Download or read book Coupon Effects and the Pricing of Japanese Government Bonds written by Young Ho Eom and published by . This book was released on 1998 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Coupon Effects and the Pricing of Japanese Government Bonds written by Young Ho Eom and published by . This book was released on 2009 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many markets, the term structure of interest rates implied by coupon Treasury bonds provides a key input for pricing and hedging interest rate-sensitive securities. Previous studies in the Japanese market, however, suggest that the prices of the Japanese Government Bonds (JGB's) were significantly affected modelling in the Japanese context bases on interest rate factors could leave to misleading results. Since the previous studies, there have been significant structural changes in the regulatory environment, and in the liquidity of the Japanese bond market in the 1990's. In this light, we examine the effect of these changes on the JGB prices during the period between 1990 and 1996, by analyzing the term structure of interest rates in the JGB market over time. Specifically, we use the B-spline method to fit the term structure of interest rates using weekly prices of quot;non-benchmarkquot; ten-year JGB's. We also use a non-linear econometric model to examine the significance of the quot;couponquot; effects, which are the results of regulatory, accounting and liquidity factors.
Download or read book Comparative Analysis of Zero Coupon Yield Courve Estimation Methods Using JGB Price Data written by Kentaro Kikuchi and published by . This book was released on 2012 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Assessing the Risks to the Japanese Government Bond JGB Market written by Mr.Waikei W. Lam and published by International Monetary Fund. This book was released on 2011-12-01 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the rise in public debt, Japanese Government Bond (JGB) yields have remained low and stable, supported by steady inflows from the household and corporate sectors, high domestic ownership of JGBs, and safe-haven flows from heightened sovereign risks in Europe. Over time, however, the market's capacity to absorb new debt will likely shrink as population ages and risk appetite recovers. In the short term, a decline in fund supply from the corporate sector, where financial surpluses are abnormally high, and spillovers from global financial distress could push up JGB yields. Fiscal reforms to reduce public debt more quickly and lengthen the maturity of government bonds will help limit these risks.
Download or read book Guide to Japanese Government Bond written by and published by . This book was released on 2004 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Japanese Bond Markets written by Frank J. Fabozzi and published by Irwin Professional Publishing. This book was released on 1990 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading and Investing in Bond Options written by M. Anthony Wong and published by John Wiley & Sons. This book was released on 1991-09-03 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: To become successful in the bond options market, it is important for professionals to gain a basic, yet thorough understanding of how options are priced, traded, and used in interest-rate risk and fixed-income portfolio management. Provides practical answers to questions that new participants will ask as they become more sophisticated in the bond option market. It describes the U.S. government bond options markets and discusses how options pricing and computer technologies are used in market-making, strategic trading, and value investing. After introducing standard options terminology, it provides background data on U.S. Treasury bonds, bond options pricing models, advanced pricing models, the fundamentals of bond options dealing, strategies driven by interest rate forecasts, the most widely used structured portfolio strategies involving options, and more.
Download or read book Pricing of Japanese Government Bonds written by and published by . This book was released on 2001 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Capital Markets and Institutions written by Linda Allen and published by John Wiley & Sons. This book was released on 1997-01-31 with total page 804 pages. Available in PDF, EPUB and Kindle. Book excerpt: Intended for Junior/Senior/MBA course in Financial Markets, Capital Markets and Institutions. Using an international focus, this text integrates the financial markets with the activities of financial intermediaries. This approach enables students to understand the role of financial intermediaries in the development of financial markets. Throughout the text, the emphasis is on "how things are done on the street." The origins, major participants, pricing and settlements and typical transactions for all financial markets are also included.
Download or read book Monetary Policy and the Term Structure of Interest Rates in Japan written by John Y. Campbell and published by . This book was released on 1991 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book 1874 1975 written by 藤野正三郎 and published by . This book was released on 1977 with total page 610 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of the Bank of Japan s Monetary Policy on Japanese Government Bonds Low Nominal Yields written by Tanweer Akram and published by . This book was released on 2019 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Understanding Japanese Savings written by Robert Dekle and published by Routledge. This book was released on 2004-11-30 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: Japan's savings are among the highest in the world, and these high rates have played a valuable role throughout the post-war period. However, over the next several decades, Japan's population will be ageing rapidly. Will this lower Japanese savings rates? Using up-to-date financial and demographical data, author Robert Dekle finds that the answer to this question is an emphatic 'yes'. Understanding Japanese Saving holds key lessons for Western nations undergoing similar demographic transformations as well as developing countries looking to establish public savings institutions.
