Financial Integration of East Asian Economies: Evidence from Real Interest Parity
AbstractIn this paper, we investigate the financial linkages between the East Asian countries with Japan and the US using the real interest rate parity (RIP) condition. This study offers three important results: first, we find strong (robust) evidence that RIP condition holds in all the Asian countries, except for China. Based on SURADF tests, we conclude that South Korea and the ASEAN-5 countries are financially integrated with the global financial markets namely, Japan and the US. Second, we also confirmed the real interest rate differentials between Japan and the US exhibits strong tendency towards a stationary equilibrium. Third, the analysis drawn on half-life suggests that the US-Asian link has been getting stronger than the Japan-Asian one in post-liberalization era
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 2210.
Date of creation: 2005
Date of revision: 2007
RIP; panel unit root tests; half-lives;
Other versions of this item:
- Ahmad Zubaidi Baharumshah & Chan Tze Haw & A.Mansur M. Masih & Evan Lau, 2011. "Financial integration of East Asian economies: evidence from real interest parity," Applied Economics, Taylor & Francis Journals, vol. 43(16), pages 1979-1990.
- F02 - International Economics - - General - - - International Economic Order; Noneconomic International Organizations;; Economic Integration and Globalization: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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