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Who is the center of local currency Asian government bond markets?

Author

Listed:
  • Shimada, Junji
  • Tsukuda, Yoshihiko
  • Miyakoshi, Tatsuyoshi

Abstract

This paper analyzes nine Asian government bond markets comprising Japan, Hong Kong, Singapore, Korea, China, Malaysia, Thailand, Philippines, and Indonesia, in conjunction with the US, and determines the center market from among three candidates of Japan, Hong Kong and Singapore. Employing a multivariate GARCH model, we find that Singapore is the center defined as the market with largest comovements in yields with other local markets in terms of the dynamic conditional correlations, and with the largest effects on other local markets in terms of volatility spillovers. Neither Hong Kong nor Japan is the center.

Suggested Citation

  • Shimada, Junji & Tsukuda, Yoshihiko & Miyakoshi, Tatsuyoshi, 2021. "Who is the center of local currency Asian government bond markets?," Japan and the World Economy, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:japwor:v:59:y:2021:i:c:s0922142521000220
    DOI: 10.1016/j.japwor.2021.101075
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    More about this item

    Keywords

    Local currency; Government bond; Asian center markets; DCC-GARCH; Volatility spillovers;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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