The contribution of US bond demand to the US bond yield conundrum of 2004–2007: 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 for...

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Autores:
Goda,Thomas
Lysandroub Photis
Stewartc Chris.
Tipo de recurso:
Fecha de publicación:
2013
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
eng
OAI Identifier:
oai:repository.eafit.edu.co:10784/7543
Acceso en línea:
http://hdl.handle.net/10784/7543
Palabra clave:
ARDL modeling
Bond yield conundrum
Investor demand
Subprime crisis
Structural breaks
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License
restrictedAccess
id REPOEAFIT2_189096e9c74ff13203ffc8a6913d4f63
oai_identifier_str oai:repository.eafit.edu.co:10784/7543
network_acronym_str REPOEAFIT2
network_name_str Repositorio EAFIT
repository_id_str
spelling 20132015-11-06T16:26:26Z20132015-11-06T16:26:26Z1042-4431http://hdl.handle.net/10784/754310.1016/j.intfin.2013.07.012Although 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 foreign and domestic demand on AAA rated 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. Moreover, our models demonstrate that there are strong linkages between the 10-year Treasury yield and the long term yields of AAA rated non-Treasury bonds.engElsevierJournal of International Financial Markets, Institutions and Money.. Vol.27, 2013, pp.113-136http://www.sciencedirect.com/science/article/pii/S1042443113000565http://www.sciencedirect.com/science/article/pii/S1042443113000565restrictedAccessCopyright © 2013 Elsevier B.V. All rights reserved.Acceso restringidohttp://purl.org/coar/access_right/c_16ecJournal of International Financial Markets, Institutions and Money.. Vol.27, 2013, pp.113-136The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigationarticleinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtículoObra publicadapublishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1ARDL modelingBond yield conundrumInvestor demandSubprime crisisStructural breaksEscuela de Economía y FinanzasEconomíaGoda,ThomasLysandroub PhotisStewartc Chris.Universidad EAFIT, School of Economics and Finance, Medellín, ColombiaLondon Metropolitan University, Business School, London, UKKingston University, School of Economics, History and Politics, Penrhyn Road, Kingston upon Thames.Estudios en Economía y EmpresaJournal of International Financial Markets, Institutions and Money.2711313610784/7543oai:repository.eafit.edu.co:10784/75432015-11-06 16:36:49.538metadata.onlyhttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
title The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
spellingShingle The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
ARDL modeling
Bond yield conundrum
Investor demand
Subprime crisis
Structural breaks
title_short The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
title_full The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
title_fullStr The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
title_full_unstemmed The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
title_sort The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
dc.creator.fl_str_mv Goda,Thomas
Lysandroub Photis
Stewartc Chris.
dc.contributor.department.spa.fl_str_mv Escuela de Economía y Finanzas
Economía
dc.contributor.author.spa.fl_str_mv Goda,Thomas
Lysandroub Photis
Stewartc Chris.
dc.contributor.affiliation.spa.fl_str_mv Universidad EAFIT, School of Economics and Finance, Medellín, Colombia
London Metropolitan University, Business School, London, UK
Kingston University, School of Economics, History and Politics, Penrhyn Road, Kingston upon Thames.
dc.contributor.program.spa.fl_str_mv Estudios en Economía y Empresa
dc.subject.keyword.eng.fl_str_mv ARDL modeling
Bond yield conundrum
Investor demand
Subprime crisis
Structural breaks
topic ARDL modeling
Bond yield conundrum
Investor demand
Subprime crisis
Structural breaks
description 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 foreign and domestic demand on AAA rated 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. Moreover, our models demonstrate that there are strong linkages between the 10-year Treasury yield and the long term yields of AAA rated non-Treasury bonds.
publishDate 2013
dc.date.issued.none.fl_str_mv 2013
dc.date.available.none.fl_str_mv 2015-11-06T16:26:26Z
dc.date.accessioned.none.fl_str_mv 2015-11-06T16:26:26Z
dc.date.none.fl_str_mv 2013
dc.type.eng.fl_str_mv article
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
dc.type.hasVersion.spa.fl_str_mv Obra publicada
dc.type.hasVersion.eng.fl_str_mv publishedVersion
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 1042-4431
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/7543
dc.identifier.doi.none.fl_str_mv 10.1016/j.intfin.2013.07.012
identifier_str_mv 1042-4431
10.1016/j.intfin.2013.07.012
url http://hdl.handle.net/10784/7543
dc.language.iso.eng.fl_str_mv eng
language eng
dc.relation.ispartof.spa.fl_str_mv Journal of International Financial Markets, Institutions and Money.. Vol.27, 2013, pp.113-136
dc.relation.isversionof.none.fl_str_mv http://www.sciencedirect.com/science/article/pii/S1042443113000565
dc.relation.uri.none.fl_str_mv http://www.sciencedirect.com/science/article/pii/S1042443113000565
dc.rights.eng.fl_str_mv restrictedAccess
dc.rights.spa.fl_str_mv Copyright © 2013 Elsevier B.V. All rights reserved.
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
dc.rights.local.spa.fl_str_mv Acceso restringido
rights_invalid_str_mv restrictedAccess
Copyright © 2013 Elsevier B.V. All rights reserved.
Acceso restringido
http://purl.org/coar/access_right/c_16ec
dc.publisher.eng.fl_str_mv Elsevier
dc.source.spa.fl_str_mv Journal of International Financial Markets, Institutions and Money.. Vol.27, 2013, pp.113-136
institution Universidad EAFIT
repository.name.fl_str_mv Repositorio Institucional Universidad EAFIT
repository.mail.fl_str_mv repositorio@eafit.edu.co
_version_ 1814110114389426176

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