Analyzing Effects of Monetary Policy Change on Government Bond Yield Curve in Exchange by Using GRNN

2009 ◽  
Author(s):  
Zikang Zhou ◽  
Qiangjin Zhang ◽  
Heng Yang
Keyword(s):  
Monetary Policy ◽  
Policy Change ◽  
Yield Curve ◽  
Government Bond ◽  
Bond Yield

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.

scholarly journals Estimating the Monetary Policy Measures of Japan in Shadow/ZLB Term Structure Model

2019 ◽  
Vol 6 (6) ◽  
pp. 126
Author(s):  
Rui WANG
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Term Structure ◽  
Yield Curve ◽  
Quantitative Measure ◽  
Structure Model ◽  
Term Structure Model ◽  
Bond Yield ◽  
Public Expectation ◽  
Policy Measures

In this paper, we follow the estimation methodology proposed by Krippner (2015) and use Japanese government bond yield curve data to estimate a shadow/ZLB term structure model. This model provides three estimated monetary policy measures, SSR, ETZ and EMS, which can be used to gauge the stance of monetary in a consistent way in both ZLB and non-ZLB environment. Japan has experienced a long period of the ZLB since 1999. The policy rate has already lost its function as an appropriate quantitative measure of monetary policy. The SSR estimated from the shadow/ZLB term structure model can evolve to negative level in the ZLB environment and provide consistent view of the stance of monetary policy as the positive short policy interest rate dose in the normal non-ZLB environment. The ETZ answers the question that how long the short interest rate will be expected to be restricted by the ZLB, which can be useful for the central bank as a reference for exit strategy of unconventional monetary easing or forward guidance on public expectation formation. The EMS measures the stance of monetary policy, relatively tight or relatively loose, in a consistent and comparable way under both ZLB and non-ZLB environment. The analysis shows that all three measures exhibit very good traceability of monetary policy in Japan, which can also be used as the proxy variables for the stance of monetary policy in other econometric procedures for policy evaluation.

The Effects of Yield Control Monetary Policy: A Helicopter Money Drop to Financial Institutions

2020 ◽  
Vol 10 (01) ◽  
pp. 2050004
Author(s):  
Robert Jarrow ◽  
Sujan Lamichhane
Keyword(s):  
Monetary Policy ◽  
Financial Institutions ◽  
Yield Curve ◽  
Bond Market ◽  
Government Bond ◽  
Wealth Transfer ◽  
Bank Of Japan ◽  
Arbitrage Strategy ◽  
Arbitrage Opportunity ◽  
Free Government

On 21st September, 2016, the Bank of Japan (BOJ) embarked on a new unconventional monetary policy called yield curve control (YCC). We show that YCC creates an arbitrage opportunity in an otherwise frictionless and arbitrage-free government bond market which financial institutions can exploit. This arbitrage creates a wealth transfer from the BOJ to these financial institutions. We estimate the lower bound on this wealth transfer for the first 28 months to be $5.25 billion or [Formula: see text]582.32 billion, which constitutes an unexplored policy externality. This corresponds to 7.49% per annum on the notional employed in this arbitrage strategy.

scholarly journals PEMODELAN B-SPLINE UNTUK MENGESTIMASI KURVA YIELD OBLIGASI PEMERINTAH KODE FIXED RATE

2019 ◽  
Vol 8 (2) ◽  
pp. 244-252
Author(s):  
Tri Meida Nurcahyanti ◽  
Tatik Widiharih ◽  
Budi Warsito
Keyword(s):  
Yield Curve ◽  
Stock Exchange ◽  
Government Bond ◽  
Fixed Rate ◽  
B Spline ◽  
Bond Yield ◽  
Good Investment ◽  
The Relationship ◽  
Data Period

Bond is a medium-long term loan agreement that can be handed over, it contains a promise from the issuer to pay rewards in the form of interest on a particular period and paying off the principal debt on the time that has been appointed to the bond buyer. A method to find out the relationship between yield and time to maturity for a type of bond at any given time is illustrated through the yield curve. One of the methods for estimating yield curve is B-spline. The data that used to estimate the yield curve with B-spline model are sourced from Indonesia Stock Exchange, namely Government Bond Trading Report with code FR (Fixed Rate). The data periods used are 9, 16, and 23 November 2018. The best model for estimating the yield curve at any period of the data is linear B-spline model with 6 knots but the knot position is different for every data period. Based on the calculation of MAPE, the ability of the model to predict is very good. Investment with maximum profit based on the estimation of yield curve using B-spline linear model with 6 knot is FR0071.Keywords: bond, yield, yield curve, Government Bond, B-spline

