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    Global and Regional Yield Curve Dynamics and Interactions: The Case of Some Asian Countries

    Bae, Byung Yoon; Kim, Dong Heon | December 2011
    Abstract
    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.
    Citation
    Bae, 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.
    Keywords
    Economic Development
    Economic Infrastructure
    Economic Policies
    Regional Economic Development
    Microfinance Programs
    Public Finance
    Local Financing
    Financial Stability
    Financial Sector Regulation
    Enterprises
    Financial aid
    Economies in transition
    Local Finance
    Local Government
    Insurance Companies
    Banks
    Social Equity
    Social responsibility of business
    Accounting
    Personal budgets
    Cost and standard of living
    Bank accounts
    Credit control
    Regulatory reform
    Banks and banking
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    Citable URI
    http://hdl.handle.net/11540/4254
    Metadata
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    Author
    Bae, Byung Yoon
    Kim, Dong Heon
    Theme
    Economics
    Finance
     
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise
    Copyright 2016-2021 Asian Development Bank Institute, except as explicitly marked otherwise