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Dynamics of international integration of government securities' markets

Kumar, Manmohan; Okimoto, Tatsuyoshi

Description

This paper investigates the dynamics of international government bond market integration in six of the G7 economies over two decades leading up to the global crisis. It examines whether such integration had been significant; the extent to which integration at the short and long end of the yield curve differed; the nature of such integration; and the extent of the decoupling of the long rates from short rates. These issues are investigated using the rigorous smooth-transition copula-GARCH model...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/29043
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2010.07.019

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