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Integration and Market Discipline of ASEAN Government Bond Markets

Author

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  • Kumamoto, Masao
  • 熊本, 方雄
  • Zhuo, Juanjuan

Abstract

The aim of this study is twofold. First, we investigate government bond market integration in four ASEAN countries. We find that regional markets have been integrated in the sensethat their yields are driven by a common regional factor. We also find that the global factor has asymmetric effects. Second, we investigate the determinants of government bond spreads to analyze whether the integration has advanced or obstructed market discipline.We find that public interest payment is an important determinant and there exists a threshold that depends on public interest payments.

Suggested Citation

  • Kumamoto, Masao & 熊本, 方雄 & Zhuo, Juanjuan, 2019. "Integration and Market Discipline of ASEAN Government Bond Markets," Working Paper Series king Paper Series ; No.G-, Hitotsubashi University Center for Financial Research.
    • Handle: RePEc:hit:hcfrwp:g-1-22
    Note: This version: 25 October, 2019
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    Keywords

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    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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