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Risk Properties of AMU denominated Asian Bonds

Author

Listed:
  • Junko Shimizu
  • Eiji Ogawa

Abstract

This paper is to investigate risk properties of AMU (Asian Monetary Unit) denominated Asian bonds by comparing them with those of local currency denominated bonds issued in East Asian countries. We suppose the AMU as an Asian currency unit which is formed as a currency basket of East Asian currencies. In this paper, we simulate a currency basket composed by ASEAN5 countries, Japan, China, Korea, and Hong Kong. Our results indicate that the AMU denominated bonds can lower the risks for both US and Japanese investor. It is because the portfolio effects should reduce the foreign exchange risk. These results depend on the currency system in the East Asian countries.

Suggested Citation

  • Junko Shimizu & Eiji Ogawa, 2004. "Risk Properties of AMU denominated Asian Bonds," Hi-Stat Discussion Paper Series d04-45, Institute of Economic Research, Hitotsubashi University.
    • Handle: RePEc:hst:hstdps:d04-45
    as

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    File URL: http://hi-stat.ier.hit-u.ac.jp/research/discussion/2004/pdf/D04-45.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Asian bond; a currency basket; AMU(Asian Monetary Unit); foreign exchange risk;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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