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

Byung Yoon Bae, Dong Heon Kim

Research output: Contribution to journalArticle

7 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)717-738
Number of pages22
JournalInternational Economic Journal
Volume25
Issue number4
DOIs
Publication statusPublished - 2011 Dec 1

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Keywords

  • Bond market
  • C5
  • dynamic factor model
  • E4
  • F3
  • G1
  • global yield
  • Kalman filter
  • regional yield
  • Term structure

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

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