Questioning Secondary Market outright Transaction in Government Securities for Minimum & Maximum yield to Maturity

Securities Transaction Tax and Market Quality - The Case of France

The French Securities Transaction Tax (STT) implementation on August 1st, 2012, is considered a landmark development within securities markets regulation. However, until today the controversy about possible drawbacks and applicability has not reached a conclusion and consequences for market quality are yet to be thoroughly assessed. In this light a rigorous evaluation on the STT’s effect on mar...

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlappinggenerations economy. An optimal maturity structure exists in the absence of distortionary taxes and induces efficient intergenerational risksharing. If agents are more risk-averse than log, then an increase i...

Securities Transaction Taxes for U.s. Financial Markets

This paper examines the viability of security transaction excise taxes (STETs) as one policy tool for promoting a more stable financial environment, specifically with respect to the U.S. economy. Contrary to a large recent critical literature, we show that a STET can be designed without creating large distortions between segments of the financial market. We also show that a modest STET for the ...

Developing Efficient Market Infrastructure and Secondary Market of Government Bonds

Descriptive Bond Yield and Forward Rate Models for the Pricing of British Government Securities

This paper discusses possible approaches to the construction of gilt yield indices pub lished by the Financial Times The existing method described by Dobbie and Wilkie splits bonds into high medium and low coupon bands and ts separate yield curves to each In recent years this method has been identi ed as susceptible to catastrophic jumps when the least squares t jumps from one set of parameters...