The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation

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dc.citation.epage136
dc.citation.journalTitleJournal of International Financial Markets, Institutions and Money.eng
dc.citation.spage113
dc.citation.volume27
dc.contributor.affiliationUniversidad EAFIT, School of Economics and Finance, Medellín, Colombiaspa
dc.contributor.affiliationLondon Metropolitan University, Business School, London, UKspa
dc.contributor.affiliationKingston University, School of Economics, History and Politics, Penrhyn Road, Kingston upon Thames.spa
dc.contributor.authorGoda,Thomasspa
dc.contributor.authorLysandroub Photisspa
dc.contributor.authorStewartc Chris.spa
dc.contributor.departmentEscuela de Economía y Finanzasspa
dc.contributor.departmentEconomíaspa
dc.contributor.programEstudios en Economía y Empresaspa
dc.date2013
dc.date.accessioned2015-11-06T16:26:26Z
dc.date.available2015-11-06T16:26:26Z
dc.date.issued2013
dc.description.abstractAlthough 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.eng
dc.identifier.doi10.1016/j.intfin.2013.07.012
dc.identifier.issn1042-4431
dc.identifier.urihttp://hdl.handle.net/10784/7543
dc.language.isoengeng
dc.publisherElseviereng
dc.relation.ispartofJournal of International Financial Markets, Institutions and Money.. Vol.27, 2013, pp.113-136spa
dc.relation.isversionofhttp://www.sciencedirect.com/science/article/pii/S1042443113000565
dc.relation.urihttp://www.sciencedirect.com/science/article/pii/S1042443113000565
dc.rightsrestrictedAccesseng
dc.rightsCopyright © 2013 Elsevier B.V. All rights reserved.spa
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccesseng
dc.rights.localAcceso restringidospa
dc.sourceJournal of International Financial Markets, Institutions and Money.. Vol.27, 2013, pp.113-136spa
dc.subject.keywordARDL modelingeng
dc.subject.keywordBond yield conundrumeng
dc.subject.keywordInvestor demandeng
dc.subject.keywordSubprime crisiseng
dc.subject.keywordStructural breakseng
dc.titleThe contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigationeng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.type.hasVersionObra publicadaspa
dc.type.localArtículospa

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