scholarly journals The Japan Municipal Bond Yield Curve: 2002 to the Present

2016 ◽  
Vol 8 (6) ◽  
pp. 118 ◽  
Author(s):  
Takahiro Hattori ◽  
Hiroki Miyake
Keyword(s):  
Current Literature ◽  
Yield Curve ◽  
Bond Market ◽  
Municipal Bonds ◽  
Municipal Bond ◽  
Spline Method ◽  
Bond Yield ◽  
Long Run ◽  
Daily Data ◽  
First Time

<p align="left">The aim of this paper is to present the par yield curve for Japan’s Municipal Bonds, by examining daily data from 2002 to the present. Moreover, this paper contributes to current literature by making available for the first time additional long-run market data on Japan’s Municipal Bonds, and thereby enabling economists and practitioners to analyze the large municipal bond market of Japan in detail. We also investigate the fit of the well-known parametric and spline methods in their standard measures, and are able to show that the spline method does, in fact, fit well as in previous studies. In keeping with our aim to make these data more widely available, we posted the data on the following website and expect to update this regularly: http://www.mcnnns77.net.</p>

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.

Descriptive Bond-Yield and Forward-Rate Models for the British Government Securities' Market: [forms Part Of: Report of the Fixed-Interest Working Group, B.A.J. 4, II Pg.213–383]

1998 ◽  
Vol 4 (2) ◽  
pp. 265-321 ◽  
Author(s):  
A.J.G. Cairns
Keyword(s):  
Least Squares ◽  
Working Group ◽  
Yield Curve ◽  
Securities Market ◽  
Rate Curve ◽  
Forward Rate ◽  
Bond Yield ◽  
Least Squares Fit ◽  
Curve Model ◽  
First Time

ABSTRACTThis paper discusses possible approaches to the construction of gilt yield indices published by the Financial Times. The existing method, described by Dobbie & Wilkie (1978) splits bonds into high, medium and low-coupon bands and fits separate yield curves to each. This method has been identified as susceptible to ‘catastrophic’ jumps when the least-squares fit jumps from one set of parameters to another set of quite different values. This problem is a result of non-linearities in the least-squares formula which can give rise to more than one local minimum. A desire to remove the risk of catastrophic changes prompted this research, which is being carried out as part of the work of the Fixed Interest Working Group.Recent changes in the taxation of bonds has, further, prompted the need for a review of the yield indices. Significantly, since the announcement of the new tax regime, the old coupon effect has been removed. This has made the use of a single forward-rate curve appropriate for the first time.A particular form of forward-rate curve is proposed as the basis for a revision of the gilt yield indices. This curve appears to give a significantly better fit than the present yield–curve model. It is also argued that the risk of catastrophic jumps has been reduced significantly.

scholarly journals THE EVOLUTION OF MUNICIPAL BOND MARKET IN POLAND

Ekonomika ◽  
2011 ◽  
Vol 90 (1) ◽  
pp. 85-100
Author(s):  
Zofia Łękawa
Keyword(s):  
Public Finance ◽  
Central Europe ◽  
Bond Market ◽  
Municipal Bonds ◽  
Municipal Bond ◽  
East Central Europe ◽  
East Central ◽  
Main Motivation ◽  
The Public ◽  
Legal Provisions

The Act of 29 June 1995 on Bonds has formally launched the development of a market for municipal bonds in Poland. The changes not only affected the legal provisions, but also the attitudes of self-government activists and institutions engaged in the issue of municipal bonds; hence, the organization of the market had to be different. As a consequence, a new bond market, GPW Catalyst, has been established on 30 September 2009.The paper aims at presenting the municipal bond market in Poland. The main aspects of this market that are significant for its development are identified. An analysis and assessment of the market’s development are conducted using the experience of more than a decade of developing the municipal bond market in Poland. The environment that led to the launching of the first municipal bond market in East-Central Europe at the end of 2009 is presented. The main motivation was the need to indicate new sources of finance during the periods of recession and the crisis of the public finance sector.

Rising state budget gaps could rein in the US rebound

2020 ◽  
Keyword(s):  
Federal Reserve ◽  
Behavioural Change ◽  
Bond Market ◽  
Municipal Bonds ◽  
Municipal Bond ◽  
State Budget ◽  
Content Type ◽  
Us States ◽  
Fiscal Constraints ◽  
The Us

Significance Fiscal constraints limit the ability of US states to practise counter-cyclical fiscal policy, and some states and municipalities had budgetary troubles even before the pandemic. Pension deficits are a particular problem. The USD500bn Federal Reserve (Fed) programme to buy states' municipal bonds has been barely used. Impacts The Biden administration will be tested in trying to get the Senate, which is likely to remain Republican, to provide money to states. If a city files for bankruptcy, contagion could spread statewide and, more broadly, the US municipal bond market could be disrupted. Even if a vaccine is widely distributed in 2021, recovery will remain fragile as a result of permanent scarring and behavioural change.

Municipal Bond Markets

2019 ◽  
Vol 11 (1) ◽  
pp. 65-84 ◽  
Author(s):  
Dario Cestau ◽  
Burton Hollifield ◽  
Dan Li ◽  
Norman Schürhoff
Keyword(s):  
Capital Market ◽  
Bond Market ◽  
Municipal Bonds ◽  
Bond Markets ◽  
Municipal Bond ◽  
Local Public Finance ◽  
Decentralized Markets ◽  
The Impact ◽  
Natural Laboratory ◽  
Financial Technology

The effective functioning of the municipal bond market is crucial for the provision of public services, as it is the largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation effects in municipal bonds. Recent regulatory initiatives to improve transparency have made granular trade data available to researchers, rendering the municipal bond market a natural laboratory for the study of financial intermediation, asset pricing in decentralized markets, and local public finance. Trade-by-trade studies have found large trading costs, contemporaneous price dispersion, and other deviations from the law of one price. More research is required to understand optimal market design and the impact of post-crisis regulation, sustainability, and financial technology.

scholarly journals How Important Are Inflation Expectations for the Nominal Yield Curve?

