International Bond Markets: A Cointegration Study
Notice bibliographique
Résumé
ABSTRACT This study examines the relationships among government bond returns for the G-7 countries to identify possible diversification opportunities. Using cointegration and error correction models, there is evidence of common trends between these government bond returns. Recursive cointegration test results suggest that the stability of this relationship varies over time. The empirical evidence indicates that the available diversification benefits from investing across these markets are limited. INTRODUCTION With the increasing globalization of financial markets, investors face a greater opportunity set with which to address investment goals and strategies. The widening array of available investments extends investors' choices across assets that reflect firm, industry, and even economy wide characteristics. This study addresses one aspect of diversification opportunities across major international bond markets. Specifically, its objective is to determine whether government bond returns of the seven countries collectively known as the G-7 countries share long-run relationships using cointegration techniques. A long-term relationship between the total returns of these bonds would provide insights into investment possibilities and tactical choices investors make among these securities. As barriers to capital flows erode, weak-form market efficiency would suggest increasing similarities in the behavior of bond returns in combined markets. Dissimilar long-term bond returns could indicate the existence of valuable international diversification opportunities for investors and fund managers who, by rule or choice, hold significant amounts of government securities in their portfolios. The G-7 countries, Canada, United States (U.S.), United Kingdom (U.K.), France, Germany, Italy, and Japan have enjoyed relatively low capital barriers over a long period. If the lack of impediments to capital flows contributes to market efficiency, these countries can provide a good example of government bond markets across which returns follow similar patterns. That could further provide a preview of government bond markets on a greater scale in the face of the liberalization of capital flows that accompany increasingly global economic activity. For the purpose of this study, another motivation for selecting this group of government bonds is that the bonds of the G-7 comprise more than ninety percent of the total of all outstanding sovereign debt. Their dominance of the market for sovereign debt instruments is longstanding and their high volume relative to other government bonds raises the likelihood that they are the most widely distributed and liquid of all such bonds. For the interval between 1990 and 1999, inclusive, U.S. Treasury securities made up an average of 47.8% of the total followed by Japanese bonds with an average share of 21 .8%. The smallest average shares among these bonds over the same interval are those of U.K. (2.7%) and Canada (2.9%), each about double the largest share of non-G-7 nations. For government bonds of different countries to provide effective diversification, the government bond market in one country should not share the same trends as the government bond market in another country. In other words, if two markets are cointegrated, then the markets share systematic risk. In addition, if two markets are cointegrated, profitable arbitrage opportunities may exist between them (Chan, Gup, & Pan, 1997). The absence of such similarities would indicate longterm diversification opportunities across government bond markets. Numerous studies have explored the possibility of long-run relationships, using cointegration tests, for international interest rates and international stock market indexes. DeGennaro, Kunkel, & Lee (1994) find little evidence of cointegration between interest rates of Canada, Germany, Japan, and the United States. However, using the same data set of DeGennaro, et al. …
Récupéré en direct depuis OpenAlex et désinversé. Les résumés ne sont pas conservés dans cette base de données : les index inversés représentent 8,6 Go des 9,3 Go de texte de la base, et le serveur dispose de 13 Go libres.
Comment cette classification a été obtenuedéplier
Prédiction distillée sur la base complète
Imitation des enseignantsNi prévalence calibrée, ni vérité terrain. Validation humaine à venir. Apprise à partir de 10 348 étiquettes directes de Codex et de 10 348 étiquettes directes de Gemma. Le mode candidate est l'union des têtes enseignantes seuillées; le consensus est leur intersection. Ces sorties portent le statut machine_predicted_unvalidated et ne sont ni des étiquettes humaines ni des étiquettes directes de modèles de pointe.
Scores Codex et Gemma par catégorie
| Catégorie | Codex | Gemma |
|---|---|---|
| Métarecherche | 0,001 | 0,001 |
| Méta-épidémiologie (sens strict) | 0,000 | 0,000 |
| Méta-épidémiologie (sens large) | 0,000 | 0,000 |
| Bibliométrie | 0,000 | 0,000 |
| Études des sciences et des technologies | 0,001 | 0,000 |
| Communication savante | 0,000 | 0,001 |
| Science ouverte | 0,000 | 0,000 |
| Intégrité de la recherche | 0,000 | 0,000 |
| Charge utile insuffisante (le modèle a refusé de juger) | 0,000 | 0,000 |
Scores machine (provisoires)
Les deux têtes enseignantes du modèle étudiant, lues sur ce travail. Un score ordonne la base pour la relecture; il n'affirme jamais une catégorie, et le statut de validation accompagne chaque rangée tel quel.
Scores de référence d'un modèle non mature (critères de maturité non atteints, 7 itérations). Un score ordonne; il n'affirme jamais une catégorie.
score_only:v0-immature-baseline · tel quel depuis la passe de notation : score_only signifie que le nombre peut ordonner les travaux, et qu'aucune étiquette de catégorie n'en découleClassification
machine, non validéePrédiction automatique; un appel candidat d’une seule tête enseignante, pas un consensus.
Le détail, modèle par modèle et score par score, se trouve en fin de page sous « Comment cette classification a été obtenue ».