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Journal articles on the topic 'Treasury Bond'

Author: Grafiati

Published: 4 June 2021

Last updated: 1 February 2022

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1

Li, Ming, Shaofeng Yuan, and Yiwen Jiang. "The Analysis of the Characteristics and the Reasons of China Treasury Bond Futures." GIS Business 11, no. 5 (September 3, 2016): 01–10. http://dx.doi.org/10.26643/gis.v11i5.3404.

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Treasury bond futures basis is one of the core indicators of futures market operation quality. Identifying characteristics and causes of futures basis from an objective respect are of realistic significance for correctly understanding and improving the treasury bond futures market. Based on the analysis of Chinas treasury bond futures basis, the article summarizes the main factors affecting treasury bond futures basis, elaborates the market impact of characteristics of treasury bond futures spread, and then offers a proposal to improve the treasury bond futures market.

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2

Lee, Jaehoon. "Risk Premium Information from Treasury-Bill Yields." Journal of Financial and Quantitative Analysis 53, no. 1 (January 23, 2018): 437–54. http://dx.doi.org/10.1017/s0022109017000813.

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I find that short-maturity Treasury-bill yields have unique information about risk premiums that is not spanned by long-maturity Treasury-bond yields. I estimate 2 components of risk premiums: long term and short term. The long-term component steepens the slope of yield curves and has a forecastability horizon of longer than 1 year. In contrast, the short-term component affects Treasury-bill yields but is almost invisible from Treasury bonds, has a forecastability horizon of less than 1 quarter, and is related to bond liquidity premiums.

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3

Zhang, Zihan. "Research on Treasury Bond Futures Trading Strategy Based on ARIMA Model." Finance and Market 5, no. 3 (September 18, 2020): 201. http://dx.doi.org/10.18686/fm.v5i3.2596.

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<p>This paper uses the ARIMA model to analyze the yield to maturity of China’s 10-year Treasury Bonds, and uses this yield rate to establish an investment strategy for 10-year Treasury Bond Futures (continuous in the current quarter). And then the strategy was back-tested in periods. In this paper, firstly, based on the ARIMA model, the full-sample fitting of the 10-year Treasury Bond yield to maturity series is carried out, and the fitting effect is confirmed. Then, the signal indicators and position sequence are established by comparing the iterative predicted value and the observed value. According to this method, the investment process of Treasury Bond Futures is simulated, and the return change of the strategy is quantified. Back-testing shows that this strategy tends to perform better in the volatile and bear market periods of the bond market but to underperform in the bull market period.</p>

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4

FLECKENSTEIN, MATTHIAS, FRANCIS A. LONGSTAFF, and HANNO LUSTIG. "The TIPS-Treasury Bond Puzzle." Journal of Finance 69, no. 5 (September 12, 2014): 2151–97. http://dx.doi.org/10.1111/jofi.12032.

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5

Swinkels, Laurens. "Treasury Bond Return Data Starting in 1962." Data 4, no. 3 (June 28, 2019): 91. http://dx.doi.org/10.3390/data4030091.

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Academics and research analysts in financial economics frequently use returns on government bonds for their empirical analyses. In the United States, government bonds are also called Treasury bonds. The Federal Reserve publishes the yield-to-maturity of Treasury bonds. However, the Treasury bond returns earned by investors are not publicly available. The purpose of this study is to provide these currently not publicly available return series and provide formulas such that these series can easily be updated by researchers. We use standard textbook formulas to convert the yield-to-maturity data to investor returns. The starting date of our series is January 1962, when end-of-month data on the yield-to-maturity become publicly available. We compare our newly created total return series with alternative series that can be purchased. Our return series are very close, suggesting that they are a high-quality public alternative to commercially available data.

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6

Ariff, M., A. Chazi, M. Safari, and A. Zarei. "Significant Difference in the Yields of Sukuk Bonds versus Conventional Bonds." Journal of Emerging Market Finance 16, no. 2 (July 25, 2017): 115–35. http://dx.doi.org/10.1177/0972652717712352.

