Dynamic linkages between international bond markets

Journal of Multinational Financial Management

Volumn 17, Issue 4, 2007, Pages 290-303

  Ciner, Cetin ^a  

^a UNIVERSITY OF NORTH CAROLINA WILMINGTON   (United States)

Author keywords

Cointegration; Direct and indirect causality; International bond markets

Indexed keywords

EID: 34447281993     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.mulfin.2007.02.007     Document Type: Article

References (23)

1. Barassi M.R., Caporale G.M., and Hall S.G. Irreducibility and structural cointegrating relations: an application to the G-7 long-term interest rates. International Journal of Finance and Economics 6 (2001) 127-138
2. Berben R.-P., and Jansen W.J. Comovement in international equity markets: a sectoral view. Journal of International Money and Finance 24 (2005) 832-857
3. Bessler D.A., and Yang J. The structure of interdependence in international stock markets. Journal of International Money and Finance 22 (2003) 261-287
4. Clare A., Maras M., and Thomas S. The integration and efficiency of international bond markets. Journal of Business Finance and Accounting 22 (1995) 261-287
5. Clarke J.A., and Mirza S. A comparison of some common methods for detecting Granger noncausality. Journal of Statistical Computation and Simulation 76 (2006) 207-231
6. DeGennaro R., Kunkel R., and Lee J. Modeling international long-term interest rates. Financial Review 29 (1994) 577-597
7. Dolado J.J., and Lutkepohl H. Making Wald tests work for cointegrated VAR systems. Econometric Reviews 15 (1996) 369-386
8. Dufour J.-.M., and Renault E. Short-run and long-run causality in time series: theory. Econometrica 66 (1998) 1099-1125
9. Dufour J.-.M., Pelletier D., and Renault E. Short run and long run causality in time series: inference. Journal of Econometrics 132 (2006) 337-362
10. Favero C.A., Missale A., and Piga G. High yields: the spread on German interest rates. The Economic Journal 107 (1997) 956-985
11. Gonzalo J., and Granger C.W.J. Estimation of common long-memory components in cointegrated systems. Journal of Business and Economic Statistics 13 (1995) 27-35
12. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregression models. Econometrica 59 (1991) 1551-1580
13. Kim S.-.J., Lucey B.M., and Wu E. Dynamics of bond markets integration between established and accession European Union countries. Journal of International Financial Markets, Institutions and Money 16 (2006) 41-56
14. Kimura, T., Small, D., 2004. Quantitative monetary easing and risk in financial asset markets. Finance and Economics Discussion Series, Federal Reserve Board.
15. Masanao T. How to Respond to Policy Change by the Bank of Japan (2006), PIMCO, Japan Perspectives
16. Newey W.K., and West K.D. Hypothesis testing with efficient method of moments estimators. International Economic Review 28 (1987) 777-787
17. Smith K.L. Government bond market seasonality, diversification, and cointegration: international evidence. Journal of Financial Research 25 (2002) 203-221
18. Sutton G. Is there excess comovement of bond yields between countries?. Journal of International Money and Finance 19 (2000) 363-376
19. Pynnonen S., Hogan W.P., and Batten J.A. Modeling credit spreads on yen Eurobonds within an equilibrium correction framework. Applied Financial Economics 16 (2006) 583-606
20. Throop A.W. International financial market integration and linkages of national interest rates. Federal Reserve Bank of San Francisco Economic Review (1994) 2-17
21. Toda H.Y., and Phillips P.C.B. Vector autoregressions and causality. Econometrica 61 (1993) 1367-1393
22. Toda H.Y., and Yamamoto T. Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics 66 (1995) 225-250
23. Yang J. International bond market linkages: a structural VAR analysis. Journal of International Financial Markets, Institutions and Money 15 (2005) 39-54