Download or read book Sovereign Bond Market Integration written by Alexander Schulz and published by . This book was released on 2008 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Different driving factors of sovereign bond market integration are disentangled by studying yield co-movements of EMU countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Länder. The euro, as well as increasing international capital flows, appears to drive low frequency integration. In contrast, yield adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high-frequency integration.
Download or read book Sovereign Bond Market Integration written by Alexander Schulz and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads written by Ines Chaieb and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On International Integration of Emerging Sovereign Bond Markets written by Mr.Itai Agur and published by International Monetary Fund. This book was released on 2018-01-25 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper investigates the international integration of EM sovereign dollar-denominated and local-currency bond markets. Factor analysis is used to examine movements in sovereign bond yields and common sources of yield variation. The results suggest that EM dollar-denominated sovereign debt markets are highly integrated; a single common factor that is highly correlated with US and EU interest rates explains, on average, about 80 percent of the total variability in yields. EM sovereign local currency bond markets are not as internationally integrated, and three common factors explain about 74 percent of the total variability. But a factor highly correlated with US and EU interest rates still explains 63 percent of the yield variation accounted for by common factors. That said, there is some diversity among EM countries in the importance of common factors in affecting sovereign debt yields.
Download or read book An assessment of the current state of government bond market integration in the periphery of the euro area written by Marc Blunden and published by GRIN Verlag. This book was released on 2015-09-30 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2010 in the subject Economics - Finance, grade: 80, University of Brighton, course: International Financial Markets, language: English, abstract: As the European Union emerges from its worst recession since the Second World War, it has to tackle an equally pressing issue: a sovereign debt crisis. Yield spreads in Greece, Portugal, Ireland and Spain have soared. The era of cheap government borrowing and integrated euro area (EA) government bond markets appears to be over, and fractures in EA solidarity are present. This dissertation seeks to update existing literature by assessing the current state of government bond market integration in the EA. Results suggest that many years of financial integration in EA government bond markets has been reversed in a few months, and that the status quo is not sustainable for the peripheral member countries. Unless Greece, Portugal, Ireland and (to a lesser extent) Spain adopt significant microeconomic structural reforms to regain long-lost competitiveness vis-à-vis the EA’s core (notably Germany), whilst at the same time avoid falling back into deep recession, the Euro project will not be able to continue in its current form.
Download or read book The Future of China s Bond Market written by Mr. Alfred Schipke and published by International Monetary Fund. This book was released on 2019-03-13 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: China’s bond market is destined to play an increasingly important role, both at home and abroad. And the inclusion of the country’s bonds in global indexes will be a milestone for its financial market integration, bringing big opportunities as well as challenges for policymakers and investors alike. This calls for a good understanding of China’s bond market structure, its unique characteristics, and areas where reforms are needed. This volume comprehensively analyzes the different segments of China’s bond market, from sovereign, policy bank, and credit bonds, to the rapidly growing local government bond market. It also covers bond futures, green bonds, and asset-backed securities, as well as China’s offshore market, which has played a major role in onshore market development.
Download or read book ON INTERNATIONAL INTEGRATION OF EMERGING SOVEREIGN BOND MARKETS written by ITAI; CHAN AGUR (MELISSA; GOSWAMI, MANGAL; SHARMA.) and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book EMU and European Government Bond Market Integration written by Pilar Abad and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Assessing Bond Market Integration in Asia written by Ip-wing Yu and published by . This book was released on 2009 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Development of the local bond markets has been a top priority for financial reforms in the region after the Asian financial crisis. Various initiatives have also been taken to foster the development of the regional bond market. This paper looks into the degree of integration of sovereign (government) bond markets in Asia. It provides a survey of indicators and measures to monitor the development, measure progress and assess the state of bond market integration in the region. Our empirical results broadly show that there is only weak bond market integration in the region and very little progress has taken place since 2003. The apparent lack of progress may be due to the quot;localquot; or quot;idiosyncraticquot; factors in some Asian economies.
