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Examining the Developed and Emerging Bond Market Interactions: A VAR Analysis

Kemal Eyuboglu () and Sinem Eyuboglu ()
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Kemal Eyuboglu: Karadeniz Technical University
Sinem Eyuboglu: Karadeniz Technical University

Acta Universitatis Danubius. OEconomica, 2017, issue 13(2), 139-156

Abstract: Financial markets are growing and getting more integrated. Therefore, the transmission of bond markets across countries has become an important issue for monetary policymaking and portfolio diversification. This study examines interactions among government bond markets of 3 developed (Japan, US, Germany) and 5 emerging countries (Russia, India, China, Brazil and Turkey) that cover the period of January 2006 to September 2015. A VAR analysis is carried out to monthly data in order to determine the linkages among the 10 year government bond yields. The results showed that the impact of US bond market is not dominant while the Japanese market is more influential. Furthermore, Japanese and Chinese bond markets are found less integrated.

Keywords: Developed countries; Emerging countries; Bond markets; VAR Analysis (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:dug:actaec:y:2017:i:2:p:139-156