Results 221 to 230 of about 47,997 (264)
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Game theory and speculation on government bonds
Economic Modelling, 2012Abstract The aim of this paper is to propose a method to stabilize the rapid variations on the value of government bonds issued by the States, using Game Theory. In particular, we focus our attention on three players: a large speculative bank (hereinafter called Speculator), having immediate access to the market of government bonds, the European ...
David Carfì, Francesco Musolino
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Banks' holdings of and trading in government bonds
International Journal of Finance & Economics, 2018AbstractIn this paper we examine the holdings of government securities by domestic banks along those of the foreign banks/non‐banks/official sector as well as the domestic central bank and domestic non‐banks, using data for 21 advanced economies from 2004Q1 to 2016Q2. The research offers four main insights.
Michele Manna, Stefano Nobili
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OUTLOOK FOR THE GOVERNMENT BOND MARKET
The Journal of Finance, 1960THE TREND OF yields on United States government securities has a major impact on yields in other markets. The importance attached to yields on governments is due not only to the size of the government security market but also to the economic and political significance of a large and expanding public debt.
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Yield spreads on EMU government bonds
Economic Policy, 2003Government bond spreads We provide evidence that the movements in yield differentials between euro zone government bonds explained by changes in international risk factors – as measured by banking and corporate risk premiums in the United States – are more pronounced for bonds issued by Italy and Spain.
CODOGNO L. +2 more
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Emerging Government Bond Market Timing
The Journal of Fixed Income, 2013Excess bond returns in developed markets are predictable using factors like bond momentum, equity momentum and term spread. We show the same factors can also predict emerging government bond returns of debt issued in local currency. An investment strategy based on the three factors delivers 1.2% outperformance per year after transaction costs. Emerging
Duyvesteyn, J, Martens, MPE
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Australian Economic Review, 2006
AbstractRecent studies have indicated that government bonds are an imperfect substitute for money in providing transaction services. Based on these studies, this article develops a theoretical framework showing that, as with money seigniorage, the government can gain an interest benefit from issuing government bonds.
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AbstractRecent studies have indicated that government bonds are an imperfect substitute for money in providing transaction services. Based on these studies, this article develops a theoretical framework showing that, as with money seigniorage, the government can gain an interest benefit from issuing government bonds.
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Transactions Costs on Government Bonds: A Respecification
The Journal of Business, 1978In "The Determinants of the Difference between Bid and Ask Prices on Government Bonds," Tanner and Kochin (1971) examined the question of transactions costs in the secondary market for government of Canada bonds. Following as it did Demsetz's seminal article, theirs was a relatively early piece of research into an issue which has received an increasing
Grant, Dwight, Whaley, Robert
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Price Discovery in Government Bond Markets [PDF]
SSRN Electronic Journal, 2011 Abstract Price discovery in government bond markets is explored using Norwegian data including trades from both tiers of the market and dealer identities. The results show that while aggregate interdealer order flow explains one-fourth of daily yield changes, aggregate customer order flow has little explanatory power.
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The backing of government bonds and monetarism
Journal of Monetary Economics, 1985Abstract This paper examines the implications of the fiscal backing of government bonds for the effects of conventional macroeconomic policies and, in particular, for certain monetarist propositions. It shows that the validity of some basic monetarist hypotheses requires a considerable degree of accommodation by the fiscal authority, relative to the ...
S. Rao Aiyagari, Mark Gertler
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Government Bond Yield Volatility and It's Determinants: The Case of Indonesia Government Bond
SSRN Electronic Journal, 2013This research is conducted from gaps of research findings regarding factors influencing government bond yield. The aim of this research is to develop a model of government bond yield determinants and to test hypothesis about the effect of inflation, foreign reserves, local interest rate, stock market return, exchange rate, foreign interest rate ...
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