Interdependencies among Asian bond markets
Anders Johansson ()
Journal of Asian Economics, 2008, vol. 19, issue 2, 101-116
There is an ongoing intraregional attempt to develop bond markets in Asia. This is to some extent a result of the Asian financial crisis, which showed the need for well-functioning fixed income markets in the region. This paper analyzes the relationships among four Asian bond markets. Cointegration tests show that the markets exhibit strong long-term interdependencies. In addition, all markets show signs of short-run cross-dependencies in the mean. The correlations between the markets are time-varying and high, except for in short turbulent periods. The results indicate that a regional bond portfolio would allow for some level of risk diversification for investors and that policymakers need to pay attention to movements in different markets.
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:19:y:2008:i:2:p:101-116
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