A Bond Price Puzzle: A Partial Hedge Against the Chinese Hyperinflation

2021 ◽  
Author(s):  
Zhihao Xu
Keyword(s):  
Bond Price ◽  
Price Puzzle

Strategi Pengelolaan Risiko dan Peningkatan Kualitas Pengelolaan Kas Negara

2017 ◽  
Vol 2 (2) ◽  
pp. 43-54
Author(s):  
Agung Mulyono
Keyword(s):  
Interest Rates ◽  
Financial Risk ◽  
Vector Autoregression ◽  
Secondary Market ◽  
Key Factors ◽  
Bond Price ◽  
Hedging Strategy ◽  
Foreign Loan ◽  
Term Operation ◽  
Loan Interest Rates

Cash management is  one of treasury’s main functions in which has a potential financial risk. A potential financial risk emerges when State Treasurer manages cash surplus and or/ shortages in order to maintain optimum liquidity. By applying Vector Autoregression (VAR) system on empirical data provided by Bank Indonesia and the Ministry of Finance of Indonesia, we found that currency value  flunctuation is a significant factor for repayment value of foreign loan. Interest rates and amount of government’s bond held by foreign investors are also variables impacted on government’s bond price movement in secondary market. Currency value  flunctuation and price of government’s bond in secondary market are the key factors that have to be considered by State Treasurer (BUN) in managing state’s money. Hedging strategy by using derivatif product is possible to be utilized by State Treasurer (BUN) due to it’s flexibility for short-term operation.   Abstrak Pengelolaan kas negara merupakan salah satu fungsi pokok perbendaharaan yang dalam proses pelaksanaannya menyimpan potensi berbagai risiko keuangan. Risiko keuangan, khususnya dalam investasi berpotensi muncul ketika Bendahara Umum Negara (BUN) melakukan kegiatan pengelolaan kelebihan dan/ kekurangan kas dalam rangka menjamin ketersediaan dan optimalisasi kas. Dengan menggunakan analisis Vector Autoregression (VAR) atas data empiris yang diperoleh dari Bank Indonesia dan Kementerian Keuangan Indonesia, penulis menemukan bahwa fluktuasi nilai tukar mata uang merupakan faktor yang signifikan terhadap besaran pembayaran utang luar negeri pemerintah. Tingkat suku bunga acuan dan pergerakan besaran kepemilikan SUN oleh investor asing juga merupakan variabel yang berpengaruh terhadap pergerakan harga SUN di pasar sekunder. Fluktuasi nilai tukar mata uang dan pergerakan harga SUN di pasar sekunder menjadi faktor penting dalam pelaksanaan investasi yang dilakukan BUN dalam rangka pengelolaan kelebihan dan/ kekurangan kas. Berdasarkan hasil tersebut, strategi pengelolaan risiko atau hedging dengan menggunakan produk-produk derivatif dalam pengelolaan kelebihan dan/ kekurangan kas jangka pendek – menengah sangat dimungkinkan karena sifat instrumen derivatif yang fleksibel.

Bond Price and Risk Dyamics

2012 ◽  
Author(s):  
Golaka C. Nath
Keyword(s):  
Bond Price

A Real Accurate Formula for the Yield Elasticity of Bond Price

2012 ◽  
Author(s):  
Michael J. Osborne
Keyword(s):  
Bond Price

Corporate Bond Price Reversals

2019 ◽  
Author(s):  
Alexey Ivashchenko
Keyword(s):  
Corporate Bond ◽  
Bond Price

scholarly journals Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
C. F. Lo
Keyword(s):  
Interest Rate ◽  
Algebraic Approach ◽  
Dynamical Symmetry ◽  
Bond Pricing ◽  
Model Parameters ◽  
Time Varying ◽  
Single Factor ◽  
Bond Price ◽  
Interest Rate Models ◽  
Root Model

The Lie-algebraic approach has been applied to solve the bond pricing problem in single-factor interest rate models. Four of the popular single-factor models, namely, the Vasicek model, Cox-Ingersoll-Ross model, double square-root model, and Ahn-Gao model, are investigated. By exploiting the dynamical symmetry of their bond pricing equations, analytical closed-form pricing formulae can be derived in a straightfoward manner. Time-varying model parameters could also be incorporated into the derivation of the bond price formulae, and this has the added advantage of allowing yield curves to be fitted. Furthermore, the Lie-algebraic approach can be easily extended to formulate new analytically tractable single-factor interest rate models.

The Indicative Value–Price Puzzle in ETNs: Liquidity Constraints, Information Signaling, or an Ineffective System for Share Creation?

2011 ◽  
Vol 20 (3) ◽  
pp. 25-39 ◽  
Author(s):  
Dean Diavatopoulos ◽  
James Felton ◽  
Colby Wright
Keyword(s):  
Liquidity Constraints ◽  
Price Puzzle ◽  
Information Signaling

A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework

2011 ◽  
Vol 11 (4) ◽  
pp. 487-493 ◽  
Author(s):  
Marianito R. Rodrigo ◽  
Rogemar S. Mamon
Keyword(s):  
Term Structure ◽  
Time Dependent ◽  
Unified Approach ◽  
Bond Price ◽  
Affine Term Structure ◽  
Modelling Framework

Post-Earnings Announcement Bond Price Reaction

2012 ◽  
Author(s):  
Xiaoting Wei ◽  
Cameron Truong ◽  
Madhu Veeraraghavan
Keyword(s):  
Bond Price ◽  
Earnings Announcement ◽  
Price Reaction

The Bond Price Support Program as a Change in Policy Regimes: Evidence from the Term Structure of Interest Rates

1991 ◽  
Vol 23 (3) ◽  
pp. 367 ◽  
Author(s):  
William K. Hutchinson ◽  
Mark Toma
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Support Program ◽  
Price Support ◽  
Bond Price ◽  
Policy Regimes

The “Price Puzzle”

2013 ◽  
pp. 185-186
Author(s):  
Efthymios G. Tsionas
Keyword(s):  
Price Puzzle
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