Detail The Benchmark Issue Premium in The Japanese Government Bond Market : A Re-Examination   Oleh:  Fukuta, Yuichi Jenis: Article from Bulletin/Magazine Dalam koleksi: JAPAN AND THE WORLD ECONOMY vol. 7 no. 3 (1995), page 291-308. Topik: PREMIUM; benchmark; issue premium; government bond market Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ47.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Isi artikel This article examines whether or not a benchmark issue premium has existed in the Japanese government bond market. If the premium exists, a benchmark issue is less discounted than a non-benchmark issue, which only differ in their coupon rates. We show that, if the benchmark issue premium does not exist, then their prices are cointegrated, with cointegrating vector (1, - c), where c denotes the ratio of their coupon rates. Examining this condition, we find that, while a benchmark issue premium may have existed in past, it disappears recent periods. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Kembali

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