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Assessing the integration of Asia's equity and bond markets

In: Regional financial integration in Asia: present and future

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  • Bank for International Settlements

    (Bank for International Settlements)

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  • Bank for International Settlements & Hong Kong Institute for Monetary Research, 2008. "Regional financial integration in Asia: present and future," BIS Papers, Bank for International Settlements, Bank for International Settlements, number 42, 8.
    This item is provided by Bank for International Settlements in its series BIS Papers chapters with number 42-01.

    Handle: RePEc:bis:bisbpc:42-01

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    1. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
    2. Shiller, Robert J, 1979. "The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 87(6), pages 1190-1219, December.
    3. Rangvid, Jesper, 2001. "Increasing convergence among European stock markets?: A recursive common stochastic trends analysis," Economics Letters, Elsevier, Elsevier, vol. 71(3), pages 383-389, June.
    4. Don Harding & Adrian Pagan, 1999. "Knowing the Cycle," Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne wp1999n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    5. Garcia Pascual, Antonio, 2003. "Assessing European stock markets (co)integration," Economics Letters, Elsevier, Elsevier, vol. 78(2), pages 197-203, February.
    6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
    7. Click, Reid W. & Plummer, Michael G., 2005. "Stock market integration in ASEAN after the Asian financial crisis," Journal of Asian Economics, Elsevier, Elsevier, vol. 16(1), pages 5-28, February.
    8. Henrik Hansen & Søren Johansen, 1992. "Recursive Estimation in Cointegrated VAR-Models," Discussion Papers 92-13, University of Copenhagen. Department of Economics.
    9. Kim, Soyoung & Lee, Jong-Wha & Shin, Kwanho, 2006. "Regional and Global Financial Integration in East Asia," MPRA Paper 695, University Library of Munich, Germany.
    10. Morten O. Ravn & Harald Uhlig, 2002. "On adjusting the Hodrick-Prescott filter for the frequency of observations," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 371-375.
    11. Kawai, Masahiro, 2005. "East Asian economic regionalism: progress and challenges," Journal of Asian Economics, Elsevier, Elsevier, vol. 16(1), pages 29-55, February.
    12. Serletis, Apostolos & King, Martin, 1997. "Common Stochastic Trends and Convergence of European Union Stock Markets," The Manchester School of Economic & Social Studies, University of Manchester, University of Manchester, vol. 65(1), pages 44-57, January.
    13. Martin Feldstein & Charles Horioka, 1979. "Domestic Savings and International Capital Flows," NBER Working Papers 0310, National Bureau of Economic Research, Inc.
    14. Jongkyou Jeon & Yonghyup Oh & Doo Yong Yang, 2006. "Financial Market Integration in East Asia: Regional or Global?," Asian Economic Papers, MIT Press, MIT Press, vol. 5(1), pages 73-89, January.
    15. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
    16. Reza Siregar & Ramkishen Rajan & Tony Cavoli, 2004. "A Survey of Financial Integration in East Asia; How Far? How Much Further to Go?," Centre for International Economic Studies Working Papers, University of Adelaide, Centre for International Economic Studies 2004-01, University of Adelaide, Centre for International Economic Studies.
    17. Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2004. "Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp019, IIIS.
    18. Backhouse, Roger E. & Salanti, Andrea (ed.), 2000. "Volume 1: Econometric Techniques and Macroeconomics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780199242047, October.
    19. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department 739, Netherlands Central Bank, Research Department.
    20. Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt5s2218dp, Department of Economics, UC San Diego.
    21. Brian M Lucey & Suk-Joong Kim & Eliza Wu, 2005. "Dynamics of Bond Market Integration between Existing And Accession EU Countries," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp025, IIIS.
    22. Franz Pauer, 2005. "Financial Market Integration and Financial Stability," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 144–151.
    23. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(1), pages 95-124, February.
    24. Manning, Neil, 2002. "Common trends and convergence? South East Asian equity markets, 1988-1999," Journal of International Money and Finance, Elsevier, Elsevier, vol. 21(2), pages 183-202, April.
    25. Haldane, A G & Hall, S G, 1991. "Sterling's Relationship with the Dollar and the Deutschemark: 1976-89," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 101(406), pages 436-43, May.
    26. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1164, Econometric Society.
    27. Kim, Suk-Joong & Moshirian, Fariborz & Wu, Eliza, 2006. "Evolution of international stock and bond market integration: Influence of the European Monetary Union," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(5), pages 1507-1534, May.
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