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Bond yields of Treasury and corporate bonds are observed in a listed exchange. This article reports the findings on the market yield behaviour of two types of debt securities in the same exchange, the sharia-compliant sukuk bonds and the normal conventional bonds. There are 17 exchanges where sukuk bonds are traded, and the outstanding value is estimated at US$ 1,200 billion. The average yields of sukuk Treasury bonds are significantly higher (premium) than that of conventional Treasury bonds. On the other hand, investors in the sukuk corporate bonds receive slightly lower returns (discount) of about 25 basis points in the case of long-term sukuk bonds. To the best of our knowledge, this is the first study to verify these differences using appropriate advanced econometric methods. These results have far-reaching implications for the market practices as well as for teaching of bond pricing behaviour since this new form of debt markets is growing at about 17 per cent a year. JEL Classification: F23, F31, G12

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7

Permanasari, Intan, and Augustina Kurniasih. "Factors Affecting the Yield of Indonesia Government Bonds 10 Years." European Journal of Business and Management Research 6, no. 1 (February 26, 2021): 243–48. http://dx.doi.org/10.24018/ejbmr.2021.6.1.753.

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The purpose of this research is to analyze the effect of inflation, interest rates, the rupiah exchange rate, and the US 10-Year Treasury on the Indonesian Government Bond Yield. The study population was all yield tenors of the benchmark series Government bonds for the period 2017 to 2019. This study is an associative causality study. The research sample is Indonesian government bonds with a tenor of 10 years. Data were analyzed using multiple linear regression approach. The results show that inflation and US 10-Year Treasury have no effect on the Indonesian Government Bond Yield. Interest rates and the rupiah exchange rate have a positive and significant effect on the Indonesian Government Bond Yield.

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8

Durham, J. Benson. "US Treasury Bond Betas: 1961–2019." Journal of Fixed Income 29, no. 4 (January 7, 2020): 20–47. http://dx.doi.org/10.3905/jfi.2020.1.083.

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9

Choi, Youngsoo, Se Jin O, and Jae Yeong Seo. "Korean Treasury Bond Futures Pricing Model." Journal of Derivatives and Quantitative Studies 12, no. 1 (May 30, 2004): 1–22. http://dx.doi.org/10.1108/jdqs-01-2004-b0001.

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This paper proposes two alternative methods which are used for pricing the theoretical value of the KTB futures on the non-traded underlying asset; first method is to use the CKLS model, under which the volatility of interest rate changes is highly sensitive to the level of the interest rate, and then employ binomial trees to compute the theoretical value of futures, second one is to use the multifactor Vasicek model considering correlations between yields-to-maturity and then employ the Monte Carlo simulation to compute it. In the empirical study on KTB303 and KTB306, an CKLS methodology is superior to the conventional KORFX method based on the cost-of-carry model in terms of the size of difference between market price and theoretical price. However, the phenomena, the price discrepancy using the KOFEX methodology is very small for all test perlod, implies that the KOFEX one is being used for the most market participants. The reasons that an multifactor Vasicek methodlogy is performed poorly in comparison to another methods are 1) the Vasicek model might be not a good model for explaining the level of interest rates, or 2) the important point considered by the most market participants may be on the volatility or interest rate, not on the correlations between yields-to-maturity.

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10

Butkiewicz, James L., and Mihaela Solcan. "The original Operation Twist: the War Finance Corporation's war bond purchases, 1918–1920." Financial History Review 23, no. 1 (April 2016): 21–46. http://dx.doi.org/10.1017/s0968565016000068.

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In 1918 the United States Treasury delegated to the War Finance Corporation, a newly created off-budget federal agency, the task of buying Liberty bonds and later Victory notes in an effort to stabilize prices. Bayesian vector autoregression analysis of the security purchases indicates that the WFC purchases provided statistically significant price support, and marginally lowered bond yields while the program operated. Once WFC purchases ended, war bond yields increased substantially. Between bond issues, the Treasury financed its operations, including security purchases from the WFC, by issuing short-term debt, which affected the money market interest rate. The WFC's bond purchases are found to have a positive and significant impact on the call loan rate. Thus the WFC's bond purchases twisted the yield curve.

