short and long horizons, with encouraging results. In particular, our forecasts appear much more accurate at long horizons than various standard benchmark forecasts. Finally, we discuss a number of extensions, including generalized duration measures, applications to active bond portfolio management

2000 ADB Workshop on Government Bond Markets, March (Manila) for their comments and discussions. Further Reforms after the “BIG BANG”: The Japanese Government Bond Market This paper identifies key steps for further development of the JGB market in aligning its infrastructures with those of the U

The semi-government bond market has grown rapidly in recent years, reflecting developments in state government financing needs, in particular increasing funding needs for infrastructure investment. The growth has increased the depth and liquidity of the market, and semi-government securities form

March 1998- No. IFM-111Jorge Castellanos (former Superintedent of Banks, and Manager of the Public Debt for Colombia) is currently a member of the Emerging Markets Sovereign Advisory Group at J. P. Morgan in New York City. The findings, interpretations, and conclusions expressed in this paper are enterely those of the author and should not be attributed in any manner to the IDB. Contents

This paper presents an analysis of tax clientele eects in the German government bond market from the viewpoint of private investors. The

Research Paper No. 2003-5Floor versus electronic trading of government bond futures

Since the announcement of the Outright Monetary Transactions (OMT) programme by Mario Draghi, President of the ECB, in 2012, the government bond spreads began a strong decline. This paper finds that most of this decline is due to the positive market sentiments that the OMT programme has triggered

The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds

clientele and the supply of bonds with that maturity. For example, the typical clientele for long-term bonds are pension funds. An increase in their demand would be expected to raise prices of long-term bonds and thus lower long-term interest rates. In short, preferred habitat implies that there is price

The main objective of this paper is to study whether the introduction of the euro had an impact on the degree of integration of European Government bond markets. We adopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from the beginning of Monetary Union until June 2008