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Journal articles on the topic 'Treasury Bond'

Author: Grafiati

Published: 4 June 2021

Last updated: 26 July 2025

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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 (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 (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 (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 va

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4

Abakah, Emmanuel Joel Aikins, Aviral Kumar Tiwari, Aarzoo Sharma, and Dorika Jeremiah Mwamtambulo. "Extreme Connectedness between Green Bonds, Government Bonds, Corporate Bonds and Other Asset Classes: Insights for Portfolio Investors." Journal of Risk and Financial Management 15, no. 10 (2022): 477. http://dx.doi.org/10.3390/jrfm15100477.

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This paper aims to examine the connectedness between green and conventional assets, particularly during the period of economic downturn. Specifically, we examine quantile-based time-varying connectedness between the green bond market and other financial assets using quantile vector autoregression (QVAR) from 9 March 2018 to 10 March 2021. We use daily prices of S&P U.S. Treasury Bond Index, S&P US Aggregate Bond Index, S&P US Treasury Bond Current 10Y Index, S&P 500 Bond Index, S&P 500 Financials index, S&P 500 Energy Bond Index and S&P 500, giving a total of 784 ob

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5

Zwak-Cantoriu, Maria-Cristina. "The Contagion of International Crises: Implications of Inflation and Investor Sentiment on Stock and Treasury bond Returns." Proceedings of the International Conference on Business Excellence 17, no. 1 (2023): 1818–38. http://dx.doi.org/10.2478/picbe-2023-0161.

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Abstract In recent years, the stock market has faced numerous challenges generated by unexpected events that had a major impact on the global economy. Thus, through this paper, which is based on the analysis of the relationships between inflation, stock market yields and treasury bond yields in the context of international crises, it is intended to illustrate the possible effects of inflation on stock market yields and treasury bonds, as well as to compare the performance of stock market indices and treasury bonds in relation to the corresponding inflation. The main objective of this paper was

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6

Sumantri, M.M, Joko. "STUDI PENDAHULUAN PENGARUH PENERIMAAN DAN PENGELUARAN NEGARA TERHADAP IMBAL HASIL MISMATCH TREASURY BILLS." JURNAL PAJAK INDONESIA (Indonesian Tax Review) 1, no. 1 (2017): 52–64. http://dx.doi.org/10.31092/jpi.v1i1.168.

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The purpose of this preliminary study is to assist the Indonesian government and investors in predicting the effect of changes in state revenues and expenditures on yields on bonds to be issued under the name "mismatch treasury bills". The yield of treasury bills mismatch debt is proxied with 3-Month Indonesian Bond Yield indicator. By using linear regression analysis, state revenues and expenditure variables do not show a significant influence on the 3-Month Indonesian Bond Yield indicator.

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7

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 (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) o

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8

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 (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 rat

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9

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 (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 issui

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10

Swinkels, Laurens. "Treasury Bond Return Data Starting in 1962." Data 4, no. 3 (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

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11

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

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12

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 discu

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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 (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 s

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14

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 (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 th

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15

Wang, Huihui. "The Relationship Between Exchange Rates and Interest Rates: Evidence from the U.S. and Europe." Highlights in Business, Economics and Management 19 (November 2, 2023): 73–84. http://dx.doi.org/10.54097/hbem.v19i.11761.

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We analyze the relationship between exchange rates and interest rates for a sample of exchange rates between the U.S. dollar and the euro, as well as 10-year Treasury rates for both countries. The short-term relationship is modeled using ARMA, GARCH, and TGARCH models, and the study finds that the European 10-year Treasury bond has a significant effect on the exchange rate between the two countries while the U.S. 10-year Treasury bond does not have that effect. The long-term relationship is studied using the ARDL-ECM model, and the results show that between the U.S. 10-year Treasury rate, the

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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 (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 h

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17

Chen, Mei. "A Study on the Evolution and Driving Factors of US Treasury Bond Market Liquidity." Advances in Economics, Management and Political Sciences 124, no. 1 (2024): 86–92. http://dx.doi.org/10.54254/2754-1169/2024.17732.

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As the largest and most liquid sovereign debt market in the world, the liquidity of the US Treasury bond market has an important impact on the global financial market.Since 2008, the resilience of the U.S. Treasury market has shown a downward trend, at the same time that liquidity risks have gradually become prominent,in particular, due to external shocks such as the COVID-19 pandemic, market liquidity has experienced significant fluctuations. This paper deeply analyzes the primary and secondary markets of U.S. Treasury bonds, explores the key factors affecting the liquidity of these two marke

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18

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 (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 in

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19

PUCCI, MARIO. "CONSTANT MATURITY TREASURY CONVEXITY CORRECTION." International Journal of Theoretical and Applied Finance 17, no. 08 (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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20

Choi, Youngsoo, Se Jin O, and Jae Yeong Seo. "Korean Treasury Bond Futures Pricing Model." Journal of Derivatives and Quantitative Studies 12, no. 1 (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 s

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21

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

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22

Gajo, Marianne. "Börse Warschau lanciert Treasury Bond-Indexfamilie." Die Aktiengesellschaft 67, no. 24 (2022): r355—r356. http://dx.doi.org/10.9785/ag-2022-672409.

