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Seasonal Variations in Two-Year Treasury Note Yields

Liu, Lan - 2019

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

Currency Crashes and Bond Yields in Industrial Countries

Gagnon, Joseph E. - 2005

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

Comments on 'Nominal Bonds and Interest Rates' by Shouyong Shi

Weber, Warren E. - 2005

Persistent link: https://www.econbiz.de/10014065164

Uncertainty about interest rates and crude oil prices

Qadan, Mahmoud; Cohen, Gil - In: Financial innovation : FIN 10 (2024), pp. 1-14

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

The empirics of UK gilts' yields

Akram, Tanweer; Li, Huiqing - 2020

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 dynamics of Japanese government bonds' nominal yields

Akram, Tanweer; Li, Huiqing - 2018

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

The determinants of long-term Japanese government bonds' low nominal yields

Akram, Tanweer; Das, Anupam - 2014

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

International capital flows and yields of public debt bonds

Leon, Márcia Saraiva - 2014

Persistent link: https://www.econbiz.de/10010344370

Modelling persistence and non-linearities in the US treasury 10-year bond yields

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Yaya, … - 2022

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …

Persistent link: https://www.econbiz.de/10012813850

Relative Value in Bonds : An Application to the US Treasury Market

Nteventzis, Dimitrios - 2015

The purpose of this paper is to empirically analyze the risk and return characteristics of relative value strategies in bonds. Three different yield curve models and three different strategies have been tested. We show that combining the information content from different yield curve models...

Persistent link: https://www.econbiz.de/10013009961