Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis

被引:13
|
作者
Boukhatem, Jamel [1 ,2 ]
Ftiti, Zied [3 ]
Sahut, Jean Michel [4 ]
机构
[1] Umm Al Qura Univ, Coll Islamic Econ & Finance, Mecca, Saudi Arabia
[2] Univ Tunis el Manar, Fac Econ Sci & Management, Tunis, Tunisia
[3] EDC Paris Business Sch, OCRE Lab, Paris, France
[4] IDRAC Business Sch, Lyon, France
关键词
Emerging countries; Advanced economies; Macroeconomic stability; Nonlinear Granger causality; Wavelet coherence approach; FINANCIAL INTEGRATION; WAVELET COHERENCE; CURRENCY; GROWTH; DETERMINANTS; CHALLENGES; DYNAMICS; RETURNS; BIAS;
D O I
10.1007/s10479-020-03519-6
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
This study investigates whether dynamic bond markets lead to more macroeconomic stability in eight East Asian countries by distinguishing between advanced and emerging economies. Contrary to previous studies, we relax the strong assumption of homogenous investors by adopting a frequency approach based on the wavelet methodology to measure the relationship between the bond market and macroeconomic stability through both the time and frequency dimensions. Our analysis reveals three main findings. First, the interaction between the bond market and macroeconomic variables is more pronounced in emerging economies than in developed economies. Second, the relationship between the bond market and macroeconomic indicators varies over time, as it is more pronounced during turmoil periods, and across frequencies, as we show that the relationship is observed in the short and medium (long) term for emerging (advanced) East Asian economies. Third, there is divergence in the relationship regarding the level and volatility of the macroeconomic indicators. Indeed, for emerging economies, the relationship is more pronounced in the first moments; however, for advanced economies, it is more pronounced in the second moments.
引用
收藏
页码:53 / 76
页数:24
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