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- W2186253313 abstract "This article examines the behavior of Treasury bond rates in Asia-Pacific Economic Cooperation’s countries. Granger causality tests based on the vector error correction model (VECM) suggest bidirectional Granger causalities between changes in (i) the Canadian and Malaysian Treasury bond rates, (ii) the Canadian and New Zealand bond rates, (iii) the US and Malaysian Treasury bond rates, and (iv) the South Korean and Malaysian Treasury bond rates. The results also reveal unidirectional Granger causalities from changes in (i) the Canadian to US Treasury bond rates, (ii) the South Korean to New Zealand and US Treasury bond rates, (iii) the Malaysian to New Zealand and Thai Treasury bond rates, (iii) the Thai to New Zealand and South Korean Treasury bond rates, and (iv) the US to New Zealand Treasury bond rates. The Granger causality test based on the augmented vector autoregressive (VAR) procedure yields largely similar results from VECM. These empirical findings may be attributable to differences in economic policies, governance, culture, and other institutional arrangements in each of these countries. The empirical results are important for investors and traders since they can use past information in one country to predict prices and returns in the future in other countries." @default.
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- W2186253313 date "2012-01-01" @default.
- W2186253313 modified "2023-09-26" @default.
- W2186253313 title "An Empirical Analysis of the Bond Market Behavior and Cointegration in the Selected APEC's Countries" @default.
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