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hirotaka.inoue@boj.or.jp

G7 G7 10 10 10 * E-mail: hirotaka.inoue@boj.or.jp

. ------------------------------------------------------------------------------------------------ 1. --------------------------------------------------------------------------------------- 1. G7 --------------------------------------------------------------- 2 1. 2. 3.. ------------------------------------------------------------------------------------ 7 1. 1. 2. 3. 4. 2. 1. 2. 3. 4.. ----------------------------------------------------------------------------------- 16 1. 1. 2. 3. 4. 2. 1. 2. 3. 3. 1. 2. 4. 1. 2. 5. 1. 2. 3. 1. 2. 3.. ----------------------------------------------------------------------------------------------- 31 ------------------------------------------------------------------------------------------------------- 32

1 2 G7 2 1 Committee on the Global Financial SystemCGFS G10 BISBank for International Settlements Euro-Currency Standing Committee 97 12 BIS 98 2 99 3 5 3 http://www.boj.or.jp BIS http://www.bis.org 2 G10 Inoue [1999] BIS G7 Inoue [1999] 1

. G7.1. 3 3 2

.2. G7 G7 1 2 1 1 2 G7 1 3

1 1) 1) 97 1 US$1 = 130 = DM1.80 = FFr6.02 = ITL1,770 = C$1.431 = $1.6597 1 A B 1 A 1 B 1 2 2 1) 6.9 22.0 NA 7.0 NA 7.7 21.9 / 2) 0.7 2.7 NA 1.0 NA 4.1 33.7 1) 2).3. 4

10 4 5 3 10 6 10 3 1) 1) 1/10,000 100 IL CPI 12 4 5 98 6 20 5

2) 5 30 6 20 buy and hold G7 4 6 4 1) 1) 1/10,000 10 3 2) 5 30 6 20 6 6

..1..1.1. G7 5 109 5 36 1 251030 530 7 10 6 8 10 1 7 5 5 5 99 30 8 7

10 10 4 7 5 6 5 1) 9 2) 7 3) 6 5 8 10 7 3, 6M, 3, 6M, 3, 6M, 1, 2, 4, 3, 6M, 6M, 3M, 5, 1, 1.5, 3, 6M, MY 1, 2, 5, 5, 6, 1, 2, 5, 2, 4, 5, 10, 20, 2, 3, 5, 1, 2, 5, 10, 15, 10, 10, 30Y 10, 30Y 30Y 7, 10, 10, 30Y 30Y 20Y 30Y 1 7 4 4 7 5 7 1) 2) 99 4 1 TB 3) 98 3 7 6 1) 1 10 2 8

.1.2. G7 7 7 1) 1) 97 10 2007 12 10 9 9 6 9

10 G7 8 98 5 9 10 10 2 8 (a) 1) 1,919 3,457 563 458 551 1,100 285 (b) 234 248 115 82 NA 199 125 (a) / (b) 8.2 13.9 4.9 5.6 NA 5.5 2.3 2) 12 3 12 2-4 0.5-1 NA 1 4 0.5-2 1) 97 10 US$1 = 130 = DM1.80 = FFr6.02 = ITL1,770 = C$1.431 = $1.65 2) 1 10 bond buyback programg7 10

9.1.3. G7 10 11 11 85 STRIPSSeparately Trading of Registered Interest and Principal of Securities 11

10 1) 1) 98 7.1.4. 12 buy and hold G7 11 13 12 13 G10 12

11 1) - 1030 2) - 11-30 10 3) - 33.0-51.9 3.3-5.9 3) - 1.0% - 11.3% NA - 2.1% 3) - 2-13 1-2 - - - 5) 4) - CPI - CPI CPI - CPI - 6) - 6) 6) - 6) 1) 98 9 2) 98 30 5 3) 97 4) 98 11 5) 6).2..2.1. reopen G7 12 14 1 1 1 2 14 13

36 1 1 6 6 6 3 3 12.2.2. 15 G7 13 3 G7 15 14

13 YQD1 1) Q Q D Y Y Y Q Q Q Q Q Y Q Q D D Q D D D D - - D D D D - 1) 99 3.2.3. G7 3 10 40 5 14 16 14 1) 2) 3) 1) 97 2) 98 11 3).2.4. G7 16 10 15

17 G7 15 15 CD 1) C D C C C C C C D C C C D C - D - D 2) - - D 1) 98 2) 98 11..1..1.1. 18 G7 19 16 17 winners curse Bartolini and Cottarelli [1997] 18 Dattels [1995] 19 16

16 DA D 1) D D 1) D D 1) A D 2) AD D - D D D 3) D 4) 5) 5) 6) 5) A A A AD 1) 10 2) 3) MTSMercato Telematico dei Titoli di Stato 4) 5) 6) LIFFE MIFMercato Italiano Futures 17 CBOTCMELIFFE 17 1) OE - - - - - E - E - - - - - - E O 2) E O 3) E E 4) O 2) 1) 17 2) 3) 99 4) LIFFE MIF 98 8 17

.1.2. PD 20 G7 PD 18 PD PD PD PD PD PD PD PD 18 1) 2) - - PD 3) 37 16 28 32 28 - - PD ( - ) ( - ) (20) (15) (8) - - - - - - - - - - 1) PD SVTSpecialistes en Valeurs du TresorPD 2) 98 PD 3) 97 98 PD.1.3. 20 PD PD 18

