Acta Universitatis Danubius. Œconomica, Vol 13, No 2 (2017)

Examining the Developed and Emerging Bond Market Interactions: A VAR Analysis

Kemal Eyuboglu, Sinem Eyuboglu


Financial markets are growing and getting more integrated. Hence the transmission of bond markets across countries has become important issue for monetary policymaking and portfolio diversification. This study examines interactions among government bond markets of 3 developed (Japan, USA, Germany) and 5 emerging countries (Russia, India, China, Brazil and Turkey) cover the period January 2006 to September 2015. VAR analysis is carried out to monthly data for to determine the linkages among the 10 year government bond yields. The results showed that the impact of USA bond market is not dominant while the Japanese market is more influential. Furthermore Japanese and Chinese bond markets are found less integrated.  


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