Government Bond Market Integration in ASEAN Countries
Government Bond Market Integration in ASEAN Countries
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东盟国家政府债券市场一体化
DOI：
10.18488/journal.aefr.2020.103.289.312
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发表时间：
2020
影响因子：
--
通讯作者：
J. Zhuo
中科院分区：
文献类型：
--
作者：
M. Kumamoto;J. Zhuo
债券市场的发展和一体化正在成为东盟国家的一个重要政策问题。我们调查了四个东盟国家的政府债券市场一体化。我们首先分解在东盟国家和美国的产量为全球和区域因素使用近似动态因子模型。接下来，我们采用动态条件相关方法发现区域市场已经整合，因为它们的收益率与共同的区域因素高度正相关。我们还发现，全球因素与收益率之间的相关性在不同的国家有不同的迹象。因此，我们使用汇总均值估计方法来研究使相关性在一些国家为正而在另一些国家为负的决定因素。我们发现，公共利益支付是一个重要的决定因素，并发现一个阈值，取决于公共利益支付。当公共利息支付高于阈值时，全球因素对收益率利差有显著的负面影响。从以上结果可以看出，市场纪律已经在东盟四个政府债券市场的意义上说，投资者之间的政府的信用区分？债券，专注于公共利益的支付。
The development and the integration of the bond market is becoming an important policy issue in ASEAN countries. We investigate government bond market integration in four ASEAN countries. We first decompose yields in ASEAN countries and the United States into global and regional factors using the approximate dynamic factor model. Next, we employ the dynamic conditional correlation method to find that regional markets have been integrated in the sense that their yields are highly and positively correlated with the common regional factor. We also find that the correlation between the global factor and the yield has different signs in different countries. Therefore, we use the pooled mean estimation method to investigate the determinants that make the correlation positive in some countries and negative in others. We find that public interest payments is an important determinant and discover a threshold that depends on public interest payments. The global factor has a significantly negative effect on the yield spread when public interest payments are above the threshold value. From above results, we can conclude that market discipline has been operating in the four ASEAN government bond markets in the sense that investors discriminate between the creditworthiness of the governments? bonds by focusing on the public interest payments.
东亚债券市场一体化：采用动态条件相关性方法的多元 GARCH
DOI：
--
发表时间：
2014
期刊：
影响因子：
--
作者：
Yoshihiko Tsukuda;Junji Shimada and Tatsuyoshi Miyakoshi
通讯作者：
Junji Shimada and Tatsuyoshi Miyakoshi
条件相关 GARCH 模型
DOI：
--
发表时间：
2010
期刊：
影响因子：
--
作者：
Nakatani;T.
通讯作者：
T.