| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 97 === This paper examine Treasury bond index between U.S. and Japan, and U.S. and Hong Kong after subprime mortgage crisis. Does these markets have impulse effect, volatility spill over effect, and contagion effect result from subprime mortgage crisis. According to different characteristiz of datas, we display STVAR-GJR-GARCH model and VECM-GJR-GARCH model. We use either GJR-GARCH model to examine impulse effect and volatility spill over effect, moreover, we examine correlations between each markets. Whether the subprime mortgage crisis contagion over the international.
The empirical outcomes are below: there are positive impulse effect between U.S. and Hong Kong. But there are negative impulse effect between U.S. and Japan.; after subprime mortgage crisis increase the non-asystemetiz volatility of bond market return of each bond market. And the U.S. bond market volatility to bring volatility spill over effect to Japan and Hong Kong bond markets. Before subprime mortgage crisis U.S. bond market leads Japan and Hong Kong bond markets, however there have mutual lead-ship between U.S. and Japan bond markets, and simultaneous lead-ship between U.S. and Hong Kong bond markets after subprime mortgage crisis.
The subprime mortgage crisis changed the reciprocal relationship between U.S., Japan and Hong Kong. There have structure change of the causality relationship between U.S.and Japan and U.S. and Hong Kong around subprime mortgage crisis, the relationship between U.S. and Japan and U.S. and Hong Kong also have the increase trend with time. The empirical result reveal there exist risk contagion between U.S. and Japan bond markets and U.S. and Hong Kong bond markets.
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