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An Empirical Examination of Capital Mobility in East Asia Emerging Markets

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  • Ying Huang
  • Feng Guo
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    Abstract

    This paper examines the evidence on saving-investment correlations and the covered interest parity conditions to gauge the degree of capital mobility in eight East Asia emerging markets. It is found that Hong Kong and Singapore have fairly mobile capital markets while other countries exhibit financial openness only to a certain extent. The results also indicate that financial integration has been broadly enhanced among these markets following their liberalizations. However, except for Hong Kong, the degree of capital mobility in all markets has not yet returned to the level before the Asian crisis.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/12265080500537458
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Global Economic Review.

    Volume (Year): 35 (2006)
    Issue (Month): 1 ()
    Pages: 97-111

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    Handle: RePEc:taf:glecrv:v:35:y:2006:i:1:p:97-111

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    Web page: http://www.tandfonline.com/RGER20

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    Related research

    Keywords: East Asia; capital mobility; saving-investment correlation; covered interest parity;

    References

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    1. Anoruo, Emmanuel & Ramchander, Sanjay & Thiewes, Harold F., 2002. "International linkage of interest rates: Evidence from the emerging economies of Asia," Global Finance Journal, Elsevier, vol. 13(2), pages 217-235.
    2. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
    3. Frankel, Jeffrey A, 1992. "Measuring International Capital Mobility: A Review," American Economic Review, American Economic Association, vol. 82(2), pages 197-202, May.
    4. Martin Feldstein & Charles Horioka, 1979. "Domestic Savings and International Capital Flows," NBER Working Papers 0310, National Bureau of Economic Research, Inc.
    5. Dooley, Michael P & Isard, Peter, 1980. "Capital Controls, Political Risk, and Deviations from Interest-Rate Parity," Journal of Political Economy, University of Chicago Press, vol. 88(2), pages 370-84, April.
    6. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    7. Murphy, Robert G., 1984. "Capital mobility and the relationship between saving and investment rates in OECD countries," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 327-342, December.
    8. Montiel, Peter J, 1994. "Capital Mobility in Developing Countries: Some Measurement Issues and Empirical Estimates," World Bank Economic Review, World Bank Group, vol. 8(3), pages 311-50, September.
    9. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    10. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
    11. Goodwin, Barry K. & Grennes, Thomas J., 1994. "Real interest rate equalization and the integration of international financial markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 107-124, February.
    12. Baharumshah, Ahmad Zubaidi & Haw, Chan Tze & Fountas, Stilianos, 2005. "A panel study on real interest rate parity in East Asian countries: Pre- and post-liberalization era," Global Finance Journal, Elsevier, vol. 16(1), pages 69-85, August.
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    Cited by:
    1. Ketenci, Natalya, 2014. "The Feldstein –Horioka Puzzle and structural breaks: Evidence from the largest countries of Asia," MPRA Paper 54660, University Library of Munich, Germany.
    2. Kim, Heeho, 2011. "The risk adjusted uncovered equity parity," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1491-1505.

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