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Volatility and Mean Spill-Over Effects in Asian Bond Markets

Bogdan, Michael and Warzynski, Hubert (2005)
Department of Economics
Abstract
This paper empirically examines the existence of volatility and mean spill-over effects from the US and EMU bond markets into those of seven Asian countries. Using a GARCH framework to capture the first and second moments of spill-overs during the 1996-2003 period, our results provide strong support mainly for the existence of volatility spill-over effects, and then primarily from the US bond market. Furthermore, the volatility spill-over effects from the US market appear to have increased over time. The extent of pure local volatility effects remains considerable in all test countries.
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author
Bogdan, Michael and Warzynski, Hubert
supervisor
organization
year
type
M2 - Bachelor Degree
subject
keywords
GARCH, Mean Spill-over Effects, Asian Bond Markets, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
language
English
id
1337447
date added to LUP
2005-03-17 00:00:00
date last changed
2010-08-03 10:50:31
@misc{1337447,
  abstract     = {{This paper empirically examines the existence of volatility and mean spill-over effects from the US and EMU bond markets into those of seven Asian countries. Using a GARCH framework to capture the first and second moments of spill-overs during the 1996-2003 period, our results provide strong support mainly for the existence of volatility spill-over effects, and then primarily from the US bond market. Furthermore, the volatility spill-over effects from the US market appear to have increased over time. The extent of pure local volatility effects remains considerable in all test countries.}},
  author       = {{Bogdan, Michael and Warzynski, Hubert}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Volatility and Mean Spill-Over Effects in Asian Bond Markets}},
  year         = {{2005}},
}