Comments on 'The Role of Different Institutional Investors in Asia-Pacific Bond Markets During the Taper Tantrum'
2019
Ng, Shim and Pastor examine the dynamics of bond prices during the 2013 taper tantrum. During times of high uncertainty, bond markets can become illiquid as some of the investors experience funding liquidity shocks. This can lead to sharp drops in bond prices, ie sharp increases in bond yields, beyond what are warranted by the changes in fundamentals.
Full Publication: Asia-Pacific Fixed Income Markets: Evolving Structure, Participation and Pricing
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