Structural Reforms in Government Bond Markets

August 1, 1998

Preview Citation

Format: Chicago

Structural Reforms in Government Bond Markets, (USA: International Monetary Fund, 1998) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Bond yields, Financial institutions, Financial markets, Futures, Options, Sovereign bonds, Stock markets

Keywords: Bond yields, Derivatives, Futures, Futures contract, Futures trader, Futures trading, Government bond, Government bond market, Government debt, Informational efficiency, Introduction of futures, Option market owner, Options, Ratio, Relationship financing, Relationship lending, Sovereign bonds, Stock markets, Variance ratio, WP, Yield data

Publication Details

Pages:

31
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1998/108
Stock No:

WPIEA1081998
ISBN:

9781451853070
ISSN:

1018-5941

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