Baharumshah, Ahmad Zubaidi and Chan, Tze-Haw and Masih, A. Mansur A. (2005): Financial Integration of East Asian Economies: Evidence from Real Interest Parity.
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In this paper, we investigate the financial linkages between the East Asian countries with Japan and the US using the real interest rate parity (RIP) condition. This study offers three important results: first, we find strong (robust) evidence that RIP condition holds in all the Asian countries, except for China. Based on SURADF tests, we conclude that South Korea and the ASEAN-5 countries are financially integrated with the global financial markets namely, Japan and the US. Second, we also confirmed the real interest rate differentials between Japan and the US exhibits strong tendency towards a stationary equilibrium. Third, the analysis drawn on half-life suggests that the US-Asian link has been getting stronger than the Japan-Asian one in post-liberalization era
|Item Type:||MPRA Paper|
|Institution:||Universiti Putra Malaysia|
|Original Title:||Financial Integration of East Asian Economies: Evidence from Real Interest Parity|
|Keywords:||RIP; panel unit root tests; half-lives|
|Subjects:||F - International Economics > F0 - General > F02 - International Economic Order
C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C33 - Models with Panel Data; Longitudinal Data; Spatial Time Series
F - International Economics > F3 - International Finance > F36 - Financial Aspects of Economic Integration
|Depositing User:||Tze-Haw Chan|
|Date Deposited:||12. Mar 2007|
|Last Modified:||13. Feb 2013 05:36|
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