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The Empirical Evidence on Government Bond Market Integration in East Asia

Author

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  • Liu, Lian

    (Waseda University)

Abstract

This research intends to investigate the progress made in East Asian bond market integration thus far. Price-based measures (AAD indicator and beta-convergence measure), quantity-based measures and econometric techniques (co-integration test, error correction model based Granger causality test) are employed in the analysis. Even though East Asian government bond markets have become more integrated since 2001, the differentials among the markets still remain significantly high. The bond market integration process seems slow. The convergence of bond markets sped up in 2003 and after the 2008 world financial crisis, implying the important role of government policies in integrating the regional bond markets. East Asian bond market integration may need more government-directed measures.

Suggested Citation

  • Liu, Lian, 2016. "The Empirical Evidence on Government Bond Market Integration in East Asia," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 20(1), pages 37-65, March.
    • Handle: RePEc:ris:eaerev:0016
    DOI: 10.11644/KIEP.JEAI.2016.20.1.304
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    Cited by:

    1. Jamel Boukhatem & Zied Ftiti & Jean Michel Sahut, 2021. "Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis," Annals of Operations Research, Springer, vol. 297(1), pages 53-76, February.
    2. Lian Liu & Yuming Cui & Changrong Lu, 2020. "Empirical study on intra‐regional bond investment: an application to East Asia," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 34(1), pages 63-75, May.

    More about this item

    Keywords

    Bond Market Integration; East Asia; Beta-convergence; Yield Differential; Intra-regional Investment;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F68 - International Economics - - Economic Impacts of Globalization - - - Policy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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