This paper investigates the degree of global versus regional financial integration in Southeast Asia during the period 2004–2012. We examine integration in the money and bond markets in Asia by employing a covered-interest-parity-based measure of financial integration. The impact of the 2008 financial crisis as well as the recent regional bond initiatives on the integration process of Asian money and bond markets respectively are specifically investigated. Empirically, we adopt the Phillips and Sul (2007) convergence methodology that has not been previously employed to examine the integration process in Asian money and bond markets. We find evidence of both global and regional integration in the money market pre 2008 but once the crisis hit, the process of global integration comes to an abrupt halt. However, regional integration, albeit at a slower pace, is still clearly evident in the post-crisis period. As for the Asian bond market, evidence of both global and regional integration is found but, in comparison, the latter is more convergent post 2008. Regional integration is stronger when interest rates with longer maturity are considered. In addition, we identify some convergent subgroups of countries and this suggests that a multi-tiered style of convergence is present.
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机译:本文调查了2004-2012年期间东南亚金融业与全球金融一体化的程度。我们通过采用基于担保权益平价的金融整合方法来研究亚洲货币和债券市场的整合。专门研究了2008年金融危机以及最近的区域债券计划分别对亚洲货币和债券市场一体化进程的影响。从经验上讲,我们采用了Phillips and Sul(2007)收敛方法,该方法以前尚未用于检验亚洲货币和债券市场的整合过程。我们发现,2008年之前货币市场出现了全球和区域一体化的证据,但是一旦危机袭来,全球一体化的进程就会突然停止。然而,区域一体化虽然步伐较慢,但在危机后时期仍然很明显。至于亚洲债券市场,可以找到全球和区域一体化的证据,但相比之下,后者在2008年以后更为趋同。考虑到期限更长的利率,区域一体化就更加强大。此外,我们确定了一些会聚的国家/地区子集,这表明存在着多层的融合方式。
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