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Identifier to cite or link to this item: https://hdl.handle.net/10086/30837

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Title
Integration and Market Discipline of ASEAN Government Bond Markets
Creator
Creator Name
Kumamoto, Masao Kumamoto, Masao
熊本, 方雄 熊本, 方雄
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Zhuo, Juanjuan Zhuo, Juanjuan
Affiliation
Affiliation Name
Kochi University
Key Word
Government bond markets integration
Market discipline
ASEAN countries
JEL
E43
G12
G15
Abstract
The aim of this study is twofold. First, we investigate government bond market integration in four ASEAN countries. We find that regional markets have been integrated in the sensethat their yields are driven by a common regional factor. We also find that the global factor has asymmetric effects. Second, we investigate the determinants of government bond spreads to analyze whether the integration has advanced or obstructed market discipline.We find that public interest payment is an important determinant and there exists a threshold that depends on public interest payments.
Description
This version: 25 October, 2019
Publisher
Hitotsubashi University Center for Financial Research
Issued Date
2019-10-25
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Working Paper Series ; No.G-1-22
Number of Pages
28
Appears in Collections
Working Paper Series / Hitotsubashi University Center for Financial Research
URL
https://hdl.handle.net/10086/30837