Assessing Bond Market Integration in Asia
AbstractDevelopment of the local bond markets has been a top priority for financial reforms in the region after the Asian financial crisis. Various initiatives have also been taken to foster the development of the regional bond market. This paper looks into the degree of integration of sovereign (government) bond markets in Asia. It provides a survey of indicators and measures to monitor the development, measure progress and assess the state of bond market integration in the region. Our empirical results broadly show that there is only weak bond market integration in the region and very little progress has taken place since 2003. The apparent lack of progress may be due to the "local" or "idiosyncratic" factors in some Asian economies.
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Bibliographic InfoPaper provided by Hong Kong Monetary Authority in its series Working Papers with number 0710.
Length: 35 pages
Date of creation: Jun 2007
Date of revision:
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Web page: http://www.info.gov.hk/hkma/
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Financial integration; Kalman filter; Cointegration; Synchronisation; Dynamic correlation;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-09 (All new papers)
- NEP-FMK-2007-09-09 (Financial Markets)
- NEP-SEA-2007-09-09 (South East Asia)
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