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, doi: 10.1080/1354786022000007870.

Attached Files
Name Description MIMEType Size Downloads

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
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
DOI 10.1080/1354786022000007870
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
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
Connect to link resolver
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 0 times in TR Web of Science
Scopus Citation Count Cited 1 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 414 Abstract Views, 0 File Downloads  -  Detailed Statistics
Created: Mon, 13 Oct 2008, 15:34:53 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.