Download or read book Yield Curve Risk in Japanese Government Bond Markets written by Kenneth J. Singleton and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper characterizes the nature of yield curve risk in the Japanese government bond (JGB) market, and explores the effectiveness of risk management based on a linear factor representation of yield curve risk. The implied optimal hedges against factor risk are related to duration-based hedging strategies, which are shown in many cases to be substantially suboptimal. In addition, the drift over time in optimal hedge ratios due to the local nature of optimal hedging is investigated. The results show substantial drift especially for the weights on the factor representing the risk of a changing slope of the JGB yield curve. Though our focus is on government bond markets, the findings have implications for risk management for most interest-sensitive instruments, especially those that are priced relative to government bonds (e.g., corporate bonds).
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 A Note on the Estimation of Japanese Government Bond Yield Curves written by Nobuyuki Oda and published by . This book was released on 1996 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 JGB Yield Curve and Macro Financial Stability written by Mr. Salih Fendoglu and published by International Monetary Fund. This book was released on 2023-05-18 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Given that there is exceptionally high uncertainty around the domestic inflation outlook, allowing for greater flexibility in long-term Japanese Government Bond (JGB) yields by the Bank of Japan (BoJ) could be considered going forward. Against this background, this study empirically finds that a steeper JGB yield curve helps improve banks’ profitability, especially after a year lag, and the overall impact hinges on macroeconomic and financial market responses. A steeper JGB yield curve could also have spillovers on global yields. Financial sector policies to mitigate short-term vulnerabilities in case the JGB yield curve steepens could be considered, including by further strengthening engagement with financial institutions with relatively high exposure to interest rate movements, to better harness the benefits in the medium term.
Download or read book Quality Options and Hedging in Japanese Government Bond Futures Markets written by Shang-Wu Yu and published by . This book was released on 1994 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Outlook for Interest Rates and Japanese Banks Risk Exposures under Abenomics written by Mr.Serkan Arslanalp and published by International Monetary Fund. This book was released on 2013-10-18 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how Japan’s long-term interest rates and Japanese banks’ interest rate risk exposures may evolve under Abenomics. Results from a panel regression analysis for major advanced economies shows that long-term government bond yields in Japan are determined to a large extent by growth and inflation outlook, fiscal conditions, demography, and the investor base of government securities. A further deterioration of fiscal conditions would push up long-term rates by about 2 percentage points over the medium term, but the rise is partly offset by higher demand for safe assets amid population aging and increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of Japanese banks could decline substantially over the next two years. However, if structural and fiscal reforms are incomplete, both long-tem yields and interest-risk exposures of Japanese banks could increase over the medium term.
Download or read book Handbook of Asian Sovereign Bond Markets written by Mohamed Ariff and published by . This book was released on 2013 with total page 262 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 On the Effect of Bank of Japan s Outright Purchase on the JGB Yield Curve written by Masafumi Nakano and published by . This book was released on 2019 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines an impact of Bank of Japan (BOJ)'s outright purchase on the JGB (Japanese government bond) yield curve. Particularly, we develop a simple state space model, which incorporates new factors regarding the BOJ's announcement for its outright purchase and the current market outstanding with standard level and spread factors. Based on the model with a filtering method, we also implement an empirical analysis with time series of the BOJ's announcement records during 2014/10/22-2017/8/3 in the quantitative-qualitative easing(QQE) period to estimate the sensitivities of interest rates against the changes in the market expectation for the net supply with each sector of JGB. We expect the current work provides a basis for considering quantitative effects on the term structure by BOJ's policy changes such as termination or significant reduction of the BOJ's outright purchase. For instance, our scenario analysis shows substantial increase in the 30 year yield with steepening of 20-30 year spread.
Download or read book Asia Pacific Fixed Income Markets written by Jonathan A. Batten and published by . This book was released on 2002-02 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: As stability has begun to return to the Asia-Pacific region, so do international investors' appetites for high-yielding Asian securities. Right now, due to the substantial bank debt accrued during the last financial crisis there, the liveliest investment areas in the Asian-Pacific region are fixed income instruments. Authors Jonathan A. Batten and Thomas A. Fetherston provide country-by-country analyses, including highly-focused descriptions of the history, current disposition, and future prospects of each country's bond markets, along with detailed explanations of the market structure and conventions in each. Jonathan Batten is a Professor of Finance at Deakin University. His professional experience includes senior posts at the Australian Industry Development Corporation, The Bank of Tokyo, Credit Lyonnais and IBM Consulting in their Asia-Pacific Banking and Finance Group.
Download or read book A Note on the Estimation of Japanese Government Bond Yield Curves written by Oda and published by . This book was released on 1996 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Note Om the Estimation of Japanese Government Bond Yield Curves written by Nobuyuki Oda and published by . This book was released on 1996 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Riding the Yield Curve Risk Taking Behavior in a Low Interest Rate Environment written by Mr.Ralph Chami and published by International Monetary Fund. This book was released on 2020-03-13 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Download or read book Outlook for Interest Rates and Japanese Banks Risk Exposures Under Abenomics written by Serkan Arslanalp and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how Japan's long-term interest rates and Japanese banks' interest rate risk exposures may evolve under Abenomics. Results from a panel regression analysis for major advanced economies shows that long-term government bond yields in Japan are determined to a large extent by growth and inflation outlook, fiscal conditions, demography, and the investor base of government securities. A further deterioration of fiscal conditions would push up long-term rates by about 2 percentage points over the medium term, but the rise is partly offset by higher demand for safe assets amid population aging and increased purchases by the Bank of Japan. At the same time, illustrative scenarios suggest the interest rate risk exposure of Japanese banks could decline substantially over the next two years. However, if structural and fiscal reforms are incomplete, both long-tem yields and interest-risk exposures of Japanese banks could increase over the medium term.
Download or read book The Effects of the Bank of Japan s Zero Interest Rate Commitment and Quantitative Monetary Easing on the Yield Curve written by Nobuyuki Oda and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an empirical investigation of monetary policy in Japan in the zero interest rate environment that has held sway since 1999. In particular, we focus on the effects of the zero interest rate commitment and of quantitative monetary easing on medium- to long-term interest rates in Japan. In the study we apply a version of the macro-finance approach, involving a combination of estimation of a structural macro-model and calibration of time-variant parameters to the yield curve observed in the market. This enables us to decompose interest rates into expectations and risk premium components and simultaneously to extract the market's perception of the Bank of Japan's (BOJ's) willingness to carry on its zero interest rate policy. In the analysis we make clear the counterfactual policy that would have been practiced in the absence of the actual policies followed by the BOJ since 1999. From this analysis, we tentatively conclude that the BOJ's monetary policy since 1999 has functioned mainly through the zero interest rate commitment, which has led to declines in medium- to long-term interest rates. We also find some evidence that, up until the end of 2003, raising the reserve target may have been perceived as a signal indicating the BOJ's accommodative policy stance although the size of the effect is not large. The portfolio rebalancing effect - either by the BOJ's supplying ample liquidity or by its purchases of long-term government bonds - has not been found to be significant.
