Volatility and Mean Spill-Over Effects in Asian Bond Markets

Sammanfattning: This paper empirically examines the existence of volatility and mean spill-over effects from the US and EMU bond markets into those of seven Asian countries. Using a GARCH framework to capture the first and second moments of spill-overs during the 1996-2003 period, our results provide strong support mainly for the existence of volatility spill-over effects, and then primarily from the US bond market. Furthermore, the volatility spill-over effects from the US market appear to have increased over time. The extent of pure local volatility effects remains considerable in all test countries.