An Empirical Analysis of Efficiency in Asian Pacific Public Debt Market

This research aims to analyze the causal relationships in the yield of public debt issued by Asia-Pacific countries. We make use of a database of daily frequency of yields on 10-year government bonds issued by five Asia Pacific countries (India, Singapore, Korea, Hong Kong, and Australia), The daily yield data collected from 1st January 2003 to 31st December 2013. As a first step, we explore the co-integration between yields on bonds issued by different countries. Secondly, we study the pair-wise causal relationship between yields, in order to capture the possible time-varying causal relationship. Data related to all five countries are significantly stationary at order one or I(1). Moreover, the findings also show that for few groups of countries there found co-integration with one vector. This implies that 10-year government bond yield is co-integrated with one co-integrating vector. In short run, we find evidence of strong causal linkages between Asia Pacific yields.