Linear and nonlinear comovement in Southeast Asian local currency bond markets: a stepwise multiple testing approach
Linear and nonlinear comovement in Southeast Asian local currency bond markets: a stepwise multiple testing approach
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DOI：
10.1007/s00181-015-1020-1
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发表时间：
2015-12
影响因子：
3.2
通讯作者：
Takashi Matsuki
中科院分区：
文献类型：
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作者：
Takashi Matsuki
本文研究了东盟五国（印度尼西亚、马来西亚、菲律宾、新加坡和泰国）本币债券收益率的长期协动性。本文利用逐步多重检验探讨了亚洲本币债券收益率指数之间的成对协整关系。这有助于识别哪些债券指数是协整的，同时避免过度拒绝零假设或多重性问题。对这一方法进行了调整，以处理各国之间可能存在的跨部门相关性。此外，我们假设线性以及非线性模型，以捕捉潜在的逐步和渐近调整的线性组合的债券指数向其平均值。我们发现长期稳定的关系，当地货币债券收益率的一些对国家。具体而言，至少有四对国家，即印度尼西亚和菲律宾、马来西亚和菲律宾、菲律宾和泰国以及新加坡和泰国，存在明显的密切相互联系，表现为非线性协整。此外，马来西亚和泰国之间的关系相对较弱，但显着，虽然调整过程的长期市场均衡的特点是由线性模型，马来西亚和新加坡之间的债券收益率的协动观察。
This study investigates the existence of long-run comovement in the returns of local-currency-denominated bonds of ASEAN-5 countries (Indonesia, Malaysia, the Philippines, Singapore, and Thailand). We explore the pairwise cointegration between Asian local currency bond returns indices using stepwise multiple testing. This helps to identify which pairs of bond indices are cointegrated, while avoiding over-rejection of the null hypothesis or the multiplicity problem. This method is adjusted to deal with possible cross-sectional correlation among the countries. In addition, we assume linear as well as nonlinear models in order to capture potential gradual and asymptotic adjustment of a linear combination of bond indices toward its mean. We find long-term stable relationships among local currency bond returns for some pairs of countries. Specifically, close interlinkages captured as nonlinear cointegration are evident for at least four pairs of countries, namely Indonesia and the Philippines, Malaysia and the Philippines, the Philippines and Thailand, and Singapore and Thailand. In addition, a relatively weak but significant relationship between Malaysia and Thailand is found. Although the adjustment process toward long-run market equilibrium is characterized by the linear model, comovement in bond returns is observed between Malaysia and Singapore.