Issue Information

Published date01 January 2020
Date01 January 2020
VOLUME 31, NUMBER 1 January 2020
7The passive investment bubble
Damir Tokic
Since the 2008 financial crisis, investors have significantly increased their allocation to
passive investment vehicles, such as the exchange traded funds. At the same time, the active
investment funds experienced significant outflows as their performance underperformed the
major indices. As the result of these capital flows, the market participation balance
potentially changed, which increased the possibility of a market bubblewhich some
already define as the passive investment bubble.
Blind Peer Reviews
12 Longterm interest rates under negative interest rate policy: Analysis of Japanese
government bond and swap markets
Takayasu Ito
Market segmentation is observed in the Japanese government bond (JGB) and swap markets
of 2,3,4,5,7, and 10year maturities under negative interest rate policy regime. This
also means that the arbitrage between the JGB and swap markets does not work in these
maturities. After the Bank of Japan introduces a yield curve control policy under negative
interest rate policy, market segmentation is observed only in the JGB and swap markets of 7
and 10year maturities. In the maturities of 2, 3, 4, and 5 years, the JGB yield and the swap
rate comove. The market function recovers and arbitrage works between the JGB and swap
markets in these maturities.

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