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23

Raza, Sohail, and Shahzad Munir. "The Impact of U.S. Quantitative Easing (QE) Announcements on Indian Government Bond Yields." Asian Journal of Economics, Business and Accounting 23, no. 19 (2023): 179–206. http://dx.doi.org/10.9734/ajeba/2023/v23i191083.

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This study investigates the impact of U.S. Quantitative Easing (QE) announcements on Indian Treasury yields. Two outstanding channels of spillover effects on bond yields documented in the existing literature are signalingchannel and portfolio balance channel. This study decomposes Indian Treasury yields into yield expectationsand risk premia to measure spillover effects of U.S. QE announcements. The impact on yield expectationmeasures signaling effect while the impact on risk premia measures portfolio balance effect. It is observed that FOMC announcements of Federal Reserve’s Quantitative Easi

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Yan, Shukun. "The Relationship Between US Dollar Index and US 10 Year Treasury Bond." Advances in Economics, Management and Political Sciences 124, no. 1 (2024): 64–72. https://doi.org/10.54254/2754-1169/2024.mur17831.

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As a key indicator of the global financial market, the relationship between the US 10-year treasury bond and the US dollar index has attracted extensive attention from the academic community. To explore the correlation and future trends between the two. This article collects relevant data, analyzes the relationship between ARIMA and VAR models, and makes future predictions. The research results show that in the future, the dollar index will remain around 80 points and treasury bond will remain around 4 points. But the correlation between them is weak. At the same time, because the trend of the

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Walter MBOTO, Helen, Innocent Obeten OKOI, Edom Onyam EDOM, and Monica Akeh UKONGIM. "Implication of Domestic Debt on Economic Growth in Nigeria." AKSU Journal of Management Sciences 7, no. 1&2 (2022): 43–56. http://dx.doi.org/10.61090/aksujomas.2022.003.

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The study assessed the implication of domestic debt on the growth of the Nigerian economy using treasury bills, treasury bond and other domestic debt instruments on economic growth. The ex-post facto research design was used. Secondary data were gotten from the CBN statistical bulletin for the period 1990 to 2019. The data were analyzed using the Autoregressive Distributive Lag (ARDL) technique. Findings from the analyses showed that there was an insignificant effect of treasury bill on the growth of the Nigerian economy both in the short run and long run. The study showed that there is a sign

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Zhang, Hanlin, and Dong Guo. "International Currency Circulation and Monetary Policy." International Journal of Innovation and Entrepreneurship 3, no. 1 (2024): 1. http://dx.doi.org/10.56502/ijie3010001.

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This paper explores the challenges in the internationalization of local currencies and the establishment of a robust International Currency Circulation (ICC) mechanism. Employing an innovative Agent-Based Model (ABM) grounded in Behavioral Finance, our research examines the interdependence between currency circulation and inter-bank treasury bond market. Through simulations, we analyze the impacts of monetary policies, increased overseas holdings, and investor sentiments on treasury bond prices and market activities. Our findings underscore the pivotal role of a robust monetary policy, the str

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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 (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 s

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28

Bukowska, Joanna. "The degree of integration of the government bond market of selected European Union countries into the eurozone government bond market." Central European Review of Economics & Finance 45, no. 4 (2023): 26–34. https://doi.org/10.24136/ceref.2023.021.

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Many studies indicate an increase in the degree of financial markets integration with the accession of a given country to the eurozone. This also applies to the degree of integration of the government bond market. There are studies that also indicate an increase in the level of integration as early as the stage of the country's accession to the European Union. The article analyzes the degree of integration of the selected European Union countries government bond markets into the eurozone government bond market. The research refers to two countries from the same region, namely the Czech Republi

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Yao-Jen Hsu, Yao-Jen Hsu, and Yeong-Jia Goo Yao-Jen Hsu. "The enigma of volatility: Exploring asymmetric threshold effects in U.S. bond futures prices during yield curve inversions." 企業管理學報 49, no. 4 (2024): 023–51. https://doi.org/10.53106/102596272024120494002.

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<p>In contrast to the majority of literature that focuses on financial product volatility during financial crises, this paper stands as the first study delving into the asymmetric threshold effects on the volatility of intermediate-term and long-term U.S. Treasury bond futures prices during the inverted yield curve period. We present compelling evidence confirming the presence of both TAR (Threshold AutoRegressive) and MTAR (Momentum Threshold AutoRegressive) effects within the sample period. Using a synchronous grid search algorithm, we simultaneously searched for the optimal threshold

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

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31

Goyenko, Ruslan, and Sergei Sarkissian. "Treasury Bond Illiquidity and Global Equity Returns." Journal of Financial and Quantitative Analysis 49, no. 5-6 (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 b

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32

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

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

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

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

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Szemán, Judit. "Green Treasury Bond – tool of sustainable finance." Multidiszciplináris Tudományok 13, no. 2 (2023): 42–51. http://dx.doi.org/10.35925/j.multi.2023.2.4.

