Date:May 25th,Thurs. 17:15-18:45
Speaker:Mr Takeshi Kobayashi（Nagoya University of Commerce & Business）
This paper aims to decompose Asian countries yield curves into global,regional and local factors and investigate its effects on the yields of countries. We propose a multi-county term structure model to capture advanced countries and developing countries yield curves simultaneously during 2003.5-2021.12,focusing on Asian sovereign bond markets which size have increased rapidly.We use a two-step state space model to extract the global,regional factor and local factors. We show that the global level factor explains on average 50% of the variations of level factors of Asian countries. The results also demonstrate that the regional factors have significant impact on level,slope and curvature of Asian yield curves while the degree of regional in uence of differs across these countries. We find regional yield curve factors are linked to regional macroeconomic fundamentals.Finally we show decomposing yield curves into global and regional factors improves predictive power for future yield curves. These findings would contribute to the literature by identifying the effects of the unspanned risks factor embedded in the proposed term structure model.
Keywords:Term Structure of Interest Rates, Global Factors, Regional Factors,Asian Bond Markets,
JEL Codes: C13;C32;E43;F3;G12;G15.