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The Contribution of US Bond Demand to the US Bond Yield Conundrum of 2004 to 2007: An Empirical Investigation
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Blogs Publicados
General
Resumen
- Although the federal funds rate started rising from mid-2004 US long term rates continued to fall. A likely contributory factor to this conundrum was the contemporaneous increase in US bond demand. Using ARDL-based models, which accommodate structural breaks, this paper estimates the impact of demand on US bond yields in the conundrum period. This impact is shown to have been everywhere significantly negative. The fact that our model fully explains the bond yield conundrum gives support to the hypothesis that the US CDO market was rapidly expanded before 2007 chiefly to absorb the overspill of global demand for safe assets.
autores
fecha de publicación
- 2011-12
Área temática
- C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
- E43 - Tipos de interés: determinación, estructura temporal y efectos
- G01 - Crisis financiera
- G12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonos
Enfoque geográfico
- North America Continent
- United States of America Country
Investigaciones
Líneas de investigación
- ARDL
- Bond Demand
- Bond Yield Conundrum
- Bond Yields
- Structural Breaks
- Subprime Crisis
Información Adicional
Issue
- 10719