This paper explores the linkages among the different stock markets in the Greater China region (China, Hong Kong, and Taiwan). The empirical findings show no indications of long-run relationships among the markets. There are, however, short-run spillover effects in both returns and volatility in...

This study suggests an alternative method to estimate time-varying country risk. We first apply a new multivariate stochastic volatility (SV) model to a set of emerging stock markets. To estimate the SV model, we use a Bayesian Markov chain Monte Carlo simulation procedure. By applying the...

There is an ongoing intraregional attempt to develop bond markets in Asia. This is to some extent a result of the Asian financial crisis, which showed the need for well-functioning fixed income markets in the region. This paper analyzes the relationships among four Asian bond markets....

Recent research shows that bond yields are influenced by monetary policy decisions. To learn how this works in a bond market that differs significantly from those in the US and Europe, we model Chinese bond yields using the one-year deposit interest rate as a state variable. We also include the...

This paper tries to answer the long-standing question of whether money causes output. Instead of focusing on domestic monetary policy and output, we analyze U.S. monetary policy and its possible effects on real output in China. Our results indicate that the main monetary instrument in the U.S.,...

This paper analyzes systematic risk of sovereign bonds in four East Asian countries: China, Malaysia, Philippines, and Thailand. A bivariate stochastic volatility model that allows for time-varying correlation is estimated with Markov Chain Monte Carlo simulation. The volatilities and...

This study looks at the time-varying nature of systematic risk in the Greater China equity markets. The Shanghai and Shenzhen markets both have a low average systematic risk when measured against the world market. The short outbursts in systematic risk for these two markets seem to be directly...

This paper tries to answer the long-standing question of whether money causes output. Instead of focusing on domestic monetary policy and output, we analyze U.S. monetary policy and its possible effects on real output in China. Our results indicate that the main monetary instrument in the U.S.,...

This paper examines how repressive financial policies influence external balances. We argue that financial repression holds back financial development and distorts the process of structural transformation by constraining the service sector and promoting the manufacturing sector, thereby...