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11

Gubareva, Mariya, and Ilias Chondrogiannis. "Capital Gains Sensitivity of US BBB-Rated Debt to US Treasury Market: Markov-Switching Analyses." Complexity 2020 (August 26, 2020): 1–13. http://dx.doi.org/10.1155/2020/4159053.

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We reexamine the relationship between credit spreads and interest rates from a capital gain perspective of bond portfolio. Capital gain sensitivity between US BBB-rated bonds and Treasury bonds is weak and positive in normal periods, but strong and negative during recessions. In the upward phase of business cycles, changes in interest rates are fully reflected in the bond yields, leaving spreads unchanged, while in the downward phase, rates and spreads move in opposite directions. This alternation between two distinct regimes reconciles a long-standing division in the literature. We then discuss the efficiency of shorting Treasury bonds as a hedging strategy and policy suggestions.

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12

Babbel, David F., Craig B. Merrill, Mark F. Meyer, and Meiring de Villiers. "The Effect of Transaction Size on Off-the-Run Treasury Prices." Journal of Financial and Quantitative Analysis 39, no. 3 (September 2004): 595–611. http://dx.doi.org/10.1017/s002210900000404x.

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AbstractThis paper examines intra-day trading data from the inter-dealer broker market for U.S. Treasury securities and measures the degree of price pressure in the off-the-run Treasury market. As is well known, securities that would appear to be very close substitutes, i.e., on-the-run and off-the-run Treasury bonds, behave as if there is some degree of market segmentation. This is the first systematic study of the off-the-run Treasury note and bond market focused entirely on a price pressure effect using intra-day data. The paper analyzes price pressure through matched pairs of securities that differ only in liquidity.

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13

Goyenko, Ruslan, Avanidhar Subrahmanyam, and Andrey Ukhov. "The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns." Journal of Financial and Quantitative Analysis 46, no. 1 (November 10, 2010): 111–39. http://dx.doi.org/10.1017/s0022109010000700.

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AbstractPrevious studies of Treasury market illiquidity span short time periods and focus on particular maturities. In contrast, we study the time series of illiquidity for different maturities over an extended period of time. We also compare time-series determinants of on-the-run and off-the-run illiquidity. Illiquidity increases and the difference between spreads of long- and short-term bonds significantly widens during recessions, suggesting a “flight to liquidity,” wherein investors shift into the more liquid short-term bonds during economic contractions. Macroeconomic variables such as inflation and federal funds rates forecast off-the-run illiquidity significantly but have only modest forecasting ability for on-the-run illiquidity. Bond returns across maturities are forecastable by off-the-run but not on-the-run bond illiquidity. Thus, off-the-run illiquidity, by reflecting macro shocks first, is the primary source of the liquidity premium in the Treasury market.

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14

Ariff, Mohamed, Alireza Zarei, and Ishaq Bhatti. "Test on yields of equivalently-rated bonds." International Journal of Islamic and Middle Eastern Finance and Management 11, no. 1 (April 16, 2018): 59–78. http://dx.doi.org/10.1108/imefm-02-2017-0040.

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Purpose This paper aims to report practice-relevant anomalous investment yield behavior of two types of bonds – Type A, the mainstream bond, and Type B, which is Sukuk – both having similar cash-flow-relevant characteristics. Design/methodology/approach Bond valuation theory suggests that yields to investors of similarly rated bonds ought to be same. The authors collected time-series data on A and B bonds, all being coupon-paying bonds with similar rating and similar tenor as two matched samples traded in a bond exchange. To ensure the results are extended to different bond sectors, the data set was separated into treasury bonds as risk-free and corporate bonds as risky ones. The data set was further sub-divided into short-, medium- and long-tenor bonds. As the data straddle the Global Financial Crisis period, the authors use appropriate econometric method to control the possible effect from the crisis. Findings The average and median yields on Type A bond are significantly different from those of Type B. The test results show significant and systematic differences: treasury bonds of Type A returns yield lower than treasury bonds of Type B; the yields of corporate mainstream bonds (A) are higher than the yields of Sukuk (B). The authors observe these findings constitute a puzzle, being anomalous to theory. Originality/value This paper is original in that it is documenting significant differences in pricing of equivalent bonds. This has both theory and practice implications for fixed-income security market practices. The evidence is very strong to suggest that the identical types of bonds may have missing variable that contributes to the difference. Therefore, further research to identify the missing variable is necessary.

