Integration and Market Discipline of ASEAN Government Bond Markets

Masao Kumamoto, 方雄 熊本 and Juanjuan Zhuo

Working Paper Series from Hitotsubashi University Center for Financial Research

Abstract: The aim of this study is twofold. First, we investigate government bond market integration in four ASEAN countries. We find that regional markets have been integrated in the sensethat their yields are driven by a common regional factor. We also find that the global factor has asymmetric effects. Second, we investigate the determinants of government bond spreads to analyze whether the integration has advanced or obstructed market discipline.We find that public interest payment is an important determinant and there exists a threshold that depends on public interest payments.

Keywords: Government bond markets integration; Market discipline; ASEAN countries (search for similar items in EconPapers)
JEL-codes: E43 G12 G15 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2019-10-25
Note: This version: 25 October, 2019
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hcfrwp:g-1-22

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