{"title":"谁是以本币计价的亚洲政府债券市场的中心?","authors":"Junji Shimada , Yoshihiko Tsukuda , Tatsuyoshi Miyakoshi","doi":"10.1016/j.japwor.2021.101075","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":46744,"journal":{"name":"Japan and the World Economy","volume":"59 ","pages":"Article 101075"},"PeriodicalIF":1.3000,"publicationDate":"2021-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.japwor.2021.101075","citationCount":"0","resultStr":"{\"title\":\"Who is the center of local currency Asian government bond markets?\",\"authors\":\"Junji Shimada , Yoshihiko Tsukuda , Tatsuyoshi Miyakoshi\",\"doi\":\"10.1016/j.japwor.2021.101075\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":46744,\"journal\":{\"name\":\"Japan and the World Economy\",\"volume\":\"59 \",\"pages\":\"Article 101075\"},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2021-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.japwor.2021.101075\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Japan and the World Economy\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0922142521000220\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Japan and the World Economy","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0922142521000220","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
Who is the center of local currency Asian government bond markets?
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.
期刊介绍:
The increase in Japan share of international trade and financial transactions has had a major impact on the world economy in general and on the U.S. economy in particular. The new economic interdependence between Japan and its trading partners created a variety of problems and so raised many issues that require further study. Japan and the World Economy will publish original research in economics, finance, managerial sciences, and marketing that express these concerns.