Global and Regional Yield Curve Dynamics and Interactions: The Case of Some Asian Countries
Bae, Byung Yoon; Kim, Dong Heon | December 2011
Since the Asian financial crisis in 1997–98, Asian countries have made continuous efforts to promote monetary and financial cooperation for developing regionally well-established bond markets. This paper empirically evaluates the developments of bond markets in the East-Asia region based on the recently developed empirical methodology of dynamic cross-country bond yield interactions. To this end, we use a two-step state space model to examine the existence of the global and regional factor and analyze the effect of both factors on four Asian countries’ yield curves. We find that both global and regional factors play an important role in explaining these countries’ yield factors, although the regional factor appears to have a smaller role than the global factor and that this result seems to be robust to different subsamples. We interpret this result as evidence on the existence of the regional commonality and on endeavors toward Asian bond markets.
CitationBae, Byung Yoon; Kim, Dong Heon. 2011. Global and Regional Yield Curve Dynamics and Interactions: The Case of Some Asian Countries. © Taylor and Francis. http://hdl.handle.net/11540/4254.
Regional Economic Development
Financial Sector Regulation
Economies in transition
Social responsibility of business
Cost and standard of living
Banks and bankingShow allCollapse