Long Run Impact of Macro News on Treasury Bond Yields

2019 ◽  
Author(s):  
Bruno Feunou ◽  
Jean-Sebastien Fontaine ◽  
Guillaume Roussellet
Keyword(s):  
Bond Yields ◽  
Long Run ◽  
Macro News ◽  
Treasury Bond

scholarly journals The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields

PLoS ONE ◽  
2011 ◽  
Vol 6 (8) ◽  
pp. e22794 ◽  
Author(s):  
Kun Guo ◽  
Wei-Xing Zhou ◽  
Si-Wei Cheng ◽  
Didier Sornette
Keyword(s):  
Stock Market ◽  
Bond Yields ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
The Us ◽  
Treasury Bond

scholarly journals The Long-Run Determinants of Indian Government Bond Yields

2019 ◽  
Vol 36 (1) ◽  
pp. 168-205 ◽  
Author(s):  
Tanweer Akram ◽  
Anupam Das
Keyword(s):  
Interest Rate ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Indian Government ◽  
Bond Yield ◽  
Long Run ◽  
Key Driver ◽  
The Government

This paper investigates the long-term determinants of the nominal yields of Indian government bonds (IGBs). It examines whether John Maynard Keynes’ supposition that the short-term interest rate is the key driver of the long-term government bond yield holds over the long run, after controlling for key economic factors. It also appraises if the government fiscal variable has an adverse effect on government bond yields over the long run. The models estimated in this paper show that in India the short-term interest rate is the key driver of the long-term government bond yield over the long run. However, the government debt ratio does not have any discernible adverse effect on IGB yields over the long run. These findings will help policy makers to (i) use information on the current trend of the short-term interest rate and other key macro variables to form their long-term outlook about IGB yields, and (ii) understand the policy implications of the government's fiscal stance.

scholarly journals Stock and Bond Market Liquidity: A Long-Run Empirical Analysis

2009 ◽  
Vol 44 (1) ◽  
pp. 189-212 ◽  
Author(s):  
Ruslan Y. Goyenko ◽  
Andrey D. Ukhov
Keyword(s):  
Monetary Policy ◽  
Market Liquidity ◽  
Bond Markets ◽  
Monetary Policy Shocks ◽  
Short Term ◽  
Flight To Quality ◽  
Long Run ◽  
Treasury Bond ◽  
Policy Shocks ◽  
Policy Impacts

AbstractThis paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality. The effect of stock illiquidity on bond illiquidity is consistent with flight-to-quality or flight-to-liquidity episodes. Monetary policy impacts illiquidity. The evidence indicates that bond illiquidity acts as a channel through which monetary policy shocks are transferred into the stock market. These effects are observed across illiquidity of bonds of different maturities and are especially pronounced for illiquidity of short-term maturities. The paper provides evidence of illiquidity integration between stock and bond markets.

scholarly journals Pair copula constructions to determine the dependence structure of treasury bond yields

2015 ◽  
Vol 27 (4) ◽  
pp. 214
Author(s):  
Marcelo Brutti Righi ◽  
Sergio Guilherme Schlender ◽  
Paulo Sergio Ceretta
Keyword(s):  
Dependence Structure ◽  
Bond Yields ◽  
Treasury Bond

scholarly journals Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the U.S., U.K., and Sweden

2006 ◽  
pp. 1.000-51.000 ◽  
Author(s):  
Refet S. Gürkaynak ◽  
◽  
Andrew T. Levin ◽  
Eric T. Swanson ◽  
◽  
...  
Keyword(s):  
Inflation Targeting ◽  
Inflation Expectations ◽  
Bond Yields ◽  
Long Run ◽  
The U.S

US-induced volatility clouds the 2019 markets outlook

2018 ◽  
Keyword(s):  
Financial Markets ◽  
Focal Point ◽  
Emerging Market ◽  
Bond Yields ◽  
Content Type ◽  
The Us ◽  
Treasury Bond ◽  
Asset Class ◽  
Main Support ◽  
Global Growth

Significance The idiosyncratic vulnerabilities that built up in financial markets in 2018 are morphing into a more pronounced global growth scare, exacerbated by concerns about the US Federal Reserve (Fed) being too hawkish. The combination of slower euro-area and Chinese growth and US monetary tightening is weighing on asset prices and increasing volatility after a year in which almost every major asset class suffered a loss. Monetary stimulus withdrawal is the focal point, as it has been the main support for markets since 2008. Impacts Ten-year US Treasury bond yields are down 50 basis points since April; global growth worries will make such ‘safe havens’ more attractive. Amid the worries, emerging market (EM) equities are up 1.5% from an October 29 low and may be more resilient than in previous downturns. The Brent crude oil price will be to the lower end of 50-80 dollars/barrel in 2019 amid growth and oversupply worries, reducing inflation.

Long-run and short-run determinants of sovereign bond yields in advanced economies

2014 ◽  
Vol 38 (1) ◽  
pp. 100-114 ◽  
Author(s):  
Tigran Poghosyan
Keyword(s):  
Bond Yields ◽  
Sovereign Bond ◽  
Long Run ◽  
Advanced Economies ◽  
Short Run

Drivers of Sovereign Bond Yields in India

2021 ◽  
Keyword(s):  
Crude Oil Price ◽  
Bond Yields ◽  
Economic Stability ◽  
Short Term ◽  
Monthly Data ◽  
Financial Variables ◽  
Sovereign Bond ◽  
Bond Yield ◽  
Long Run ◽  
Market Fundamentals

This study analyzed the behavior of the ten-year nominal sovereign bond yield in India with respect to a host of factors, especially for a decade when economic growth alters considerably with time. The vector autoregression methodology (VAR) was applied to the monthly data of economic and financial variables from January 2012 to March 2020. The findings suggested that long-run sovereign bond yield behavior was primarily driven by domestic fundamentals, including money market fundamentals. A rise in the 91-day treasury bill lagged the value of the bond yield, and inflation exert significant upward pressure on the ten year domestic sovereign bond yields. International factors such as exchange rate and crude oil price exert significant but mild influence. Another finding was affirmed that short-term domestic bond yield movements significantly determined long-run domestic bond yields. From an overall policy perspective, it becomes important to maintain domestic economic stability to manage fiscal and debt sustainability.

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