The structure and degree of dependence in government bond markets
使用量化回归方法，研究了发达国家、新兴市场和前沿国家政府债券之间的不对称依赖关系，发现新兴和前沿市场在金融危机期间依赖结构显著变化，对国际投资多元化有重要影响。
Our study provides new evidence on asymmetric dependencies in international government bond markets, by examining bonds from developed, emerging, and frontier countries, using a quantile regression methodology. We find that the dependence structure for emerging and frontier markets significantly changes during financial crisis periods, which we show has important implications for international diversification of investment strategies. Moreover, we also examine in detail stock–bond correlations and uncover several instances of decoupling. In contrast, developed markets exhibit a more stable dependence pattern. In addition, we document that the degree and structure of dependence vary when foreign currencies are hedged or unhedged, and across bond maturity segments.