Download or read book Fixed Income Securities written by Bruce Tuckman and published by John Wiley & Sons. This book was released on 2011-11-08 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed income practitioners need to understand the conceptual frameworks of their field; to master its quantitative tool-kit; and to be well-versed in its cash-flow and pricing conventions. Fixed Income Securities, Third Edition by Bruce Tuckman and Angel Serrat is designed to balance these three objectives. The book presents theory without unnecessary abstraction; quantitative techniques with a minimum of mathematics; and conventions at a useful level of detail. The book begins with an overview of global fixed income markets and continues with the fundamentals, namely, arbitrage pricing, interest rates, risk metrics, and term structure models to price contingent claims. Subsequent chapters cover individual markets and securities: repo, rate and bond forwards and futures, interest rate and basis swaps, credit markets, fixed income options, and mortgage-backed-securities. Fixed Income Securities, Third Edition is full of examples, applications, and case studies. Practically every quantitative concept is illustrated through real market data. This practice-oriented approach makes the book particularly useful for the working professional. This third edition is a considerable revision and expansion of the second. Most examples have been updated. The chapters on fixed income options and mortgage-backed securities have been considerably expanded to include a broader range of securities and valuation methodologies. Also, three new chapters have been added: the global overview of fixed income markets; a chapter on corporate bonds and credit default swaps; and a chapter on discounting with bases, which is the foundation for the relatively recent practice of discounting swap cash flows with curves based on money market rates. [FOR THE UNIVERSITY EDITION] This university edition includes problems which students can use to test and enhance their understanding of the text.
Download or read book Foreign Economic Trends and Their Implications for the United States written by and published by . This book was released on 1969 with total page 946 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bond Math written by Donald J. Smith and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the theory behind bond math formulas Bond Math explores the ideas and assumptions behind commonly used statistics on risk and return for individual bonds and on fixed income portfolios. But this book is much more than a series of formulas and calculations; the emphasis is on how to think about and use bond math. Author Donald J. Smith, a professor at Boston University and an experienced executive trainer, covers in detail money market rates, periodicity conversions, bond yields to maturity and horizon yields, the implied probability of default, after-tax rates of return, implied forward and spot rates, and duration and convexity. These calculations are used on traditional fixed-rate and zero-coupon bonds, as well as floating-rate notes, inflation-indexed securities, and interest rate swaps. Puts bond math in perspective through discussions of bond portfolios and investment strategies. Critiques the Bloomberg Yield Analysis (YA) page, indicating which numbers provide reliable information for making decisions about bonds, which are meaningless data, and which can be very misleading to investors Filled with thought-provoking insights and practical advice, this book puts the intricacies of bond math into a clear and logical order.
Download or read book Quantitative Easing and Liquidity in the Japanese Government Bond Market written by Kentaro Iwatsubo and published by . This book was released on 2018 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The “Quantitative and Qualitative Monetary Easing” (QQE) enacted immediately after the inauguration of the Bank of Japan Governor Kuroda brought violent fluctuations in the prices of government bonds and deteriorated market liquidity. Does a central bank's government bond purchasing policy generally reduce market liquidity? Do conditions exist that can prevent the decrease? This paper analyzes how the Bank of Japan's purchasing policy changes influenced market liquidity. The results revealed that three specific policy changes contributed significantly to improving market liquidity: 1) increased purchasing frequency; 2) a decrease in the purchase amount per transaction; and 3) a reduced variability in the purchase amounts. These policy changes facilitated investors' purchase schedule expectations and helped reduce market uncertainty. The evidence supports the theory that the effect of government bond purchasing policy on market liquidity depends on the market's informational environment.