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15

PUCCI, MARIO. "CONSTANT MATURITY TREASURY CONVEXITY CORRECTION." International Journal of Theoretical and Applied Finance 17, no. 08 (December 2014): 1450051. http://dx.doi.org/10.1142/s0219024914500514.

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In a Constant Maturity Treasury (CMT) swap the exotic leg pays, for a given tenor, the yield-to-maturity computed out of a reference bond curve. This paper introduces a theoretical framework for the modelling of CMT that takes into account default risk of bond issuer. As an application, we obtain, under simple but standard assumptions, analytical convexity corrections for some fundamental payoffs contingent on the CMT.

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16

Sung-Hyun, Kim, and Park Sang-Bum. "An Empirical Study on Effects of US Treasury Futures Market on the KTB Futures Market and Its Information Transfer Effect – Mainly after the Global Financial Crisis." International Journal of Economics and Finance 7, no. 12 (November 24, 2015): 262. http://dx.doi.org/10.5539/ijef.v7n12p262.

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Since the Global Financial Crisis in 2008, funds have been moved to safe assets from previously preferred risky assets on a global basis. Moreover, the financial crisis ignited in the U.S.A. led to strong quantitative easing policies, which played a major variable in the monetary policies of the major countries. So, the US treasury yield rates and Korean counterpart have showed signs of being synchronized. On the other hand, foreigners’ investments on Korean bonds became accelerated; the amount invested to Korean treasury by foreigners as well as their influence in the Korean treasury market has been expanded. Particularly, investment on the 10 year treasury bonds has increased, which spread influence of the Korean treasury market. In this regard, the study analyzed effects of the US treasury market on Korean counterpart. In order to analyze the volatility transfer effects from US treasury market to the KTB future market, in consideration of the synchronized maturity dates of the treasury and the officially announced prices, data on US 10 year treasury futures index and Korean 10 year treasury futures index . GARCH model was used for empirical analysis. Effects of the daily volatility and direction of US 10 year treasury futures index on the Korean counterpart was analyzed. Through the analysis, it was confirmed that information was transferred to the yield of Korean 10 year treasury futures index from the US counterpart. The study will be able to help establish more rational and efficient strategy for bond investment and operation.

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17

Belton, Terry, and Galen Burghardt. "Volatility Arbitrage in the Treasury Bond Basis." Journal of Portfolio Management 19, no. 3 (April 30, 1993): 69–77. http://dx.doi.org/10.3905/jpm.1993.409447.

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18

Goyenko, Ruslan, and Sergei Sarkissian. "Treasury Bond Illiquidity and Global Equity Returns." Journal of Financial and Quantitative Analysis 49, no. 5-6 (July 7, 2014): 1227–53. http://dx.doi.org/10.1017/s0022109014000362.

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AbstractIn this study, using data from 46 markets and a 34-year time period, we examine the impact of the illiquidity of U.S. Treasuries on global asset valuation. We find that it predicts equity returns in both developed and emerging markets. This predictive relation remains intact after controlling for various world- and country-level variables. Asset pricing tests further reveal that bond illiquidity is a priced factor even in the presence of other conventional risks. Since the illiquidity of Treasuries is known to reflect monetary and macroeconomic shocks, our results suggest that it can be considered a proxy for aggregate worldwide risks.

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19

Rendleman, Richard J. "Duration–Based Hedging with Treasury Bond Futures." Journal of Fixed Income 9, no. 1 (June 30, 1999): 84–91. http://dx.doi.org/10.3905/jfi.1999.319233.

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20

Bhattacharya, Anand K. "Option expirations and treasury bond futures prices." Journal of Futures Markets 7, no. 1 (February 1987): 49–64. http://dx.doi.org/10.1002/fut.3990070106.

