Price pressure in the government bond market

By Robin Greenwood, Dimitri Vayanos. 2010

285 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fa6b6237a6a0e168941eb250b2616c598ecb575c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Inflation Risk and the Inflation Risk Premium (2010, unknown): “8 More specifically, the Pensions Act of 2004 requires UK pension funds to mark their liabilities to market, using discount rates derived from long-term (inflation-linked) government bonds (see Greenwood and Vayanos (2009)).”
Anticipated and repeated shocks in liquid markets (2013, unknown): “For example, Simon (1991, 1994), Duffee (1996), Fleming (2002), Krishnamurthy (2002), Kuttner (2006), Greenwood and Vayanos (2010a), and Krishnamurthy and Vissing-Jorgensen (2010) document a positive correlation between the (residual) supply of individual Treasury securities and their idiosyncratic…”
A Preferred‐Habitat Model of the Term Structure of Interest Rates (2021, unknown): “Because, however, arbitrageurs 1For accounts of the 2004 U.K. pension reform and other related episodes, see Tzucker and Islam (2005), Garbade and Rutherford (2007), Islam (2007), and Greenwood and Vayanos (2010).”
Government Bonds and Their Investors: What are the Facts and Do They Matter? (2012, unknown): “In the United Kingdom, longterm yields declined following the increase in pension funds’ holdings of gilts (Greenwood and Vayanos, 2009).”
Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme (2016, background): “Vayanos and Vila (2009) and Greenwood and Vayanos (2010) argue that if demand for such bonds is not perfectly elastic, for example, due to market segmentation, a reduction in supply pushes prices up and lowers yields.”
The Safety Trap (2017, background): “Forward guidance works by alleviating the asset shortage that is at the root of the recession.(26)”
Bond Supply and Excess Bond Returns (2014, unknown): “Calculation details in Greenwood and Vayanos (2012). Please email the authors for a complete dataset of the time-series used in the paper, as well as replication code.”
Limits of Arbitrage (2010, unknown): “In Vayanos & Vila (2009) and Greenwood & Vayanos (2010b), arbitrageurs absorb shocks to the demand and supply of government bonds with specific maturities, and hedge by trading bonds with other maturities.”
Tracking Global Demand for Advanced Economy Sovereign Debt (2012, unknown): “Greenwood and Vayanos (2010) have shown that U.K. long-term interest rates experienced large and long-lasting shifts after the U.K. Pensions Act of 2004 created strong incentives for domestic pension funds to buy more government bonds.”
Flow and stock effects of large-scale Treasury purchases (2010, unknown): “Longstaff (2004) found also that the Treasury buyback program had significant effects on spreads between Treasuries and other government-guaranteed debt (RefCo bonds), and Greenwood and Vayanos (2010) argue that the purchases served to decrease longer-term Treasury yields relative to shortterm.”
FLOW AND STOCK EFFECTS OF LARGE-SCALE TREASURY PURCHASES: EVIDENCE ON THE IMPORTANCE OF LOCAL SUPPLY (2012, unknown): “3 (2007), Garleanu, Pedersen, and Poteshman (2009), Vayanos and Vila (2009), and Greenwood and Vayanos (2010b), where arbitrageurs transmit demand shocks for one asset to other assets, with the effects being the largest for assets that covary the most with the original asset—that is, for close…”