Who is the center of local currency Asian government bond markets?

IF 1.3 4区经济学 Q3 ECONOMICS

Japan and the World Economy Pub Date : 2021-09-01 DOI:10.1016/j.japwor.2021.101075

Junji Shimada , Yoshihiko Tsukuda , Tatsuyoshi Miyakoshi

引用次数: 0

Abstract

This paper analyzes nine Asian government bond markets comprising Japan, Hong Kong, Singapore, Korea, China, Malaysia, Thailand, Philippines, and Indonesia, in conjunction with the US, and determines the center market from among three candidates of Japan, Hong Kong and Singapore. Employing a multivariate GARCH model, we find that Singapore is the center defined as the market with largest comovements in yields with other local markets in terms of the dynamic conditional correlations, and with the largest effects on other local markets in terms of volatility spillovers. Neither Hong Kong nor Japan is the center.

查看原文本刊更多论文

谁是以本币计价的亚洲政府债券市场的中心?

本文分析了日本、香港、新加坡、韩国、中国、马来西亚、泰国、菲律宾、印度尼西亚和美国这九个亚洲政府债券市场，并从日本、香港和新加坡这三个候选市场中确定了中心市场。采用多元GARCH模型，我们发现新加坡是被定义为在动态条件相关性方面与其他本地市场收益率变动最大的市场，并且在波动性溢出方面对其他本地市场的影响最大。香港和日本都不是中心。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Japan and the World Economy ECONOMICS-

CiteScore

2.60

自引率

0.00%

发文量

审稿时长

46 days

期刊介绍： The increase in Japan share of international trade and financial transactions has had a major impact on the world economy in general and on the U.S. economy in particular. The new economic interdependence between Japan and its trading partners created a variety of problems and so raised many issues that require further study. Japan and the World Economy will publish original research in economics, finance, managerial sciences, and marketing that express these concerns.