The contribution of us bond demand to the us bond yield conundrum of 2004 to 2007: an empirical investigation
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 deman...
- Autores:
-
Goda, Thomas
Lysandrou, Photis
Stewart, Chris
- Tipo de recurso:
- Fecha de publicación:
- 2011
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- eng
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/741
- Acceso en línea:
- http://hdl.handle.net/10784/741
- Palabra clave:
- ARDL modelling
bond yields
bond yield conundrum
bond demand
subprime crisis
structural breaks
- Rights
- License
- Acceso abierto
| Summary: | 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 |
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