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Identifier to cite or link to this item: https://hdl.handle.net/10086/23051

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Title
Dynamics of International Integration of Government Securities' Markets
Creator
Creator Name
KUMAR, Manmohan S. KUMAR, Manmohan S.
Affiliation
Affiliation Name
International Monetary Fund
Creator Name
沖本, 竜義 沖本, 竜義
OKIMOTO, Tatsuyoshi OKIMOTO, Tatsuyoshi
Affiliation
Affiliation Name
Hitotsubashi University
Rights
Copyright © 2010 Elsevier B.V. All rights reserved.
Key Word
Smooth transition model
Copula
Time-varying correlations
Financial integration
JEL
C32
E43
G15
Abstract
This paper investigates the dynamics of internationalgovernment bond marketintegration 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.
Publisher
Elsevier
Issued Date
2011-01
Language
English(eng)
Resource Type
journal article
Version Type
AM
Is Version OfRelation -
Related Identifier
DOI
  10.1016/j.jbankfin.2010.07.019
ISSN
0378-4266
NCID
AA11533054
Source Title
Journal of Banking and Finance
Volume Number
35
Issue Number
1
Page Start
142
Page End
154
Appears in Collections
010a Journal Articles　=　雑誌掲載論文
URL
https://hdl.handle.net/10086/23051