Examination of East Asian Economic and Financial Cooperation by Using Nonlinear Time Series Models

本研究采用Engle（2002）的多元GARCH模型分析东亚债券市场。虽然债券市场在21世纪的第一个十年中得到了极大的发展，但该地区各国的现状却不尽相同。结果表明，这些国家被分为三类：第一组（香港和新加坡）债券收益率与美国和日本等发达国家的债券收益率高度相关，第二组（韩国、马来西亚和泰国）债券收益率适度相关，第三组（印度尼西亚和菲律宾）债券收益率相关性较低。换句话说，香港和新加坡与世界市场深度融合，而其他国家却没有。

This study analyzes the East Asian bond markets by using the multivariate GARCH model by Engle (2002). Though the bond markets are greatly enhanced during the first decade of the 21st century, the present status in this region is diverse among the countries. The results indicate that the countries are classified into three groups: the yields of bonds are highly correlated with those of the advanced countries of USA and Japan in the first group (Hong Kong and Singapore), the yields are moderately correlated in the second group (Korea, Malaysia, and Thailand) and less correlated in the third group (Indonesia and Philippine). In other words, Hong Kong and Singapore are deeply integrated with the world markets, but other countries are not.