2012 Fiscal Year Final Research Report
Examination of East Asian Economic and Financial Cooperation by Using Nonlinear Time Series Models
| Project/Area Number |
22530205
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Tohoku University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
HIOKI Shiro 東北大学, 大学院・経済学研究科, 教授 (80312528)
CHIGIRA Hiroaki 東北大学, 大学院・経済学研究科, 准教授 (30447122)
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| Project Period (FY) |
2010 – 2012
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| Keywords | 計量経済学 / 東アジア金融協力 / 非線形時系列モデル / 多変量 GARCH モデル / 東アジア債券市場 |
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| Research Abstract |
This study analyzes the East Asian bond markets by using the multivariate GARCH model by Engle (2002). Though the bond markets are greatly enhanced during the first decade of the 21st century, the present status in this region is diverse among the countries. The results indicate that the countries are classified into three groups: the yields of bonds are highly correlated with those of the advanced countries of USA and Japan in the first group (Hong Kong and Singapore), the yields are moderately correlated in the second group (Korea, Malaysia, and Thailand) and less correlated in the third group (Indonesia and Philippine). In other words, Hong Kong and Singapore are deeply integrated with the world markets, but other countries are not.
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[Presentation] Two Financial Tsunamis hitting in Japan2010
Author(s)
Yoshihiko, T., Shimada, J., Takahashi, T., Miyakoshi, T
Organizer
The 18th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management
Place of Presentation
Graduate University of Chinese Academy of Sciences, Beijing, China
Year and Date
2010-07-06
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