The Experts below are selected from a list of 22413 Experts worldwide ranked by ideXlab platform
Konstantin Milbradt - One of the best experts on this subject based on the ideXlab platform.
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What makes US Government Bonds safe assets
American Economic Review, 2016Co-Authors: Arvind Krishnamurthy, Konstantin MilbradtAbstract:US Government Bonds are widely considered to be the world’s safe store of value. US Government Bonds are a large fraction of safe asset portfolios, such as the porfolios of many central banks. The world demand for safe assets leads to low yields on US Treasury Bonds. During periods of economic turmoil, such as the events of 2008, these yields fall even further. Moreover, despite the fact that US Government debt has risen substantially relative to US GDP over the last decade, US Government bond yields have not risen. What makes US Government Bonds “safe assets”? Our answer in short is that safe asset investors have nowhere else to go but invest in US Government Bonds.
Arvind Krishnamurthy - One of the best experts on this subject based on the ideXlab platform.
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What makes US Government Bonds safe assets
American Economic Review, 2016Co-Authors: Arvind Krishnamurthy, Konstantin MilbradtAbstract:US Government Bonds are widely considered to be the world’s safe store of value. US Government Bonds are a large fraction of safe asset portfolios, such as the porfolios of many central banks. The world demand for safe assets leads to low yields on US Treasury Bonds. During periods of economic turmoil, such as the events of 2008, these yields fall even further. Moreover, despite the fact that US Government debt has risen substantially relative to US GDP over the last decade, US Government bond yields have not risen. What makes US Government Bonds “safe assets”? Our answer in short is that safe asset investors have nowhere else to go but invest in US Government Bonds.
Anupam Das - One of the best experts on this subject based on the ideXlab platform.
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AUSTRALIAN Government Bonds’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE
Annals of Financial Economics, 2020Co-Authors: Tanweer Akram, Anupam DasAbstract:This paper empirically models the dynamics of Australian Government Bonds’ nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts a decisi...
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AUSTRALIAN Government Bonds’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE
Annals of Financial Economics, 2020Co-Authors: Tanweer Akram, Anupam DasAbstract:This paper empirically models the dynamics of Australian Government Bonds’ nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts a decisive influence on Government bond yields because the central bank’s policy rate and other monetary policy actions determine the short-term interest rate, which in turn affects long-term Government Bonds’ nominal yields. The estimated models show that the short-term interest rate is the main driver of Australian Government Bonds’ nominal yields. These results imply that Keynes’s conjecture applies in the case of Australian Government Bonds’ nominal yields. Furthermore, the effect of the budget balance ratio on Government bond yields is small though statistically significant. There is no statistically discernable effect of the debt ratio on Government bond yields.
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"Australian Government Bonds' Nominal Yields: An Empirical Analysis"
2018Co-Authors: Tanweer Akram, Anupam DasAbstract:The short-term interest rate is the main driver of the Commonwealth of Australia Government Bonds' nominal yields. This paper empirically models the dynamics of Government Bonds' nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts decisive influence on Government bond yields because the central bank's policy rate and other monetary policy actions determine the short-term interest rate, which in turn affects long-term Government Bonds' nominal yields. The models estimated here show that Keynes's conjecture applies in the case of Australian Government Bonds' nominal yields. Furthermore, the effect of the budget balance ratio on Government bond yields is small but statistically significant. However, there is no statistically discernable effect of the debt ratio on Government bond yields.
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The Determinants of Long-Term Japanese Government Bonds’ Low Nominal Yields
SSRN Electronic Journal, 2014Co-Authors: Tanweer Akram, Anupam DasAbstract: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 remarkably low and stable since then. This is contrary to the received wisdom of the existing literature, which holds that higher Government deficits and indebtedness shall exert upward pressures on Government Bonds' nominal yields. This paper seeks to understand the determinants of JGBs' nominal yields. It examines the relationship between JGBs' nominal yields and short-term interest rates and other relevant factors, such as low inflation and persistent deflationary pressures and tepid growth. Low short-term interest rates, induced by monetary policy, have been the main reason for JGBs' low nominal yields. It is also argued that Japan has monetary sovereignty, which gives the Government of Japan the ability to meet its debt obligations. It enables the Bank of Japan to exert downward pressure on JGBs' nominal yields by allowing it to keep short-term interest rates low and to use other tools of monetary policy. The argument that current short-term interest rates and monetary policy are the primary drivers of long-term interest rates follows Keynes's (1930) insights.
Tanweer Akram - One of the best experts on this subject based on the ideXlab platform.
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AUSTRALIAN Government Bonds’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE
Annals of Financial Economics, 2020Co-Authors: Tanweer Akram, Anupam DasAbstract:This paper empirically models the dynamics of Australian Government Bonds’ nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts a decisi...
