Dynamics of international integration of government securities' markets

Manmohan S. Kumar, Tatsuyoshi Okimoto

研究成果: Article査読

36 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)142-154
ページ数13
ジャーナルJournal of Banking and Finance
35
1
DOI
出版ステータスPublished - 2011 1月
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

フィンガープリント

「Dynamics of international integration of government securities' markets」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル