TITLE:
Dynamics of Short and Long Term Debt Market Integration in the South Asian Economies
AUTHORS:
Sanjay Sehgal, Piyush Pandey, Sakshi Saini
KEYWORDS:
Short Term Debt Market Integration, Long Term Debt Market Integration, South Asia, Time Varying Copula, Diebold and Yilmaz
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.11,
August
22,
2018
ABSTRACT: We investigate the extent of
financial integration in both short and long term government debt markets of
five South Asian economies from January 2004 to May 2016. We employ copula
functions and find weak dependencies in their short and long term
debt markets. We supplement our analysis
using Diebold and Yilmaz spillover index and find low
level of return spillover across both short and long term debt markets, thereby
reconfirming low level of financial integration in the debt markets of the
region. Linkages between short and long term debt markets are also weak
suggesting underdeveloped nature of these markets.