Download or read book Assessing the Integration of Asia s Equity and Bond Markets written by Laurence Fung and published by . This book was released on 2009 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the Asian financial crisis in 1997-1998, economies in the region have made efforts to diversify their reliance on the banking sector in favour of other financial intermediaries such as equities and bonds. Despite the recent development, the degree of intra-regional financial integration appears to lag behind the increase in trade. Such asymmetric development in economic and financial integration may have implications on financial stability. Therefore, it is of interest to monitor the development and progress of financial market integration in the region. Unlike most studies which focus on either the equity market or the bond market integration, this study compares the different experiences of integration of the equity and the government bond markets in the region. To do so, we construct various indicators for measuring different dimensions of equity and bond market integration. A combined use of these indicators would give policy makers a more balanced picture regarding the general trend of equity and bond market integration in the region. Furthermore, the examination of the co-movement between equity and bond returns at the economy and the regional levels may also shed light on the degree of integration in these markets.
Download or read book Integration of Sovereign Bonds Markets written by Ines Chaieb and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Empirical Evidence on Government Bond Market Integration in East Asia written by Liu Lian and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research intends to investigate the progress made in East Asian bond market integration thus far. Price-based measures (AAD indicator and beta-convergence measure), quantity-based measures and econometric techniques (co-integration test, error correction model based Granger causality test) are employed in the analysis. Even though East Asian government bond markets have become more integrated since 2001, the differentials among the markets still remain significantly high. The bond market integration process seems slow. The convergence of bond markets sped up in 2003 and after the 2008 world financial crisis, implying the important role of government policies in integrating the regional bond markets. East Asian bond market integration may need more government-directed measures.
Download or read book Dynamics of Bond Market Integration between Existing and Accession EU Countries written by Suk-Joong Kim and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we use a set of complementary techniques to examine the time-varying level of integration of European government bond markets. We consider daily bond returns and prices over the 1998-2003 period. Strong contemporaneous and dynamic linkages are found between individual European Union (EU) markets and the German market. However, there is no such evidence for the three accession markets of the Czech Republic, Hungary and Poland. The UK's market is also considered. In general, the degree of integration for the accession markets is weak and stable, with little evidence of further deepening despite the increased political integration.
Download or read book Time varying Integration in European Post transition Sovereign Bond Market written by Petra Posedel Šimović and published by . This book was released on 2015 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bond Market and Stock Market Integration in Europe A Smooth Transition Approach written by Robert-Paul Berben and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper investigates whether there has been a structural increase in financial market integration in nine European countries and the US in the period 1980-2003. We employ a GARCH model with a smoothly time-varying correlation to estimate the date of change and the speed of the transition between the low and high correlation regimes. Our test produces strong evidence of greater comovement across the board for both stock markets and government bond markets. Dates of change and speeds of adjustment vary widely across country linkages. Stock market integration is a more gradual process than bond market integration. The impact of European monetary union (EMU) is rather limited, as it has mainly affected the timing of bond market correlation gains (but hardly their size) and has had little discernible effect on stock market integration
Download or read book Assessing Financial Market Integration in Asia Equity and Bond Markets written by Laurence Fung and published by . This book was released on 2009 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the Asian financial crisis in 1997-1998, economies in the region have made efforts to diversify their reliance on the banking sector in favour of other financial intermediaries such as equities and bonds. Despite the recent development, the degree of intra-regional financial integration appears to lag behind the increase in trade. Such asymmetric development in economic and financial integration may have implications on financial stability. Therefore, it is of interest to monitor the development and progress of financial market integration in the region. Unlike most studies which focus on either the equity market or the bond market integration, this study compares the different experiences of integration of the equity and the government bond markets in the region. To do so, we construct various indicators for measuring different dimensions of equity and bond market integration. A combined use of these indicators would give policy makers a more balanced picture regarding the general trend of equity and bond market integration in the region. Our empirical results broadly show that a lot of progress has been achieved over the years from 1994 to 2001 in the integration among the Asian equity markets. After slowing down between 2002 and 2006, the equity market integration process picked up again in 2007-08. Meanwhile, the degree of integration in the sovereign (government) bond markets in Asia remains low and very little progress has taken place since 2002.
Download or read book Integration and Efficiency of the Ecu denominated International Government Bond Market written by Nikolaos Mylonidis and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
