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Expectations and liquidity in Yen bond markets

Pynnonen, Seppo, Hogan, Warren and Batten, Jonathan 2002, Expectations and liquidity in Yen bond markets, Journal of the Asia Pacific economy, vol. 7, no. 3, pp. 335-354.

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Title Expectations and liquidity in Yen bond markets
Author(s) Pynnonen, Seppo
Hogan, Warren
Batten, Jonathan
Journal name Journal of the Asia Pacific economy
Volume number 7
Issue number 3
Start page 335
End page 354
Total pages 20 p.
Publisher Routledge
Place of publication Abingdon, England
Publication date 2002-10
ISSN 1354-7860
1469-9648
Summary The relationship between daily yields on Japanese government bonds (JGBs), and high grade (AA and AAA) yen eurobonds is investigated. We find the cointegration vector differs slightly from the expected order predicted by the expectations hypothesis and attribute this to differing degrees of liquidity in the eurobond and JGB markets. We conclude that the concentration of new Japanese government issues in maturities of five to ten years, combined with the practice by the authorities of holding a significant amount of outstanding bonds, has distorted the transmission process between different risk classes of bonds. An example of the dynamics of the credit spread on the ten-year AA eurobond is provided.
Language eng
Field of Research 150203 Financial Institutions (incl Banking)
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2002, Taylor & Francis Ltd.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30008536

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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