Risk Properties of AMU denominated Asian Bonds

Junko Shimizu and Eiji Ogawa

Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: This paper is to investigate risk properties of AMU (Asian Monetary Unit) denominated Asian bonds by comparing them with those of local currency denominated bonds issued in East Asian countries. We suppose the AMU as an Asian currency unit which is formed as a currency basket of East Asian currencies. In this paper, we simulate a currency basket composed by ASEAN5 countries, Japan, China, Korea, and Hong Kong. Our results indicate that the AMU denominated bonds can lower the risks for both US and Japanese investor. It is because the portfolio effects should reduce the foreign exchange risk. These results depend on the currency system in the East Asian countries.

Keywords: Asian bond; a currency basket; AMU(Asian Monetary Unit); foreign exchange risk (search for similar items in EconPapers)
JEL-codes: F31 F33 G15 (search for similar items in EconPapers)
Date: 2004-11
New Economics Papers: this item is included in nep-cmp and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:hst:hstdps:d04-45

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