Brace For “VaR Shock” – How The Bank Of Japan May Be About To Unleash A Global Selloff
- Brace For “VaR Shock” – How The Bank Of Japan May Be About To Unleash A Global Selloff
by Tyler Durden, http://www.zerohedge.com
As we pointed out recently, Japan has been quietly undergoing a mini bond tantrum as over the past two months, its sovereign debt suffered the worst rout in 13 years, handing investors bigger losses over the past two months than any other government bonds, amid speculation the Bank of Japan plans to change its asset-purchase strategy.
The selloff started in late July, around the time the time the BOJ disappointed with its latest announcement, and accelerated on fears that as part of its “comprehensive assessment” of its policies, the central bank would set back the BOJ’s monetary easing stance.
He concluded by saying that from financial institutions’ recent move to purchase super-long-term bonds in pursuit of tiny positive yield, “I detect a vulnerability similar to that seen before the so-called VaR (Value at Risk) shock in 2003.”
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