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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27076
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| Title: | Coupon Effects and the Pricing of Japanese Government Bonds: An
Empirical Analysis |
| Authors: | Eom, Young Ho
Subrahmanyam, Marti G.
Uno, Jun |
| Keywords: | Japanese Government Bond Market
Accounting and Tax Effects
Term Structure |
| Issue Date: | Apr-1998 |
| Series/Report no.: | FIN-98-078 |
| Abstract: | In many markets, the term structure of interest rates implied by coupon
Treasury bonds provides a key input for pricing and hedging interest
rate-sensitive securities. Previous studies in the Japanese market,
however, suggest that the prices of the Japanese Government Bonds
(JGB's) were significantly affected modelling in the Japanese context
bases on interest rate factors could leave to misleading results. Since
the previous studies, there have been significant structural changes in
the regulatory environment, and in the liquidity of the Japanese bond
market in the 1990's. In this light, we examine the effect of these
changes on the JGB prices during the period between 1990 and 1996, by
analyzing the term structure of interest rates in the JGB market over
time. Specifically, we use the B-spline method to fit the term structure
of interest rates using weekly prices of "non-benchmark"
ten-year JGB's. We also use a non-linear econometric model to examine
the significance of the "coupon" effects, which are the
results of regulatory, accounting and liquidity factors. |
| URI: | http://hdl.handle.net/2451/27076 |
| Appears in Collections: | Finance Working Papers
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