Rising Japanese Government Bond Yields: Barra Integrated Model

MSCI’s Oleg Ruban uses the Barra Integrated Model to run stress tests for the impact of rising Japanese Government bond yields on different asset classes in his study, “Stress Scenarios for Japanese Government Bond Yields: Insights from the Barra Integrated Model” of October 2013.

The tests were run in view of apprehensions that these rising yields could lead to chain reaction and impact Japanese, Asia-Pacific and Global bond and equity markets, affecting investors regardless of whether they held JGBs or not. This is because of the huge size of the JGB market,...