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International bond market linkages: a structural VAR analysis

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  • Yang, Jian

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  • Yang, Jian, 2005. "International bond market linkages: a structural VAR analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(1), pages 39-54, January.
  • Handle: RePEc:eee:intfin:v:15:y:2005:i:1:p:39-54
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    1. Fung, Hung-Gay & Lo, Wai-Chung, 1995. "An Empirical Examination of the Ex Ante International Interest Rate Transmission," The Financial Review, Eastern Finance Association, vol. 30(1), pages 175-192, February.
    2. Glymour, Clark & Spirtes, Peter, 1988. "Latent variables, causal models and overidentifying constraints," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 175-198.
    3. Abdullah, Dewan A & Rangazas, Peter C, 1988. "Money and the Business Cycle: Another Look," The Review of Economics and Statistics, MIT Press, vol. 70(4), pages 680-685, November.
    4. Sutton, Gregory D., 2000. "Is there excess comovement of bond yields between countries?," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 363-376, June.
    5. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
    6. DeGennaro, Ramon P & Kunkel, Robert A & Lee, Junsoo, 1994. "Modeling International Long-Term Interest Rates," The Financial Review, Eastern Finance Association, vol. 29(4), pages 577-597, November.
    7. Michael S. Haigh & David A. Bessler, 2004. "Causality and Price Discovery: An Application of Directed Acyclic Graphs," The Journal of Business, University of Chicago Press, vol. 77(4), pages 1099-1121, October.
    8. Jian Yang, 2003. "Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis," The Financial Review, Eastern Finance Association, vol. 38(4), pages 591-609, November.
    9. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
    10. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    11. Cody, Brian J & Mills, Leonard O, 1991. "The Role of Commodity Prices in Formulating Monetary Policy," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 358-365, May.
    12. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-16.
    13. Uctum, Merih, 1999. "European integration and asymmetry in the EMS," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 769-798, October.
    14. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    15. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    16. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
    17. Francis, Bill B. & Leachman, Lori L., 1998. "Superexogeneity and the dynamic linkages among international equity markets," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 475-492, June.
    18. Elyasiani, Elyas & Kocagil, Ahmet E., 2001. "Interdependence and dynamics in currency futures markets: A multivariate analysis of intraday data," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1161-1186, June.
    19. Kenneth L. Smith, 2002. "Government Bond Market Seasonality, Diversification, and Cointegration: International Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(2), pages 203-221.
    20. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-552, September.
    21. Fung, Hung-Gay & Isberg, Steven C., 1992. "The international transmission of eurodollar and US interest rates: A cointegration analysis," Journal of Banking & Finance, Elsevier, vol. 16(4), pages 757-769, August.
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    Cited by:

    1. Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
    2. repec:eee:finana:v:55:y:2018:i:c:p:35-49 is not listed on IDEAS
    3. Piljak, Vanja & Swinkels, Laurens, 2017. "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 232-255.
    4. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1641-1650, December.
    5. Iuliana Matei, 2013. "Government bond market linkages within EMU: evidence from a multivariate Granger causality analysis," Economics Bulletin, AccessEcon, vol. 33(3), pages 1885-1898.
    6. repec:eee:quaeco:v:68:y:2018:i:c:p:73-84 is not listed on IDEAS
    7. Thuraisamy, Kannan & Gannon, Gerard, 2013. "Modelling the sovereign linkages of key Latin American economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 222-239.
    8. Lucey, Brian M. & Steeley, James, 2006. "Measuring and assessing the effects and extent of international bond market integration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 1-3, February.
    9. Najeeb, Syed Faiq & Bacha, Obiyathulla & Masih, Mansur, 2014. "Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi-scale continuous wavelet correlation analysis," MPRA Paper 56956, University Library of Munich, Germany.
    10. Smith, Kenneth L. & Swanson, Peggy E., 2008. "The dynamics among G7 government bond and equity markets and the implications for international capital market diversification," Research in International Business and Finance, Elsevier, vol. 22(2), pages 222-245, June.
    11. Brian Lucey & Raj Aggarwal, 2010. "Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events," Journal of Common Market Studies, Wiley Blackwell, vol. 48, pages 641-660, June.
    12. Ciner, Cetin, 2007. "Dynamic linkages between international bond markets," Journal of Multinational Financial Management, Elsevier, vol. 17(4), pages 290-303, October.
    13. repec:dug:actaec:y:2017:i:2:p:139-156 is not listed on IDEAS
    14. Tamim Bayoumi & Trung T Bui, 2012. "Global Bonding; Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?," IMF Working Papers 12/298, International Monetary Fund.
    15. Piljak, Vanja, 2013. "Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 29-43.
    16. Jeon, Bang Nam & Ji, Philip & Zhang, Hongfang, 2012. "International linkages of Japanese bond markets: an empirical analysis," MPRA Paper 36929, University Library of Munich, Germany, revised 01 Jan 2012.

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