Ying Huang () (Department of Economics and Finance, Manhattan College, Manhattan College Parkway, Riverdale, NY 10471, USA) Feng Guo () (Economics Program, The Conference Board, 845 3rd Ave., New York, NY 10022, USA)
Abstract
This paper examines the extent of asymmetric effects and the hypothesis of Japanese dominance in East Asian financial integration by analyzing the transmission mechanism to local interest rates from interest rates originating in both Japan and the US. The results support a weak version of the hypothesis in the cases of Malaysia and Taiwan, since there exist unidirectional causality effects from Japan. In addition, empirical evidence indicates that the sensitivity of local interest rates to US interest rate has declined in Korea and Thailand after they abandoned pegged exchange rate regimes in the post-crisis period.
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