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

Junji Shimada, Yoshihiko Tsukuda and Tatsuyoshi Miyakoshi

Japan and the World Economy, 2021, vol. 59, issue C

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.

Keywords: Local currency; Government bond; Asian center markets; DCC-GARCH; Volatility spillovers (search for similar items in EconPapers)
JEL-codes: C58 G12 G15 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:japwor:v:59:y:2021:i:c:s0922142521000220

DOI: 10.1016/j.japwor.2021.101075

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