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We study seasonality in the two-year Treasury Note yields. We find that most anecdotally observed seasonal variations of yields do not pass the more rigorous statistical significance test. In addition, the seasonality findings depend on how me measure yields and what kind of seasonal patterns we...
Persistent link: https://www.econbiz.de/10012898267
During the past two decades of economic stagnation and persistent deflation in Japan, chronic fiscal deficits have led to elevated and rising ratios of government debt to nominal GDP. Nevertheless, long-term Japanese government bonds' (JGBs) nominal yields initially declined and have stayed...
Persistent link: https://www.econbiz.de/10010412384
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bond yields. It shows that the low short-term interest rate, induced by the Bank of Japan's (BoJ) accommodative monetary …. These findings are relevant to ongoing policy debates in Japan and other advanced countries about government bond yields …
Persistent link: https://www.econbiz.de/10011844127
characterizes the behavior of government bond yields during and after these crashes. The most important determinant of changes in … bond yields appears to be inflationary expectations. When inflation is high and rising at the time of a currency crash …, bond yields tend to rise. Otherwise - and in every currency crash since 1985 - bond yields tend to fall. Over the past 20 …
Persistent link: https://www.econbiz.de/10014062831
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This paper analyzes the nominal yields of UK gilt-edged securities ("gilts") based on a Keynesian perspective, which holds that the short-term interest rate is the primary driver of the long-term interest rate. Quarterly data are used to model gilts' nominal yields. These models bring to light...
Persistent link: https://www.econbiz.de/10012291941
The yield on the 10-year U.S. Treasury Note is among the most cited interest rates by investors, policymakers, and fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a proxy for uncertainty about future interest rates, is a...
Persistent link: https://www.econbiz.de/10014530189
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has marked the outer boundary of Treasury bond maturities. However, longer-term bonds were not unknown in earlier years …
Persistent link: https://www.econbiz.de/10011586602