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Inside the Currency Market: Mechanics, Valuation, and Strategies
book

Inside the Currency Market: Mechanics, Valuation, and Strategies

by Brian Twomey
November 2011
Beginner
335 pages
9h 33m
English
Bloomberg Press
Content preview from Inside the Currency Market: Mechanics, Valuation, and Strategies

Japanese Yield Curves

For the Japanese Central Bank and Government, the focus is the benchmark 10-year bond, called the Japanese Government Bond (JGB). Why this is so can only be surmised. Consider the first-ever futures contract traded on the Tokyo Stock Exchange (TSE) was the 10-year JGB bond in 1985 (Tokyo Stock Exchange 2010).

As time progressed, a mini 10-year futures contract that was one tenth the size of a regular JGB 10-year contract began trading. The TSE offered an option contract on the JGB five-year bond in 2000, but stopped in 2002 when no interest in the contract materialized (Tokyo Stock Exchange 2010).

Consider further that 63.9 percent of all JGBs are owned by Japanese banks and insurance companies, 0.3 percent are owned by ...

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Publisher Resources

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