An Empirical Investigation of the Term Structure of Japanese Government Bond Yields PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download An Empirical Investigation of the Term Structure of Japanese Government Bond Yields PDF full book. Access full book title An Empirical Investigation of the Term Structure of Japanese Government Bond Yields by Akio Kuroda. Download full books in PDF and EPUB format.
Author: Akio Kuroda
Publisher:
ISBN:
Category :
Languages : en
Pages : 124
Get Book Here
Book Description
Author: Akio Kuroda
Publisher:
ISBN:
Category :
Languages : en
Pages : 124
Get Book Here
Book Description
Author: Young Ho Eom
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Get Book Here
Book Description
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: Gary Stephen Shea
Publisher:
ISBN:
Category : Debt
Languages : en
Pages : 286
Get Book Here
Book Description
Author: Takayasu Ito
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 216
Get Book Here
Book Description
Author: Young Ho Eom
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 68
Get Book Here
Book Description
Author: John Y. Campbell
Publisher:
ISBN:
Category :
Languages : en
Pages : 64
Get Book Here
Book Description
Author: Tatsuyoshi Okimoto
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
Get Book Here
Book Description
This paper investigates the usefulness of the term structure of credit spreads to predict the business cycle in Japan. Our analyses provide clear evidence that the term structure of credit spreads has more predictive power than the government bond yield. Specifically, the paper shows that the credit spread curve of medium-grade corporate bonds with an A or BBB rating has more useful information than the government bond yield curve for predicting the business cycle in Japan. However, our results indicate that the increase in the BBB-rated credit spread is associated with future economic growth, contradicting the theoretical prediction in the existing literature. Our Markov-switching analysis demonstrates that this peculiar relationship holds only during the global financial crisis regime, and the 1-year government bond yield and the term spread of A-rated credit spread information have significant predictive power for the business cycle in Japan regardless of the economic state.
Author: Masafumi Nakano
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Get Book Here
Book Description
This paper examines an impact of Bank of Japan (BOJ)'s outright purchase on the JGB (Japanese government bond) yield curve. Particularly, we develop a simple state space model, which incorporates new factors regarding the BOJ's announcement for its outright purchase and the current market outstanding with standard level and spread factors. Based on the model with a filtering method, we also implement an empirical analysis with time series of the BOJ's announcement records during 2014/10/22-2017/8/3 in the quantitative-qualitative easing(QQE) period to estimate the sensitivities of interest rates against the changes in the market expectation for the net supply with each sector of JGB. We expect the current work provides a basis for considering quantitative effects on the term structure by BOJ's policy changes such as termination or significant reduction of the BOJ's outright purchase. For instance, our scenario analysis shows substantial increase in the 30 year yield with steepening of 20-30 year spread.
Author: Tanweer Akram
Publisher:
ISBN:
Category : Bond market
Languages : en
Pages : 52
Get Book Here
Book Description
This paper models the dynamics of Japanese government bond (JGB) nominal yields using daily data. Models of government bond yields based on daily data, such as those presented in this paper, can be useful not only to investors and market analysts, but also to central bankers and other policymakers for assessing financial conditions and macroeconomic developments in real time. The paper shows that long-term JGB nominal yields can be modeled using the short-term interest rate on Treasury bills, the equity index, the exchange rate, commodity price index, and other key financial variables.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
Get Book Here
Book Description
