Search Results
Journal Article
Government Debt in Domestic Hands During a Crisis
When banks load up on their government?s bonds, lending to firms and households can get crowded out. But when the sovereign debt market is in turmoil, such concentrations may play a surprising role.
Working Paper
Unspanned macroeconomic factors in the yield curve
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates.
Report
Trading activity in the Indian government bond market
We study how the Indian government bond market functions, how it has changed over time, and what factors help explain some of its features. Looking at the primary market, we describe how underwriting obligations are allocated to primary dealers via auction and identify several significant determinants of the underwriting commission cutoff rate, including the launch of the Negotiated Dealing System-Order Matching System (NDS-OM) electronic trading platform. Turning to the secondary market, we explore the importance of benchmark bonds, the launch of NDS-OM, the growth in trading activity, and ...
Journal Article
Central Bank Bond Purchases and the Price of Safety
Central banks purchase bonds and other securities with their own reserves. In doing so, they expand the supply of safe assets in the economy, which should lower the premium investors are willing to pay for safety. Analysis confirms that bond purchases by the European Central Bank in 2015–2021 lowered safety premiums for investors, partially offsetting declines in bond yields as much as 30 basis points. The results suggest that such transactions essentially reduce a central bank’s effectiveness in using asset purchases to lower interest rates in safe bond markets.
Working Paper
Government bond-backed repo markets: between resilience and vulnerability
This paper synthesizes the literature on vulnerabilities in government bond-backed repo markets, focusing on the features that contribute to both the fragility and stability of these markets. The literature shows that the same features that enable efficient liquidity provision, including short-term funding, dealer intermediation, extensive collateral reuse, and low haircuts, can also create channels for rapid transmission of stress. The review documents tight linkages between repo and government bond markets, highlighting how repos are key to the build-up of leverage and can propagate stress ...