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Risk Properties of AMU denominated Asian Bonds


Junko Shimizu and Eiji Ogawa


November, 2004


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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.
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Copyright (C) 2003 by Institute of Economic Research.All rights reserved.