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21

Arak, Marcelle, and Laurie S. Goodman. "Treasury bond futures: Valuing the delivery options." Journal of Futures Markets 7, no. 3 (June 1987): 269–86. http://dx.doi.org/10.1002/fut.3990070304.

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22

Chen, Ren-Raw, and Shih-Kuo Yeh. "Analytical bounds for Treasury bond futures prices." Review of Quantitative Finance and Accounting 39, no. 2 (September 4, 2011): 209–39. http://dx.doi.org/10.1007/s11156-011-0247-y.

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23

Li, Haitao, Chunchi Wu, and Jian Shi. "Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities." China Finance Review International 7, no. 2 (May 15, 2017): 134–62. http://dx.doi.org/10.1108/cfri-11-2016-0125.

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Purpose The purpose of this paper is to estimate the effects of liquidity on corporate bond spreads. Design/methodology/approach Using a systematic liquidity factor extracted from the yield spreads between on- and off-the-run Treasury issues as a state variable, the authors jointly estimate the default and liquidity spreads from corporate bond prices. Findings The authors find that the liquidity factor is strongly related to conventional liquidity measures such as bid-ask spread, volume, order imbalance, and depth. Empirical evidence shows that the liquidity component of corporate bond yield spreads is sizable and increases with maturity and credit risk. On average the liquidity spread accounts for about 25 percent of the spread for investment-grade bonds and one-third of the spread for speculative-grade bonds. Research limitations/implications The results show that a significant part of corporate bond spreads are due to liquidity, which implies that it is not necessary for credit risk to explain the entire corporate bond spread. Practical implications The results show that returns from investments in corporate bonds represent compensations for bearing both credit and liquidity risks. Originality/value It is a novel approach to extract a liquidity factor from on- and off-the-run Treasury issues and use it to disentangle liquidity and credit spreads for corporate bonds.

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24

Bidabad, Bijan. "Interest-Free Treasury Bonds (IFTB)." International Journal of Shari'ah and Corporate Governance Research 2, no. 2 (June 8, 2019): 13–21. http://dx.doi.org/10.46281/ijscgr.v2i2.306.

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Purpose: Although the treasury bill is the most important monetary instrument in central banking, its application in different phases of the business cycle, especially in a liquidity trap, is not working well. To remove this obstacle “Interest-Free Treasury Bond” (IFTB) is introduced as a substitute for conventional treasury bills. Design: IFTB is a valuable paper which is issued by government treasury through a barter contract and is sold to central or commercial banks. The issuer is a debtor to the holder and has to pay back the nominal value at maturity; in addition, the issuer is committed to lending a similar amount of money to the paper holder for an equal period. Zero interest rate is nominated for lending and borrowing. Finding: IFTB is a zero-coupon, asset-backed note with no interest and is designed upon “debt equal to future loan”, or “loan equal to future debt” with “time-withdrawal right”. The paper holder can supply and transact her bond in the secondary market at a competitive price. Practical implication: It can be used as a substitute for conventional treasury bills. All conventional and non-usury systems can implement IFTB. JEL: E43, E44, E52, E58, E62, E63

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25

Samorajski, Gregory S., and Bruce D. Phelps. "Using Treasury Bond Futures to Enhance Total Return." Financial Analysts Journal 46, no. 1 (January 1990): 58–65. http://dx.doi.org/10.2469/faj.v46.n1.58.

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26

Grieves, Robin, and Alan J. Marcus. "Delivery Options and Treasury–Bond Futures Hedge Ratios." Journal of Derivatives 13, no. 2 (November 30, 2005): 70–76. http://dx.doi.org/10.3905/jod.2005.605353.

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27

Arnold, Ivo J. M., and Evert B. Vrugt. "Treasury Bond Volatility and Uncertainty about Monetary Policy." Financial Review 45, no. 3 (July 13, 2010): 707–28. http://dx.doi.org/10.1111/j.1540-6288.2010.00267.x.

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28

Hegde, Shantaram P. "The Forecast Performance of Treasury Bond Futures Contracts." Journal of Business Finance & Accounting 14, no. 2 (June 1987): 291–304. http://dx.doi.org/10.1111/j.1468-5957.1987.tb00545.x.

