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.

ASSESSING THE RISKS TO THE JAPANESE GOVERNMENT BOND MARKET

2013 ◽  
Vol 04 (01) ◽  
pp. 1350002 ◽  
Author(s):  
WAIKEI RAPHAEL LAM ◽  
KIICHI TOKUOKA
Keyword(s):  
Public Debt ◽  
Financial Distress ◽  
Financial Stability ◽  
Debt Crisis ◽  
Japanese Government ◽  
Government Bond ◽  
Bond Yields ◽  
Market Capacity ◽  
Debt Dynamics ◽  
The Government

Despite the rise in public debt, Japanese Government Bond (JGB) yields have remained low and stable, supported by steady inflows from household and corporate sectors, high domestic ownership of JGBs, and safe-haven flows in light of ongoing European debt crisis. Nonetheless, the market capacity to absorb new government debt will likely decline over time as the population ages, posing risks for the JGB market. This paper examines the key risks of the JGB market, including a decline of private sector savings and potential spillovers from global financial distress, which could push up the government bond yields. A sharp rise in interest rate could pose challenges on public debt dynamics and financial stability in Japan. In that regard, more ambitious fiscal reforms to reduce public debt will help limit these risks.

Money factors and EMU government bond markets' convergence

2014 ◽  
Vol 31 (2) ◽  
pp. 156-167 ◽  
Author(s):  
Dionisis Philippas ◽  
Costas Siriopoulos
Keyword(s):  
Debt Crisis ◽  
Government Bond ◽  
Bond Yields ◽  
Content Type ◽  
The Common ◽  
International Investors ◽  
The Government ◽  
Current Financial Crisis ◽  
Market Convergence ◽  
Degree Of Convergence

Purpose – The authors aim to investigate the cointegrating relationship of the government bond yields, driven by the common money factors in European Monetary Union (EMU). Design/methodology/approach – By adopting a dynamic ARDL transformation, the paper provides short-/long-term estimates of bond yields convergence before the burst of the current debt crisis. It also investigates how the degree of convergence between bond yields, driven by money factors, is affected in short/long runs. Findings – The findings indicate that the introduction of the common currency has not a uniform effect on the bond yields, and there is a nominal convergence between EMU bond yields based on money market determinants. Originality/value – The current financial crisis indicates that the EMU bond market convergence was temporary and it can be highly affected by an exogenous shocks and the sentiment of international investors. The findings imply the necessity for a common monetary and fiscal policy in Euro zone countries.

scholarly journals Analysis of government bonds and prediction of their development after the pandemic caused by COVID-19

2021 ◽  
Vol 91 ◽  
pp. 01044
Author(s):  
Petr Suler ◽  
Vaclav Polan
Keyword(s):  
Economic Crisis ◽  
Credit Rating ◽  
Yield Curve ◽  
Government Bond ◽  
Budget Deficits ◽  
Bond Yields ◽  
Individual Country ◽  
Yield Curves ◽  
Government Bonds ◽  
The Government

This paper describes the current state of the government bond market and predicts the future development of government bond yields using the yield curve to bond maturity, spot yield curve, credit rating and simple prediction. The ongoing economic crisis caused by the COVID-19 pandemic is changing the lives of many people. In order for each individual country to help its households, prevent mass job lay-offs and high mortality, their fiscal budget deficits are growing to unexpected heights. The aim of this paper is to analyse government bonds as one of the tools that can help both the state and individual households at this time. Government bond yields are analysed and compared with other countries based on the development of government bonds using credit ratings, yield curves to maturity, spot yield curves and simple historical development of government bonds from the previous economic crisis in 2008. Based on the results, we conclude that countries severely affected by the COVID-19 pandemic and subsequent mortality, such as Italy, have a relatively stable yield. In contrast, for countries such as the Czech Republic and South Korea, yields to maturity at both ends are relatively declining.

scholarly journals An Evaluation Of The Prospects For The Euro Currency In 2012-2013

2012 ◽  
Vol 11 (9) ◽  
pp. 1051
Author(s):  
Ron Christner
Keyword(s):  
Central Bank ◽  
Default Risk ◽  
European Central Bank ◽  
Global Financial Crisis ◽  
Government Bond ◽  
Bond Yields ◽  
European Central ◽  
Economic Markets ◽  
The Government ◽  
The Imf

The 2008 global Financial Crisis and the subsequent relative collapse of the financial and economic markets, including the government bond markets, in Greece, Ireland, and Portugal as well as economic weakness in other Western European economies have called into question the viability, going forward, of the Euro Currency. The so called PIIGS countries of Portugal, Ireland, Italy, Greece, and Spain are thought to be financially vulnerable because of high levels of government spending and resulting deficit levels and inefficient labor markets and tax collection policies among other factors. Those five countries, along with the stronger economies of France and Germany, comprise 7 of the 17 countries in the Eurocurrency Union. Any weakness in the 5 country group can have a contagion effect on the rest and if the recent financial bailouts by the IMF and the European Central Bank in Greece, Portugal and Ireland are not effective then there is a real danger that one of more of the GIP (Greece, Ireland and Spain) countries may have to abandon or be forced to abandon the Euro. Because there is no provision for a country leaving the Eurocurrency Union this is uncharted territory and could lead to the weakening or even demise of the Euro depending upon circumstances. The fact that there are also significant financial linkages and related default risk connecting the five countries to the sounder economies of Germany and France increases the risks. This paper will evaluate the likelihood that the Eurocurrency will be substantially weakened or abandoned over the next 18 months. The evaluation will be highly dependent upon the forecasts for the 5 countries economic prospects, especially the very large economies of Italy and Spain as well as the likely responses of Germany and France to future default like events in the five countries. Metrics utilized will include the trend in economic indicators like long term government bond yields, deficit spending, tax collections, economic growth, and financial linkages and dependence among the seven countries. European Central Bank data and information from related sources like the IMF will be utilized.

Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements

2020 ◽  
Vol 21 (4) ◽  
pp. 417-474 ◽  
Author(s):  
Ralf Fendel ◽  
Frederik Neugebauer
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Yield Reduction ◽  
Government Bond ◽  
Bond Yields ◽  
Bond Yield ◽  
Current Spread ◽  
Policy Program ◽  
Government Bond Markets ◽  
Country Specific

AbstractThis paper employs event study methods to evaluate the effects of ECB’s non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.

A Note Concerning the Dynamics of Government Bond Yields

2021 ◽  
pp. 056943452098827
Author(s):  
Tanweer Akram
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Yield Curve ◽  
Empirical Studies ◽  
State Theory ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds

Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly through the short-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields not only substantiate Keynes’s view that the long-term interest rate responds markedly to the short-term interest rate but also have relevance for macroeconomic theory and policy. This article relates Keynes’s discussions of money, the state theory of money, financial markets, investors’ expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Investors’ psychology, herding behavior in financial markets, and uncertainty about the future reinforce the effects of the short-term interest rate and the central bank’s monetary policy actions on the long-term interest rate. JEL classifications: E12; E40; E43; E50; E58; E60; F30; G10; G12; H62; H63

Forecasting Government Bond Yields with Neural Networks Considering Cointegration

2015 ◽  
Vol 35 (1) ◽  
pp. 86-92 ◽  
Author(s):  
Christoph Wegener ◽  
Christian von Spreckelsen ◽  
Tobias Basse ◽  
Hans-Jörg von Mettenheim
Keyword(s):  
Neural Networks ◽  
Government Bond ◽  
Bond Yields
Sign in / Sign up

Export Citation Format

Share Document