Structural Reforms in Government Bond Markets

International Monetary Fund

No 1998/108, IMF Working Papers from 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.

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 (search for similar items in EconPapers)
Pages: 31
Date: 1998-08-01
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:1998/108

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