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29

Ritchken, Peter, and L. Sankarasubramanian. "Pricing the Quality Option In Treasury Bond Futures." Mathematical Finance 2, no. 3 (July 1992): 197–214. http://dx.doi.org/10.1111/j.1467-9965.1992.tb00029.x.

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30

Koenigsberg, Mark. "A Delivery Option Model for Treasury Bond Futures." Journal of Fixed Income 1, no. 1 (June 30, 1991): 75–88. http://dx.doi.org/10.3905/jfi.1991.692349.

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31

Jones, Robert A. "Conversion factor risk in treasury bond futures: Comment." Journal of Futures Markets 5, no. 1 (1985): 115–19. http://dx.doi.org/10.1002/fut.3990050112.

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32

Batlin, Carl A. "Hedging mortgage-backed securities with treasury bond futures." Journal of Futures Markets 7, no. 6 (December 1987): 675–93. http://dx.doi.org/10.1002/fut.3990070607.

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33

Simon, David P. "Implied volatility asymmetries in treasury bond futures options." Journal of Futures Markets 17, no. 8 (December 1997): 873–85. http://dx.doi.org/10.1002/(sici)1096-9934(199712)17:8<873::aid-fut2>3.0.co;2-i.

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34

Oviedo, Rodolfo. "Improving the Design of Treasury Bond Futures Contracts*." Journal of Business 79, no. 3 (May 2006): 1293–315. http://dx.doi.org/10.1086/500677.

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35

de Jong, Frank, and Joost Driessen. "Liquidity Risk Premia in Corporate Bond Markets." Quarterly Journal of Finance 02, no. 02 (June 2012): 1250006. http://dx.doi.org/10.1142/s2010139212500061.

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This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that corporate bond returns have significant exposures to fluctuations in treasury bond liquidity and equity market liquidity. Further, this liquidity risk is a priced factor for the expected returns on corporate bonds, and the associated liquidity risk premia help to explain the credit spread puzzle. In terms of expected returns, the total estimated liquidity risk premium is around 0.6% per annum for US long-maturity investment grade bonds. For speculative grade bonds, which have higher exposures to the liquidity factors, the liquidity risk premium is around 1.5% per annum. We find very similar evidence for the liquidity risk exposure of corporate bonds for a sample of European corporate bond prices.

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36

Adrangi, Bahram, and Douglas A. Hensler. "Treasury bill auction announcements and the transitory positive Tuesday return in the Treasury bond market." Applied Financial Economics 5, no. 5 (October 1995): 301–7. http://dx.doi.org/10.1080/758522756.

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37

Wang, Z. Jay, Hanjiang Zhang, and Xinde Zhang. "Fire Sales and Impediments to Liquidity Provision in the Corporate Bond Market." Journal of Financial and Quantitative Analysis 55, no. 8 (November 4, 2019): 2613–40. http://dx.doi.org/10.1017/s0022109019000991.

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We examine impediments to liquidity provision by mutual funds to insurance companies during corporate bond fire sales. We find that financial regulation and limited capital capacity significantly affect liquidity provision. Mutual funds reduced their purchase of fire-sale bonds following regulatory changes after the 2008–2009 financial crisis. Funds facing more capital constraints (proxied by smaller cash and Treasury holdings, less liquid corporate bond investments, higher redemption risk, and less active investment styles) provide less liquidity. Mutual funds actively investing in fire-sale bonds earn significant returns from liquidity provision and demonstrate superior overall skills in corporate bond investments.

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38

Guo, Haifeng, Alexandros Kontonikas, and Paulo Maio. "Monetary Policy and Corporate Bond Returns." Review of Asset Pricing Studies 10, no. 3 (July 7, 2020): 441–89. http://dx.doi.org/10.1093/rapstu/raaa005.