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Green finance means financial solutions and investments that support environmentally friendly and sustainable economic development. Green finance includes financial activities, investments, business models enable economic growth, while minimizing environmental impacts and contributing to the fight against climate change. The rise of green financial products is motivated by several social, economic and market processes. This paper examines one tool of green financing, the Green Treasury Bond issues and its potential influencing factors in European Union comparison. The supposed influencing fact

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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 (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

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38

Bidabad, Bijan. "Interest-Free Treasury Bonds (IFTB)." International Journal of Shari'ah and Corporate Governance Research 2, no. 2 (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 com

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de Jong, Frank, and Joost Driessen. "Liquidity Risk Premia in Corporate Bond Markets." Quarterly Journal of Finance 02, no. 02 (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

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Süslü, Cemil. "The Impact of Macroeconomic Factors on the US Stock Exchange." International Journal of Sustainable Economies Management 11, no. 1 (2022): 1–22. http://dx.doi.org/10.4018/ijsem.311097.

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The aim of the present study was to analyze the impact of crude oil prices, the US treasury 10-year bond yield rate, and gold prices on S&P 500 stock prices using daily data of the period from 04/01/2010 to 19/11/2022. For that purpose, this study employed the ARDL method. According to the results of the ARDL method, there was no statistically significant relationship between S&P 500 stock prices and gold prices, oil prices, and US treasury 10-year bond yield rates in the long term. However, while the impact of US treasury 10-year bond yield rates and gold prices was positive in the lo

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Chun, Byoung Jo. "Identifying Interest Rate Transmission Mechanism under a Bayesian Network." Sustainability 16, no. 14 (2024): 5840. http://dx.doi.org/10.3390/su16145840.

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This study examines causal relationships among various short- and long-term interest rates in the Korean financial market to identify transmission channels. Monthly time series data from January 2015 to February 2024 were used, covering nine interest rates, including call rates, commercial paper (CP) rates, bank lending rates, and Treasury bond yields of different maturities. The study employs a Bayesian network to identify an acyclic causal structure between interest rates alongside a vector error correction model (VECM) to capture long-term equilibrium relationships and short-term dynamics.

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Goyenko, Ruslan Y., and Andrey D. Ukhov. "Stock and Bond Market Liquidity: A Long-Run Empirical Analysis." Journal of Financial and Quantitative Analysis 44, no. 1 (2009): 189–212. http://dx.doi.org/10.1017/s0022109009090097.

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AbstractThis paper establishes liquidity linkage between stock and Treasury bond markets. There is a lead-lag relationship between illiquidity of the two markets and bidirectional Granger causality. The effect of stock illiquidity on bond illiquidity is consistent with flight-to-quality or flight-to-liquidity episodes. Monetary policy impacts illiquidity. The evidence indicates that bond illiquidity acts as a channel through which monetary policy shocks are transferred into the stock market. These effects are observed across illiquidity of bonds of different maturities and are especially prono

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Zhu, Junyi, Ziquan Zhang, and Wanqingyang Wu. "The Impact of Policy Uncertainty on the US Treasury Bond Market." Advances in Economics, Management and Political Sciences 89, no. 1 (2024): 209–14. http://dx.doi.org/10.54254/2754-1169/89/20231415.

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In 2020, with the rapid spread of the epidemic worldwide, the financial markets of the United States and other countries experienced a huge impact rarely seen in history. This paper focuses on analyzing the impact of COVID-19 on the US economic situation and the bond market. It explores the potential logic of some US government policies to deal with the impact of COVID-19 on the bond market. In addition, this paper also compares and analyzes policies with real-time data to judge the effectiveness of various policies. Currently, the US government actively implements monetary and fiscal policies

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Chang, Ziqiang, Jingyi Huang, and Yanran Zhu. "The Importance and Application of Bonds in the Stock Market." BCP Business & Management 30 (October 24, 2022): 482–88. http://dx.doi.org/10.54691/bcpbm.v30i.2475.

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The bond market plays a role in predicting the economy and making portfolio selection for investors. More information can be obtained by analyzing the yield curve. Based on this, this paper mainly describes the role of the bond market and related measurement and analysis methods in detail. This article choose the relationship between the US benchmark interest rate and the yield of the US 10-year Treasury bond, as well as the relationship between the yield of the US 10-year Treasury bond and its price to analyze interest rate risk. Meanwhile, by quantifying the elements in the portfolio and com

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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 (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 f

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Özdemir-Dilidüzgün, Menevşe, Ayşe Altıok-Yılmaz, and Elif Akben-Selçuk. "Spread determinants in corporate bond pricing: The effect of market and liquidity risks." Panoeconomicus, no. 00 (2020): 2. http://dx.doi.org/10.2298/pan171024002o.

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This paper investigates the effect of market and liquidity risks on corporate bond pricing in Turkey, an emerging market, and in Europe. Results show that corporate bond returns have exposure to liquidity factors and not to market factors in both settings. Corporate bonds issued in Turkey have significant exposure to fluctuations in benchmark treasury bond liquidity and corporate bond market liquidity; while corporate bonds issued in Eurozone have exposure to equity market liquidity and are sensitive to fluctuations in a 10-year generic government bond liquidity. The total estimated liquidity

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

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

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

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

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