International linkages of Japanese bond markets: an empirical analysis

Bang Jeon, Philip Ji and Hongfang Zhang

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the dynamic patterns of international linkages of the Japanese government bond yields with government bond yields in the US, the UK and Germany during the period from January 1980 to December 2004. Applying the vector autoregression (VAR) model and the vector error correction (VEC) model to monthly observations of nominal bond yields and exchange rate-adjusted bond yields over the 25-year period, this paper provides consistent empirical evidence that the Japanese bond market is independent of other major national bond markets, but it exerts some influence in determining bond yields in bond markets in other major industrial countries. However, since the early 1990, evidence shows that the independence of the Japanese bond market has increased further, while its leading role in global bond markets has been eroded significantly.

Keywords: Japanese bond market; international linkages of bond markets (search for similar items in EconPapers)
JEL-codes: F30 G15 (search for similar items in EconPapers)
Date: 2012-01-01, Revised 2012-01-01
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Citations: View citations in EconPapers (2)

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