Bericht
Domestic bond portfolio adjustments during duration jumps
This Memo investigates the bond portfolio reaction of key Danish institutional investors to duration jumps in callable mortgage bonds. It shows that the investors remain net buyers of Danish mortgage bonds during periods of jumps. In particular, they buy more than they do on average, supporting the Danish mortgage bond market, limiting a potential self-reinforcing mechanism of duration jumps.
- Language
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Englisch
- Bibliographic citation
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Series: Economic Memo ; No. 10
- Classification
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Wirtschaft
- Subject
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Monetary policy
Government bonds
Duration
Monetary-policy transmission
- Event
-
Geistige Schöpfung
- (who)
-
Achord, Samuel Donald
Autrup, Søren Lejsgaard
Loncar, Nastasija
Otte, Alexander Meldgaard
Risbjerg, Lars
Rønde, Casper
Westergaard, Johan Emil
- Event
-
Veröffentlichung
- (who)
-
Danmarks Nationalbank
- (where)
-
Copenhagen
- (when)
-
2021
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Bericht
Associated
- Achord, Samuel Donald
- Autrup, Søren Lejsgaard
- Loncar, Nastasija
- Otte, Alexander Meldgaard
- Risbjerg, Lars
- Rønde, Casper
- Westergaard, Johan Emil
- Danmarks Nationalbank
Time of origin
- 2021
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