Download or read book Ending Discrimination Against People with Mental and Substance Use Disorders written by National Academies of Sciences, Engineering, and Medicine and published by National Academies Press. This book was released on 2016-09-03 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimates indicate that as many as 1 in 4 Americans will experience a mental health problem or will misuse alcohol or drugs in their lifetimes. These disorders are among the most highly stigmatized health conditions in the United States, and they remain barriers to full participation in society in areas as basic as education, housing, and employment. Improving the lives of people with mental health and substance abuse disorders has been a priority in the United States for more than 50 years. The Community Mental Health Act of 1963 is considered a major turning point in America's efforts to improve behavioral healthcare. It ushered in an era of optimism and hope and laid the groundwork for the consumer movement and new models of recovery. The consumer movement gave voice to people with mental and substance use disorders and brought their perspectives and experience into national discussions about mental health. However over the same 50-year period, positive change in American public attitudes and beliefs about mental and substance use disorders has lagged behind these advances. Stigma is a complex social phenomenon based on a relationship between an attribute and a stereotype that assigns undesirable labels, qualities, and behaviors to a person with that attribute. Labeled individuals are then socially devalued, which leads to inequality and discrimination. This report contributes to national efforts to understand and change attitudes, beliefs and behaviors that can lead to stigma and discrimination. Changing stigma in a lasting way will require coordinated efforts, which are based on the best possible evidence, supported at the national level with multiyear funding, and planned and implemented by an effective coalition of representative stakeholders. Ending Discrimination Against People with Mental and Substance Use Disorders: The Evidence for Stigma Change explores stigma and discrimination faced by individuals with mental or substance use disorders and recommends effective strategies for reducing stigma and encouraging people to seek treatment and other supportive services. It offers a set of conclusions and recommendations about successful stigma change strategies and the research needed to inform and evaluate these efforts in the United States.
Book Synopsis The Green Book by : Great Britain. Treasury
Download or read book The Green Book written by Great Britain. Treasury and published by Stationery Office. This book was released on 2003 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition incorporates revised guidance from H.M Treasury which is designed to promote efficient policy development and resource allocation across government through the use of a thorough, long-term and analytically robust approach to the appraisal and evaluation of public service projects before significant funds are committed. It is the first edition to have been aided by a consultation process in order to ensure the guidance is clearer and more closely tailored to suit the needs of users.
Book Synopsis The Financial Crisis Inquiry Report by : Financial Crisis Inquiry Commission
Download or read book The Financial Crisis Inquiry Report written by Financial Crisis Inquiry Commission and published by Cosimo, Inc.. This book was released on 2011-05-01 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Crisis Inquiry Report, published by the U.S. Government and the Financial Crisis Inquiry Commission in early 2011, is the official government report on the United States financial collapse and the review of major financial institutions that bankrupted and failed, or would have without help from the government. The commission and the report were implemented after Congress passed an act in 2009 to review and prevent fraudulent activity. The report details, among other things, the periods before, during, and after the crisis, what led up to it, and analyses of subprime mortgage lending, credit expansion and banking policies, the collapse of companies like Fannie Mae and Freddie Mac, and the federal bailouts of Lehman and AIG. It also discusses the aftermath of the fallout and our current state. This report should be of interest to anyone concerned about the financial situation in the U.S. and around the world.THE FINANCIAL CRISIS INQUIRY COMMISSION is an independent, bi-partisan, government-appointed panel of 10 people that was created to "examine the causes, domestic and global, of the current financial and economic crisis in the United States." It was established as part of the Fraud Enforcement and Recovery Act of 2009. The commission consisted of private citizens with expertise in economics and finance, banking, housing, market regulation, and consumer protection. They examined and reported on "the collapse of major financial institutions that failed or would have failed if not for exceptional assistance from the government."News Dissector DANNY SCHECHTER is a journalist, blogger and filmmaker. He has been reporting on economic crises since the 1980's when he was with ABC News. His film In Debt We Trust warned of the economic meltdown in 2006. He has since written three books on the subject including Plunder: Investigating Our Economic Calamity (Cosimo Books, 2008), and The Crime Of Our Time: Why Wall Street Is Not Too Big to Jail (Disinfo Books, 2011), a companion to his latest film Plunder The Crime Of Our Time. He can be reached online at www.newsdissector.com.
Book Synopsis Banks’ Maturity Transformation: Risk, Reward, and Policy by : Pierluigi Bologna
Download or read book Banks’ Maturity Transformation: Risk, Reward, and Policy written by Pierluigi Bologna and published by International Monetary Fund. This book was released on 2018-03-09 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is twofold: first, to study the determinants of banks’ net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks from the relaxation of a binding prudential limit on maturity mismatch, in place in Italy until mid-2000s. The results show that maturity transformation is a relevant driver of the net interest margin, as higher maturity transformation is typically associated with higher net interest margin. However, ‘excessive’ maturity transformation— even without leading to systemic vulnerabilities— increases banks’ interest rate risk exposure and lowers their net interest margin.