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Abstract We investigate the impact of monetary policy shocks on excess corporate bonds returns. We obtain a significant negative response of bond returns to policy shocks, which is especially strong among low-grading bonds. The largest portion of this response is related to higher expected bond returns (risk premium news), while the impact on expectations of future interest rates (interest rate news) plays a secondary role. However, the interest rate channel is dominant among high-grading bonds and Treasury bonds. Looking at the two components of bond premium news, we find that the dominant channel for high-rating (low-rating) bonds is term premium (credit premium) news. (JEL 44, E52, G10, G12) Received: March 25, 2019: Editorial decision: March 27, 2020 by Editor: Hui Chen. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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39

Mollick, Andre Varella, and Gokce Soydemir. "The Impact of the Japanese Purchases of U.S. Treasuries on the Dollar/Yen Exchange Rate." Global Economy Journal 8, no. 1 (January 2008): 1850127. http://dx.doi.org/10.2202/1524-5861.1324.

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This article connects net Japanese purchases of U.S. Treasury securities and the U.S. 10-year Treasury bond yields to the yen/dollar exchange rate. VAR estimations suggest that a one-time increase in net Japanese purchases has an immediate negative effect on U.S. long bond yields but a short-lived delayed yen depreciation. Further, a one-time increase in the U.S. long yield leads to an immediate yen depreciation. Our results support the hypothesis that Japanese investors, who are major holders of U.S. debt and face extremely low interest rates domestically, influence the dollar/yen rate in a financially integrated world.

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40

서상구. "Price Discovery in the Korean Treasury Bond Futures Market." Management & Information Systems Review 30, no. 2 (June 2011): 257–75. http://dx.doi.org/10.29214/damis.2011.30.2.011.

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41

Overdahl, James A. "The Early Exercise of Options on Treasury Bond Futures." Journal of Financial and Quantitative Analysis 23, no. 4 (December 1988): 437. http://dx.doi.org/10.2307/2331082.

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42

Athanassakos, George, and Yisong Sam Tian. "Seasonality in Canadian treasury bond returns: An institutional explanation." Review of Financial Economics 7, no. 1 (January 1998): 65–86. http://dx.doi.org/10.1016/s1058-3300(99)80146-3.

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43

LaBarge, Karin Peterson. "DAILY TRADING ESTIMATES FOR TREASURY BOND FUTURES CONTRACT PRICES." Financial Review 22, no. 3 (August 1987): 77. http://dx.doi.org/10.1111/j.1540-6288.1987.tb01211.x.

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44

GIACOLETTI, MARCO, KRISTOFFER T. LAURSEN, and KENNETH J. SINGLETON. "Learning From Disagreement in the U.S. Treasury Bond Market." Journal of Finance 76, no. 1 (August 10, 2020): 395–441. http://dx.doi.org/10.1111/jofi.12971.

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Gazioglu, Saziy E., and W. David McCausland. "The dynamics of bond versus treasury bill deficit financing." Applied Economics Letters 7, no. 4 (April 2000): 219–23. http://dx.doi.org/10.1080/135048500351546.

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HEMLER, MICHAEL L. "The Quality Delivery Option in Treasury Bond Futures Contracts." Journal of Finance 45, no. 5 (December 1990): 1565–86. http://dx.doi.org/10.1111/j.1540-6261.1990.tb03728.x.

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Chen, Ren-Raw, Hann-Shing Ju, and Shih-Kuo Yeh. "Embedded Options in Treasury Bond Futures Prices: New Evidence." Journal of Fixed Income 19, no. 1 (June 30, 2009): 82–95. http://dx.doi.org/10.3905/jfi.2009.19.1.082.

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LaBarge, Karin Peterson. "Daily trading estimates for treasury bond futures contract prices." Journal of Futures Markets 8, no. 5 (October 1988): 533–61. http://dx.doi.org/10.1002/fut.3990080503.

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Frino, Alex, William Peng He, and Andrew Lepone. "The Pricing and Efficiency of Australian Treasury Bond Futures." Australasian Accounting, Business and Finance Journal 8, no. 2 (2014): 3–14. http://dx.doi.org/10.14453/aabfj.v8i2.2.

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Jordan, Bradford D., and Susan D. Jordan. "Tax options and the pricing of treasury bond triplets." Journal of Financial Economics 30, no. 1 (November 1991): 135–64. http://dx.doi.org/10.1016/0304-405x(91)90040-q.

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