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The impact of Asian crisis on market integration: evidence from East Asian real interest rates

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  • Philip Inyeob Ji

Abstract

This article examines the linkage of real interest rates for a group of East Asian countries. Monthly real interest rates data are considered for the USA, Japan, Korea, Singapore and Thailand from 1980 to 2005. It is found that the degree of capital market integration has increased after the Asian financial crisis in 1997. Before the crisis, both the US and Japanese capital markets dominated the region. After the crisis, the dominance of the Japanese market has completely disappeared while the US market remains the sole dominant player. Also it appears that Korea was insulated from the regional market influence before the crisis.

Suggested Citation

  • Philip Inyeob Ji, 2011. "The impact of Asian crisis on market integration: evidence from East Asian real interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 18(3), pages 245-249.
    • Handle: RePEc:taf:apeclt:v:18:y:2011:i:3:p:245-249
    DOI: 10.1080/13504851003596038
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    Cited by:

    1. Baharumshah, Ahmad Zubaidi & Soon, Siew-Voon & Hamzah, Nor Aishah, 2013. "Parity reversion in real interest rate in the Asian countries: Further evidence based on local-persistent model," Economic Modelling, Elsevier, vol. 35(C), pages 634-642.

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