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제목: Bond Market Dynamics in East Asian Countries
저자: 김중혁 (고려대, 교신저자), 유운소 (고려대, 주저자), 박진관 (고려대)

 This study investigates the degree of interdependencies among seven individual East Asian bond markets and the US market. Results based on co-integration analysis and VAR-GJR-DCC-GARCH model suggest that: (i) there is no long-run co-integration relationship between any bond market pairs in the sample; (ii) the East Asian bond markets, however, show interdependencies in the short-run. Significant information spillover effects are identified at both return and volatility level between country pairs, although the degrees of the effects vary; (iii) the decoupling and recoupling phenomenon of the conditional correlations also exists in the bond markets during and after the recent global financial crisis.  Moreover,we find there is significant increase in time-varying conditional correlations between East Asian bond market pairs (13 out of 21) after the crisis period. Overall, these resultsindicate that the integration in East Asian bond markets is still at its early stage compared to European markets, but is moving towards a more integrated market.

Keywords: Bond markets in East Asia, Co-integration,
Return spillover, Volatility spillover, Dynamic conditional correlation

JEL classification:
C22; F30; G15

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김중혁 배상


첨부파일:

1. 논문 (Bond Market Dynamics in East Asian Countries)
2. 논문심사신청서