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Structural Reforms in Government Bond Markets
Author:
International Monetary Fund
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Series:
IMF Working Papers
Volume/Issue:
Volume 1998: Issue 108
Language:
English
Publication Date:
01 Aug 1998
DOI:
https://doi.org/10.5089/9781451853070.001
ISBN:
9781451853070
ISSN:
1018-5941
Pages:
31
Keywords:
WP; government bond; futures contract; ratio; variance ratio; government debt; relationship lending; derivatives; informational efficiency; option market owner; futures trader; yield data; introduction of futures; relationship financing; government bond market; futures trading; Futures; Sovereign bonds; Options; Stock markets; Bond yields
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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The paper documents institutional reforms that have taken place in the government debt markets of many industrial countries since the early 1980s, and investigates the impact of three key changes: (i) the move from relationship financing to market funding; (ii) the introduction of options; and (iii) the introduction of futures. Variance ratio tests on bond data for 14 industrial countries indicate that the move to market funding increased the volatility of bond yields and improved the informational efficiency of the secondary markets. The introduction of options and futures increased the informational efficiency of the underlying market, but did not have a stabilizing effect.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund