 Asian holding of US Treasury securities: Trade integration as a thresholdJournal of the Japanese and International Economies, 2011, vol. 25, issue 3, 321-335 Abstract: This paper empirically investigates if there have been any shifts in regimes with Asian holding of US long-term Treasury securities with particular attention paid to the role of growing regional integration in trade. A panel regression estimation of eight Asian countries for 1998-2004 confirms the striking persistency of the portfolio weight of US Treasury securities. It also reveals, without a surprise, that the traditionally strong trade link with US as well as exchange rate regime and volatility of local currency bond index explain observed overinvestment in US Treasury securities deviating from what can be warranted by the market share of the US Treasury securities. What is interesting, however, is the estimated regime switches as found when examined with a threshold estimation (Hansen, 1999). We find three thresholds which divide the sample into four regimes--a decreasing persistency as intraregional trade link becomes tighter. Keywords: US; Treasury; securities; Asia; Threshold; estimate; Regional; integration; Reserve; management (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:25:y:2011:i:3:p:321-335 Access Statistics for this article Journal of the Japanese and International Economies is currently edited by Takeo Hoshi More articles in Journal of the Japanese and International Economies from Elsevier |
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