Modeling the green bond yield on bond offering

2020 ◽  
Vol 26 (12) ◽  
pp. 2858-2878
Author(s):  
M.I. Emets
Keyword(s):  
Linear Regression ◽  
Yield Curve ◽  
Bond Market ◽  
Third Party ◽  
Bond Pricing ◽  
Market Development ◽  
Fair Price ◽  
Lower Yield ◽  
Yield Curves ◽  
Bond Yield

Subject. The article addresses the green bond pricing as compared to bonds other than green ones. Objectives. The aims are to determine how the fact that a bond is identified as a green one, the issue amount, and the availability of third-party verification, influence the yield to maturity; to make recommendations on effective green bond pricing. Methods. The study employs econometric testing of hypotheses, using the multiple linear regression. The sample includes 318 green and 1695 conventional bonds. Results. Green bonds have a lower yield to maturity in comparison with conventional bonds. The yield to maturity of green bonds with third-party verification is lower, as contrasted with green bonds without verification. Conclusions. The next step in the green bond market development is creating a benchmark yield curve for sovereign green bonds, with parallel issuance of conventional, non-green bonds. The yield curve is crucial for effective bond pricing. Two yield curves, i.e. for green and non-green bonds, will enable investors to estimate the fair price on issuance, as well as to define, if there is a difference in pricing.

scholarly journals Principal component regression in GAMLSS applied to Greek–German government bond yield spreads

2021 ◽  
pp. 1471082X2110229
Author(s):  
D. Stasinopoulos Mikis ◽  
A. Rigby Robert ◽  
Georgikopoulos Nikolaos ◽  
De Bastiani Fernanda
Keyword(s):  
Additive Model ◽  
Principal Component Regression ◽  
Principal Component ◽  
Complex Nature ◽  
Government Bond ◽  
German Government ◽  
Yield Spreads ◽  
Explanatory Variables ◽  
Interaction Terms ◽  
Bond Yield

A solution to the problem of having to deal with a large number of interrelated explanatory variables within a generalized additive model for location, scale and shape (GAMLSS) is given here using as an example the Greek–German government bond yield spreads from 25 April 2005 to 31 March 2010. Those were turbulent financial years, and in order to capture the spreads behaviour, a model has to be able to deal with the complex nature of the financial indicators used to predict the spreads. Fitting a model, using principal components regression of both main and first order interaction terms, for all the parameters of the assumed distribution of the response variable seems to produce promising results.

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

scholarly journals Monetary policy change of the Central bank of Poland

2015 ◽  
Vol 15 (3) ◽  
pp. 246-259
Author(s):  
Ireneusz Kraś
Keyword(s):  
Monetary Policy ◽  
Economic Policy ◽  
Central Bank ◽  
Policy Change ◽  
Financial System ◽  
Financial Statements ◽  
Democratic Character ◽  
National Bank ◽  
The Republic ◽  
The Government

Abstract The National Bank of Poland is an institution which, in conjunction with the government is responsible for the implementation of country’s economic policy reinforces its democratic character. Provisions of its operation are governed by the Constitution of The Republic of Poland and by the Act on the National Bank of Poland. To this end, the objective of the present research is to analyse the proposed amendments in the Act on the NBP. The latter concerns the amendment procedures, term of office and the rotations and numbers of Monetary Policy Council. The remaining part of the analyses is dedicated to the issue of dismissal of a MPC’s member in conjunction with the prohibition of occupying other positions, the adoption of the NBP’s financial statements and the separation of instruments of monetary policy’s instruments for stability of domestic financial system. Introduced changes in the proposed draft reduce the independence of the NBP while making it more subject to the Cabinet. Following the result of further consultations on the draft of Act on the NBP, provisions which reduce the independence of the NBP shall be partially removed.

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