The Dynamics of Japanese Government Bonds' Nominal Yields PDF Download
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Author: Tanweer Akram
Publisher:
ISBN:
Category : Fiscal policy
Languages : en
Pages : 54
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Book Description
Author: Tanweer Akram
Publisher:
ISBN:
Category : Fiscal policy
Languages : en
Pages : 54
Get Book Here
Book Description
Author: Tanweer Akram
Publisher:
ISBN:
Category : Bond market
Languages : en
Pages : 52
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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: Tanweer Akram
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 29
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Book Description
Author: Tanweer Akram
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
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Book Description
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: Tanweer Akram
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 30
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Author: Hongfang Zhang
Publisher:
ISBN:
Category :
Languages : en
Pages : 35
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Book Description
This paper examines the dynamic patterns of international linkages of the Japanese government bond yields with government bond yields in the US, the UK and Germany during the period from January 1980 to December 2004. Applying the vector autoregression (VAR) model and the vector error correction (VEC) model to monthly observations of nominal bond yields and exchange rate-adjusted bond yields over the 25-year period, this paper provides consistent empirical evidence that the Japanese bond market is independent of other major national bond markets, but it exerts some influence in determining bond yields in bond markets in other major industrial countries. However, since the early 1990, evidence shows that the independence of the Japanese bond market has increased further, while its leading role in global bond markets has been eroded significantly.
Author: Nobuyuki Oda
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 28
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Author: Nobuyuki Oda
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Author: Oda
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Akio Kuroda
Publisher:
ISBN:
Category :
Languages : en
Pages : 124
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