IDEAS home Printed from https://ideas.repec.org/a/taf/intecj/v25y2011i4p717-738.html
   My bibliography  Save this article

Global and Regional Yield Curve Dynamics and Interactions: The Case of Some Asian Countries

Author

Listed:
  • Byung Yoon Bae
  • Dong Heon Kim

Abstract

Since the Asian financial crisis in 1997--98, Asian countries have made continuous efforts to promote monetary and financial cooperation for developing regionally well-established bond markets. This paper empirically evaluates the developments of bond markets in the East-Asia region based on the recently developed empirical methodology of dynamic cross-country bond yield interactions. To this end, we use a two-step state space model to examine the existence of the global and regional factor and analyze the effect of both factors on four Asian countries’ yield curves. We find that both global and regional factors play an important role in explaining these countries’ yield factors, although the regional factor appears to have a smaller role than the global factor and that this result seems to be robust to different subsamples. We interpret this result as evidence on the existence of the regional commonality and on endeavors toward Asian bond markets.

Suggested Citation

  • Byung Yoon Bae & Dong Heon Kim, 2011. "Global and Regional Yield Curve Dynamics and Interactions: The Case of Some Asian Countries," International Economic Journal, Taylor & Francis Journals, vol. 25(4), pages 717-738, December.
  • Handle: RePEc:taf:intecj:v:25:y:2011:i:4:p:717-738
    DOI: 10.1080/10168737.2011.636632
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10168737.2011.636632
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Robert N McCauley & Yung-Chul Park, 2006. "Developing the bond market(s) of East Asia: global, regional or national?," BIS Papers chapters,in: Bank for International Settlements (ed.), Asian bond markets: issues and prospects, volume 30, pages 19-39 Bank for International Settlements.
    2. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
    2. 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.
    3. Korhonen, Iikka & Peresetsky, Anatoly, 2013. "Extracting global stochastic trend from non-synchronous data," BOFIT Discussion Papers 15/2013, Bank of Finland, Institute for Economies in Transition.
    4. Durdyev, Ruslan & Peresetsky, Anatoly, 2014. "Autocorrelation in the global stochastic trend," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 39-58.
    5. repec:eee:ecosta:v:5:y:2018:i:c:p:67-82 is not listed on IDEAS
    6. Kocsis, Zalan & Monostori, Zoltan, 2016. "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, vol. 27(C), pages 140-168.
    7. Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2018. "Volatility forecasting using global stochastic financial trends extracted from non-synchronous data," Econometrics and Statistics, Elsevier, vol. 5(C), pages 67-82.
    8. repec:kap:iecepo:v:14:y:2017:i:2:d:10.1007_s10368-016-0340-8 is not listed on IDEAS

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:intecj:v:25:y:2011:i:4:p:717-738. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RIEJ20 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.