G7 0.5bp 10 3-4/10,000 21 G7 19 1/10,000 19 3-4 2) 0.8-3.1 1 1 3) 1-2 4) 0.1-1 5) 0.1 1) 3-4 2) 0.8-3.1 1 1 3) 1-2 4) 0.1-1 5) 0.1 6) 1 3.1 7) 1 1 2 8) 1 1 1) 1/10,000 2) 0.5bp 10 3/10,0004/10,000 3) 98 1/10,000 4) 5 0.5bp5 2/10,00010 1/10,000 5) 2 0.1/10,000 1/10,000 6) 1/10,000 7) T-bond 10 T-note 8) 10.1.4. 21 0.5bp 7 10 10 19

22 G7 24 3 23 G7 20 20 4.5 21.5 11.0 9.9 14.0 10.0 6.7 9:00 15:00 11:00 12:30 7:20 14:00, 14:30 16:30, 17:55 6:45 8:00 19:00 8:00 16:15, 16:20 18:00 8:00 22:00 8:50 17:10, 17:20 19:00 8:20 15:00.2. 22 23 20

.2.1. 21 21 1) 0 0 0 0 1 1 0 0 1 1 0 0 0 0 0 0 0 0 0 0 1 1 0 0 1 1 0 0 1 0 1 0 0 0 0 0 1 1 0 0 1 1 0 0 1 0 1 0 0 0 0 0 1 1 1 1 0 0 0 0 1 1 1 1 0 0 0 0 1 1 1 1 0 0 0 0 1 1 1 1 1) 0 0 0 0 1 0 1 0 0 0 0 0 0 0 0 0 1 1 1 1 0 0 0 0 0 0 0 0 1 1 1 1 0 0 0 0 0 0 0 0 1 1 1 1 0 0 0 0 0 0 0 0 1 1 1 1 0 0 0 0 21

1) MOT 1 0 1 0 1 0 1 0 1 0.2.2. 24 25 22 24 25 PD GovPX 22

22 1) 2) 1 0 1 0 0 0 0 0 - - - - 0 0 0 0 1 0 1 0 1 1 1 1 - - - - 1 0 0 0 1 0 1 0 1 1 1 1 - - - - 1 0 0 0 1 1 1 0 1 1 1 1 - - - - 1 0 1 0 1 0 1 0 1 1 1 1 - - - - 1 0 1 0 1 1 1 1 0 0 0 0 1 1 1 1 1 0 1 0 NA 1 1 1 1 1 0 1 0 1 1 1 1 0 0 0 0 1 1 1 1 0 0 0 0 1) MTS 2).2.3. 23 23

23 1) 1) 1 0 1 0 0 0 0 0 1 0 1 0 0 0 0 0 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2) 1 0 1 0 1 1 1 1 0 0 0 0 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1) 2) MIF.3. buy and hold.3.1. 24

G7 4 24 24 1) 1) non-marketable securities 2).3.2. buy and hold buy and hold 25

26 G7 10 25 25 1) 1) 2 3.4..4.1. 26 buy and hold 27 26

27 26 28 G7 29 26 /.4.2. 27 28 29 98 27

30 G7 27 27 10 (a) 6% 8% 1) 6% 7% 2) 5.5% 2) 8% 2) 9% 10 (b) 3) 1.22% 5.55% 4.05% 4.76% 4.16% 4.25% 5.35% (a) (b) 4.78% 2.45% 1.95% 2.24% 1.34% 3.75% 3.65% 1) 200036 2) 9%7% 10%5.5% 12%8% 3) Financial Times99512.5..5.1. 4 1 G7 28 G7 31 4 TBFB 9 32 30 [1999] 31 G10 32 28

28 1) 2) 1) 3) 1) 99 4 1 2) 2 3) 98 4.5.2. 33 29 29 1) 5 - - - - 2) - - - - - - - - 1) 2 3 2) Available for sale 33 29

.5.3. DVP 34 RTGS 35 G7.5.3.1. A B G7 T+1 T+2 T+3 30 36 30 T+3 T+1 T+2 T+1 T+1 T+3 T+2 T+3 T+2 T+3.5.3.2. EuroclearCedel 34 Delivery Versus Payment 35 Real-Time Gross Settlement 1 36 30

G7 31 37 31 EuroclearCedel EuroclearCedel.5.3.3. G7 32 38 Fedwire Treasury Direct 39 32 1) 99 100% Fedwi 63% 95% 99% re 100% 100% 100% 36% 5% 1% Treasury Direct 1% 1) Fedwire Treasury Direct Treasury Direct. G7 10 37 38 36 32 39 Fedwire Fedwire Treasury Direct Bureau of the Public Debt Treasury Direct 31

10 10 PD 99-11999 4 BIS Market Liquidity: Research Findings and Selected Policy Implications1999 5 Bartolini, Leonardo and Carlo Cottarelli, Designing Effective Auctions for Treasury Securities, FRBNY Current Issues in Economics and Finance, July 1997 Dattels, Peter, The Microstructure of Government Securities Markets, IMF Working Paper, November 1995 Inoue, Hirotaka, The Structure of Government Securities Markets in G10 Countries: Summary of the Questionnaire Results, BIS CGFS Study Group on Market Liquidity, 1999 32