Dynamics of international integration of government securities' markets

Manmohan S. Kumar, Tatsuyoshi Okimoto

Research output: Contribution to journalArticlepeer-review

36 Citations (Scopus)

Abstract

This paper investigates the dynamics of international government bond market integration in six of the G7 economies over two decades leading up to the global crisis. It examines whether such integration had been significant; the extent to which integration at the short and long end of the yield curve differed; the nature of such integration; and the extent of the decoupling of the long rates from short rates. These issues are investigated using the rigorous smooth-transition copula-GARCH model framework. The results show that integration at the long end of the yield curve had been increasing, had become pronounced, and was significantly greater than at the short end. Decoupling between the short and long end of the yield curve was notable, with important implications for the efficacy of monetary policy in the period before the crisis.

Original languageEnglish
Pages (from-to)142-154
Number of pages13
JournalJournal of Banking and Finance
Volume35
Issue number1
DOIs
Publication statusPublished - 2011 Jan
Externally publishedYes

Keywords

  • Copula
  • Financial integration
  • Smooth transition model
  • Time-varying correlations

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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