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Structural Reforms in Government Bond Markets

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  • International Monetary Fund

Abstract

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.

Suggested Citation

  • International Monetary Fund, 1998. "Structural Reforms in Government Bond Markets," IMF Working Papers 1998/108, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:1998/108
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    Cited by:

    1. Claessens,Stijn & Klingebiel,Daniela M. H. & Schmukler,Sergio L., 2003. "Government bonds in domestic and foreign currency: the role of macroeconomic and institutional factors," Policy Research Working Paper Series 2986, The World Bank.
    2. Stijn Claessens & Jerome Kreuser, 2007. "Strategic foreign reserves risk management: Analytical framework," Annals of Operations Research, Springer, vol. 152(1), pages 79-113, July.
    3. Salih N. Neftci & Mr. Andre O Santos, 2003. "Puttable and Extendible Bonds: Developing Interest Rate Derivatives for Emerging Markets," IMF Working Papers 2003/201, International Monetary Fund.
    4. Forssbaeck, Jens & Oxelheim, Lars, 2007. "The transition to market-based monetary policy: What can China learn from the European experience?," Journal of Asian Economics, Elsevier, vol. 18(2), pages 257-283, April.
    5. Kim Oosterlinck & Jeremy Simon, 2015. "Financial Repression and Bond Market Efficiency: the Case of Italy during World War II," Working Papers CEB 15-001, ULB -- Universite Libre de Bruxelles.

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