TAILIEUCHUNG - RISK PROPERTIES OF AMU DENOMINATED ASIAN BONDS

mpirically we ask how migrant networks influence both portfolio and foreign direct investment. 3 Looking at both portfolio and foreign direct investment allows us to evaluate the generality of our argument because these two types of investment are fundamentally different. While portfolio investors purchase stocks and bonds in open markets, foreign direct investors own a fixed stake in plant or machinery. Additionally, portfolio and foreign direct investment differ in terms of their heterogeneity: while portfolio investment opportunities are bounded by the offerings of private and public entities, foreign direct investments represent a seemingly endless set of options. . | Hi-Stat Discussion Paper Series Risk Properties of AMU denominated Asian Bonds Junko Shimizu and Eiji Ogawa November 2004 Hitotsubashi University Research Unit for Statistical Analysis in Social Sciences A 21st-Century COE Program Institute of Economic Research Hitotsubashi University Kunitachi Tokyo 186-8603 Japan http Risk Properties of AMU denominated Asian Bonds Junko Shimizu and Eiji Ogawa Graduate School of Commerce and Management Hitotsubashi University 2-1 Naka Kunitachi Tokyo 186-8601 Japan First version Oct 30 2004 Abstract This paper is to investigate risk properties of AMU Asian Monetary Unit denominated Asian bonds by comparing them with those of local currency denominated bonds issued in East Asian countries. We suppose the AMU as an Asian currency unit which is formed as a currency basket of East Asian currencies. In this paper we simulate a currency basket composed by ASEAN5 countries Japan China Korea and Hong Kong. Our results indicate that the AMU denominated bonds can lower the risks for both US and Japanese investor. It is because the portfolio effects should reduce the foreign exchange risk. These results depend on the currency system in the East Asian countries. JEL classification- F31 F33 G15 Key words Asian bond a currency basket AMU Asian Monetary Unit foreign exchange risk The authors are grateful to Yu-chin Chen and participants of the Asian Crisis VI Conference and the APEF Conference. Corresponding author Tel 81-42-580-8859 Fax. 81-42-580-8747 E-mail address- . 1 1. Introduction After experiencing the Asian Crisis in 1997 East Asian countries have recognized the underlying problems caused by double overdependence on banking sector in their financial systems and on the US dollar in their currency systems. We can propose to establish an Asian bond market denominated in terms of not the US dollar but a basket currency as the method of solving both the problems simultaneously. The

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