Domestic bond portfolio adjustments during duration jumps

Economic Memo - December 2021 - No. 10

Authors Achord, Samuel Donald; Autrup, Søren Lejsgaard; Loncar, Nastasija; Otte, Alexander Meldgaard; Risbjerg, Lars; Rønde, Casper; Westergaard, Johan Emil
Subject Monetary policy; Government bonds; Duration; Monetary-policy transmission
Type Economic Memo
Year 2021
Published 14 December 2021
Abstract icon 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.