Asian Bond Market and Common Currency Basket

本研究从外汇风险和流动性两个方面对东亚地区的债券发行人来说，共同货币篮子债券相对于单一国际货币债券的利弊进行了调查。实证分析得出以下结论：（1）货币篮子债券在许多情况下能够降低对外借款成本和风险;（2）在东亚9个国家中，美元对债券发行人的流动性最高;（iii）东亚地区的债券发行人在选择发行债券的货币单位时，须在外汇风险与流动性之间作出取舍。此外，本研究项目通过将亚洲货币单位（AMU）计价的亚洲债券与东亚国家发行的本币计价债券的风险特性进行比较，对AMU计价的亚洲债券的风险特性进行了研究。AMU被认为是一种亚洲货币单位，它是由东亚货币组成的货币篮子。我们模拟了一个由ASEAN 5国家、日本、中国、韩国和香港组成的货币篮子。结果表明，AMU计价债券可以降低美国和日本投资者的风险，因为AMU的投资组合效应降低了外汇风险。然而，这些结果取决于东亚国家的汇率制度。

This research project investigated advantages and disadvantages of common currency basket denominated bonds over single international currency denominated ones for bond issuers in East Asia in terms of both foreign exchange risks and liquidity. Its empirical analysis obtained the following results : (i) the currency basket denominated bonds would be able to decrease foreign borrowing costs and their risks in many cases ; (ii) the US dollar has the highest degree of liquidity for bond issuers in all of the nine East Asian countries ; (iii) bond issuers in East Asia face trade-off between foreign exchange risks and liquidity in choosing currency denomination of issued bonds.Moreover, this research project investigated the risk properties of Asian Monetary Unit (AMU) denominated Asian bonds by comparing them with those of local currency denominated bonds issued in East Asian countries. The AMU is supposed as an Asian currency unit which is formed as a currency basket of East Asian currencies. We simulate a currency basket composed of the ASEAN5 countries, Japan, China, Korea, and Hong Kong. Its results indicate that the AMU denominated bonds can lower the risks for both US and Japanese investors, because the portfolio effects of the AMU reduce foreign exchange risk. However, these results depend on the exchange rate system in the East Asian countries.