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AUSTRALIAN Government Bonds’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE
Annals of Financial Economics, 2020Co-Authors: Tanweer Akram, Anupam DasAbstract:This paper empirically models the dynamics of Australian Government Bonds’ nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts a decisive influence on Government bond yields because the central bank’s policy rate and other monetary policy actions determine the short-term interest rate, which in turn affects long-term Government Bonds’ nominal yields. The estimated models show that the short-term interest rate is the main driver of Australian Government Bonds’ nominal yields. These results imply that Keynes’s conjecture applies in the case of Australian Government Bonds’ nominal yields. Furthermore, the effect of the budget balance ratio on Government bond yields is small though statistically significant. There is no statistically discernable effect of the debt ratio on Government bond yields.
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"Australian Government Bonds' Nominal Yields: An Empirical Analysis"
2018Co-Authors: Tanweer Akram, Anupam DasAbstract:The short-term interest rate is the main driver of the Commonwealth of Australia Government Bonds' nominal yields. This paper empirically models the dynamics of Government Bonds' nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts decisive influence on Government bond yields because the central bank's policy rate and other monetary policy actions determine the short-term interest rate, which in turn affects long-term Government Bonds' nominal yields. The models estimated here show that Keynes's conjecture applies in the case of Australian Government Bonds' nominal yields. Furthermore, the effect of the budget balance ratio on Government bond yields is small but statistically significant. However, there is no statistically discernable effect of the debt ratio on Government bond yields.
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"The Dynamics of Japanese Government Bonds' Nominal Yields"
2018Co-Authors: Tanweer AkramAbstract:This paper employs a Keynesian perspective to explain why Japanese Government Bonds' (JGBs) nominal yields have been low for more than two decades. It deploys several vector error correction (VEC) models to estimate long-term Government bond yields. It shows that the low short-term interest rate, induced by the Bank of Japan's (BoJ) accommodative monetary policy, is mainly responsible for keeping long-term JGBs' nominal yields exceptionally low for a protracted period. The results also demonstrate that higher Government debt and deficit ratios do not exert upward pressure on JGBs' nominal yields. These findings are relevant to ongoing policy debates in Japan and other advanced countries about Government bond yields, fiscal sustainability, fiscal policy, functional finance, monetary policy, and financial stability.
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The Determinants of Long-Term Japanese Government Bonds’ Low Nominal Yields
SSRN Electronic Journal, 2014Co-Authors: Tanweer Akram, Anupam DasAbstract: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 remarkably low and stable since then. This is contrary to the received wisdom of the existing literature, which holds that higher Government deficits and indebtedness shall exert upward pressures on Government Bonds' nominal yields. This paper seeks to understand the determinants of JGBs' nominal yields. It examines the relationship between JGBs' nominal yields and short-term interest rates and other relevant factors, such as low inflation and persistent deflationary pressures and tepid growth. Low short-term interest rates, induced by monetary policy, have been the main reason for JGBs' low nominal yields. It is also argued that Japan has monetary sovereignty, which gives the Government of Japan the ability to meet its debt obligations. It enables the Bank of Japan to exert downward pressure on JGBs' nominal yields by allowing it to keep short-term interest rates low and to use other tools of monetary policy. The argument that current short-term interest rates and monetary policy are the primary drivers of long-term interest rates follows Keynes's (1930) insights.
Andreas Schabert - One of the best experts on this subject based on the ideXlab platform.
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default risk premia on Government Bonds in a quantitative macroeconomic model
Macroeconomic Dynamics, 2016Co-Authors: Falko Juessen, Ludger Linnemann, Andreas SchabertAbstract:This paper examines the pricing of public debt in a quantitative macroeconomic model with Government default risk. Default may occur due to a fiscal policy that does not preclude a Ponzi game. When a build-up of public debt makes this outcome inevitable, households stop lending such that the Government has to default. Interest rates on Government Bonds reflect expectations of this event. There may exist multiple bond prices compatible with a rational expectations equilibrium. We analyze the conditions under which expected default risk premia can quantitatively rationalize sizeable spreads on public Bonds. Sovereign default risk premia turn out to emerge at either very high debt to output ratios, or if the variance of productivity shocks is large.
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DEFAULT RISK PREMIA ON Government Bonds IN A QUANTITATIVE MACROECONOMIC MODEL
Macroeconomic Dynamics, 2014Co-Authors: Falko Juessen, Ludger Linnemann, Andreas SchabertAbstract:We develop a macroeconomic model in which the Government does not guarantee to repay debt. We ask whether movements in the price of Government Bonds can be rationalized by lenders' unwillingness to fully roll over debt when the outstanding level of debt exceeds the Government's repayment capacity. Investors do not support a Ponzi game in this case, but ration credit supply, thus forcing default at an endogenously determined fractional repayment rate. Interest rates on Government Bonds reflect expectations of this event. Numerical results show that default premia can emerge at moderately high debt-to-GDP ratios where even small changes in fundamentals lead to steeply rising interest rates. The behavior of risk premia broadly accords with recent observations for several European countries that experienced a worsening of fundamental fiscal conditions.
