The contribution of us bond demand to the us bond yield conundrum of 2004 to 2007: an empirical investigation

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dc.contributor.authorGoda, Thomas
dc.contributor.authorLysandrou, Photis
dc.contributor.authorStewart, Chris
dc.coverage.spatialMedellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degreeseng
dc.creator.emailtgoda@eafit.edu.cospa
dc.creator.emailp.lysandrou@londonmet.ac.ukspa
dc.creator.emailc.stewart@kingston.ac.ukspa
dc.date.accessioned2013-04-19T21:08:57Z
dc.date.available2013-04-19T21:08:57Z
dc.date.issued2011-12-12
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 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 assetseng
dc.identifier.jelC22
dc.identifier.jelG01
dc.identifier.jelG12
dc.identifier.jelE43
dc.identifier.urihttp://hdl.handle.net/10784/741
dc.language.isoengeng
dc.publisherUniversidad EAFITspa
dc.publisher.departmentEscuela de Economía y Finanzasspa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.subject.keywordARDL modellingeng
dc.subject.keywordbond yieldseng
dc.subject.keywordbond yield conundrumeng
dc.subject.keywordbond demandeng
dc.subject.keywordsubprime crisiseng
dc.subject.keywordstructural breakseng
dc.titleThe contribution of us bond demand to the us bond yield conundrum of 2004 to 2007: an empirical investigationeng
dc.typeworkingPapereng
dc.typeinfo:eu-repo/semantics/workingPapereng
dc.type.hasVersiondrafteng
dc.type.localDocumento de trabajo de investigaciónspa

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