This paper, the second in a series of three, examines the potential impact of risingJapanese Government Bond yields on a range of sample portfolios. We create scenarios that model market conditions associated with a...
Normally, longer-duration interest rates are higher than short-duration. So, the yield curve normally slopes upward as duration increases. For this reason, the spread (i.e. the yield difference) between a longer and a shorter bond should be positive. If not, the yield curve can be flat ...
Normally, longer-duration interest rates are higher than short-duration. So, the yield curve normally slopes upward as duration increases. For this reason, the spread (i.e. the yield difference) between a longer and a shorter bond should be positive. If not, the yield curve can be flat ...
Long-term government bond yields and economic forecasts: evidence for the EUinterest ratesmacro forecastsEUI use a panel of semi-annual vintages of growth and fiscal forecasts of the European Commission, covering the period 1998:II–2008:II, to assess its effects on 10-year government yields ...
In our simple model, an innovation in the primary surplus must be fully accommodated by a jump in the price level because output and interest rates are fixed. Fiscal policy provides the nominal anchor, and this is an unvarnished example of a “fiscal theory” of the price level. In a ...
There are sections on practical use of yield to maturity and duration, concept of yield, measuring true return, implied spot rates and zero-coupon yield, yield spread trades, coupon spread, butterfly and butterfly/barbell trades, and convexity gain. Illustrations are enhanced with worked examples...
I analyze the recent experience of unconventional monetary policy in Sweden to study the interest rate transmission mechanisms of government bond purchases when interest rates are away from the lower bound. Using dynamic term structure models and event study regressions I find that government bond purch...
Bank for International SettlementsBIS Papers chaptersHendar, M. (2012) Fiscal Policy, Public Debt Management and Government Bond Markets in Indonesia, in Fiscal Policy, Public Debt and Monetary Policy in Emerging Market Economies, BIS Papers no. 67, October, 199-203....
These securities are therefore exposed to changes in interest rates which will affect the value of any securities held. The fund(s) may invest in structured credit products such as asset backed securities (‘ABS’) which pool together mortgages and other debts into single or multiple series ...
The market for U.S. government bonds is very liquid, allowing the holder to resell them on the secondary bond market easily. Some ETFs andmutual fundsfocus their investment on Treasury bonds. Fixed-rate bonds may fall behind during increasing inflation or rising market interest rates. Also, for...