International linkage of real interest rates: the case of East Asian countries
AbstractThis paper examines linkage of real interest rates for a group of selected countries in East Asia. The countries under study include Japan, Korea, Singapore, Malaysia and Thailand. The long run relationship is tested and estimated using the conitegration analysis. We also have conducted the impulse response analysis based on unrestricted vector autoregression, using the bias-corrected wild bootstrap for statistical inference. Our results show that (1) there exists a long run equilibrium relationship, (2) there are interesting short run dynamic interactions, in which Singapore, Malaysia and Thailand play the role of equilibrating factor
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Date of creation: 11 Aug 2004
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Financial linkage; Real interest rate parity; Cointegration analysis; Wild bootstrap;
Find related papers by JEL classification:
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-30 (All new papers)
- NEP-IFN-2004-10-30 (International Finance)
- NEP-MON-2004-10-30 (Monetary Economics)
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