Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach
Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach
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DOI：
10.1016/j.iref.2017.05.013
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发表时间：
2017-09
影响因子：
4.5
通讯作者：
Yoshihiko Tsukuda;Junji Shimada;Tatsuyoshi Miyakoshi
中科院分区：
文献类型：
--
作者：
Yoshihiko Tsukuda;Junji Shimada;Tatsuyoshi Miyakoshi
本文考察了东亚债券市场与区域内跨境债券市场、日本债券市场和美国（全球）债券市场之间的整合程度。运用DCC-GARCH模型和动态条件方差分解方法对2001年1月1日至2012年12月31日东亚8个市场本币周国债收益率进行了分析。我们发现，在动态条件相关性和动态条件方差分解方面，东盟4（印度尼西亚、马来西亚、菲律宾和泰国）的本地债券市场与外部市场之间的整合程度较低。东亚新兴国家在这两项一体化指标上没有上升趋势。然而，香港和新加坡与外部市场高度融合。特别是，与区域内跨境债券市场相比，它们与美国市场的融合程度更高。日本市场对东亚市场的影响微乎其微。
This paper examines the degree of integration between East Asian bond markets and intraregional cross-border bond markets, the Japanese bond market and the US(global) bond market. A DCC-GARCH model and a dynamic conditional variance decomposition method are applied to the local currency weekly government bond yields of eight East Asian markets over the period January 1, 2001 to December 31, 2012. We find low levels of integration between the local bond markets in the ASEAN4 (Indonesia, Malaysia, the Philippines, and Thailand) and the external markets in terms of both dynamic conditional correlations and dynamic conditional variance decompositions. There has been no upward trend in these two measures of integration for emerging East Asian countries. However, Hong Kong and Singapore are highly integrated with the external markets. In particular, they are more integrated with the US market than with the intraregional cross-border bond markets. The Japanese market has minimal effects on the East Asian markets.