Financial Integration from a Time-Varying Cointegration Perspective
AbstractThis paper applies a time-varying cointegration (TVC) model to study regional financial integration, measured by the drifting cointegration coefficient of the long-term interest rates between Singapore and Malaysia. Conditioned on long-run exchange rate equilibrium, the evolving relation can be used to test the hypothesis of uncovered interest parity (UIP) in the strong and weak forms, and examine how the integration changes over time on the basis of the long-term interest rates measure. In the case of Singapore and Malaysia, the findings show that financial integration first decreased after the 1997 Asian Financial Crisis and then enhanced gradually from late 2001 onward. The shocks to Singapore, characterized by a higher level and a leading effect, are positively correlated with the ones to Malaysia.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by National Graduate Institute for Policy Studies in its series GRIPS Discussion Papers with number 12-07.
Length: 21 pages
Date of creation: Aug 2012
Date of revision:
Contact details of provider:
Postal: 7-22-1 Roppongi, Minato-ku, Tokyo, Japan 106-8677
Web page: http://www.grips.ac.jp/r-center/en/discussion_papers/
More information through EDIRC
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bierens, Herman J. & Martins, Luis F., 2010. "Time-Varying Cointegration," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1453-1490, October.
- John Geweke & Gianni Amisano, 2007.
"Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns,"
0705, University of Brescia, Department of Economics.
- John Geweke & Gianni Amisano, 2011. "Hierarchical Markov normal mixture models with applications to financial asset returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(1), pages 1-29, January/F.
- Geweke, John & Amisano, Gianni, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 0831, European Central Bank.
- Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011.
"Bayesian Inference in a Time Varying Cointegration Model,"
CAMA Working Papers
2011-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2011. "Bayesian inference in a time varying cointegration model," Journal of Econometrics, Elsevier, vol. 165(2), pages 210-220.
- Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
- John F. Geweke, 1995.
"Bayesian reduced rank regression in econometrics,"
540, Federal Reserve Bank of Minneapolis.
- Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006.
"Methods for inference in large multiple-equation Markov-switching models,"
2006-22, Federal Reserve Bank of Atlanta.
- Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao, 2008. "Methods for inference in large multiple-equation Markov-switching models," Journal of Econometrics, Elsevier, vol. 146(2), pages 255-274, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.