Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/261825 
Year of Publication: 
2021
Series/Report no.: 
Economic Memo No. 10
Publisher: 
Danmarks Nationalbank, Copenhagen
Abstract: 
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.
Subjects: 
Monetary policy
Government bonds
Duration
Monetary-policy transmission
Document Type: 
Research Report

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