International linkages of Japanese bond markets: an empirical analysis
AbstractThis paper examines the dynamic patterns of international linkages of the Japanese government bond yields with government bond yields in the US, the UK and Germany during the period from January 1980 to December 2004. Applying the vector autoregression (VAR) model and the vector error correction (VEC) model to monthly observations of nominal bond yields and exchange rate-adjusted bond yields over the 25-year period, this paper provides consistent empirical evidence that the Japanese bond market is independent of other major national bond markets, but it exerts some influence in determining bond yields in bond markets in other major industrial countries. However, since the early 1990, evidence shows that the independence of the Japanese bond market has increased further, while its leading role in global bond markets has been eroded significantly.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 36929.
Date of creation: 01 Jan 2012
Date of revision: 01 Jan 2012
Japanese bond market; international linkages of bond markets;
Find related papers by JEL classification:
- F30 - International Economics - - International Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-08 (All new papers)
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"Common factors in international bond returns,"
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-123825, Tilburg University.
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