TY - JOUR
T1 - International transmission of swap market movements
T2 - The U.S., Korea, and China
AU - Lee, Hahn S.
AU - Hong, Woo Hyung
PY - 2009/10
Y1 - 2009/10
N2 - This paper investigates whether and to what extent the Korean and Chinese swap markets are linked to the US counterpart. We apply bivariate EGARCH models to daily closing mid-rate data on swap maturities of 3, 5, and 10 years for the US, Korea, and China. We find that the US swap market has a major influence on the Korean and the Chinese swap markets. Strong evidence is found for the swap spread as well as volatility spillover effects from the US swap market to the Korean counterpart. On the other hand, the linkage between the US and Chinese swap markets turns out to be weak. This result indicates that the Chinese swap market, which opened on April 2006, is yet premature.
AB - This paper investigates whether and to what extent the Korean and Chinese swap markets are linked to the US counterpart. We apply bivariate EGARCH models to daily closing mid-rate data on swap maturities of 3, 5, and 10 years for the US, Korea, and China. We find that the US swap market has a major influence on the Korean and the Chinese swap markets. Strong evidence is found for the swap spread as well as volatility spillover effects from the US swap market to the Korean counterpart. On the other hand, the linkage between the US and Chinese swap markets turns out to be weak. This result indicates that the Chinese swap market, which opened on April 2006, is yet premature.
KW - Bivariate EGARCH
KW - International linkage
KW - Swap market
KW - Swap spreads
KW - Volatility spillovers
UR - http://www.scopus.com/inward/record.url?scp=84855225609&partnerID=8YFLogxK
U2 - 10.1111/j.2041-6156.2009.tb00028.x
DO - 10.1111/j.2041-6156.2009.tb00028.x
M3 - Article
AN - SCOPUS:84855225609
SN - 2041-9945
VL - 38
SP - 723
EP - 744
JO - Asia-Pacific Journal of Financial Studies
JF - Asia-Pacific Journal of Financial Studies
IS - 5
ER -