2020 ◽  
Author(s):  
Roberto Gomez-Cram ◽  
Amir Yaron
Keyword(s):  
Stochastic Volatility ◽  
Term Structure ◽  
Yield Curve ◽  
Bond Market ◽  
Inflation Expectations ◽  
Real Rate ◽  
Risk Premiums ◽  
Expected Inflation ◽  
Bond Yield ◽  
Bond Risk

Abstract Macrofinance term structure models rely too heavily on the volatility of expected inflation news as a source for variations in nominal bond yield shocks. We develop and estimate a model featuring inflation nonneutrality and preference shocks. The stochastic volatility of inflation and consumption govern bond risk premiums movements, whereas preference shocks generate fluctuations in real rates. The model accounts for key bond market features without resorting to an overly dominating expected inflation channel. The estimation shows that preference shocks are strongly negatively correlated with market distress factors and that real rate news is the dominant driver of nominal yield shocks.

scholarly journals DEVELOPMENT OF THE MUNICIPAL BOND MARKET IN POLAND AFTER 1989

Ekonomika ◽  
2013 ◽  
Vol 92 (2) ◽  
pp. 122-136
Author(s):  
Paweł Galiński
Keyword(s):  
Commercial Banks ◽  
Local Governments ◽  
Stock Exchange ◽  
Bond Market ◽  
Municipal Bonds ◽  
Municipal Bond ◽  
The European Union ◽  
Investment Funds ◽  
Eu Countries ◽  
Warsaw Stock Exchange

Abstract. The purpose of the paper is to present the development of the municipal bond market in Poland between 1989 and 2012, a characteristic of municipal bonds and their types, issued in this period. The empirical research conducted by the author provides some main financial indicators that determine the development of this market and its role for local governments in Poland. Moreover, there are analysed the types of investors on this market, organizers of the placements or the meaning of this market against the background of the municipal bond markets in the European Union (EU) countries. The study is mainly based on the miscellaneous reports and statistics of the National Bank of Poland, Ministry of Finance, Central Statistical Office of Poland, Warsaw Stock Exchange or rating agency Fitch Polska. An important source of information was also the research conducted by the author, which concerned the perspective of servicing the local governments by commercial banks and the associated risk. As a consequence, the author indicates that the value of municipal bonds issued in Poland is still relatively low in comparison with its gross domestic product and the leading EU countries. Therefore, there are possibilities of the further growth of this market in Poland. First and foremost, municipal bonds are positively perceived as an investment instrument by the investors, i.e. mainly commercial banks. Besides, these securities have a small share in the investment portfolio of pension funds and investment funds. However, one of the main obstacles of the further development of the municipal bond market in Poland is its relatively low liquidity.Key words: municipal bond market, municipal bonds, local governments

Municipal Bonds

2019 ◽  
pp. 95-112 ◽  
Author(s):  
Xiaohu Deng ◽  
Christopher Goebert ◽  
Gershon Morgulis ◽  
Isaac Yates
Keyword(s):  
Bond Market ◽  
Municipal Bonds ◽  
Municipal Bond ◽  
Value Proposition ◽  
General Obligation ◽  
Equivalent Basis ◽  
Investment Returns ◽  
High Investment ◽  
History Of ◽  
Public Partnerships

This chapter discusses various types of municipal bonds, which represent an important part of the bond market. After providing a brief history of municipal bonds, the chapter then discusses two major types of municipal bonds: general obligation and revenue bonds. The next topics focus on tax exemption, credit considerations, and municipal bond structuring alternatives such as fixed, variable, and serial debt. Next, the chapter discusses the municipal bond value proposition resulting from comparatively low rates of default coupled with relatively high investment returns on a taxable equivalent basis. The chapter also highlights several “hot button” issues facing the municipal bond market such as pension bonds, private-public partnerships, and types of bond sales.

scholarly journals The Impact of Government Intervention on Municipal Bond Liquidity Premium: Evidence from China

2019 ◽  
Vol 6 (3) ◽  
pp. 79 ◽  
Author(s):  
Xiao Wan Jiang
Keyword(s):  
Least Squares Method ◽  
Government Intervention ◽  
Liquidity Risk ◽  
Bond Market ◽  
Municipal Bonds ◽  
Yield Spread ◽  
Municipal Bond ◽  
Liquidity Premium ◽  
Short And Long Term ◽  
The Impact

Government intervention is an important factor which restricts the development of municipal bond market in China. Based on the revenue bond innovation pilot policy implemented by the Ministry of Finance in 2017, this paper uses municipal bond trading data of Chinese inter-bank bond market from May 2017 to June 2018 and the two-stage least squares method to study the impact of government intervention on the liquidity premium of municipal bonds. The results of the empirical research show: (1) The liquidity risk of municipal bonds is a factor that affects the yield spread, and the marginal impact of liquidity risk on the yield spread is about 4.6 basis points. (2) After the implementation of the revenue bond innovation pilot policy, the reduction of local government intervention significantly reduced the liquidity premium level of municipal bonds. Based on the above conclusions, we propose policy recommendations for the development of the municipal bond market in the short and long term.

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