Qin, Duo () (Queen Mary, University of London) Cagas, Marie Anne () (University of the Philippines) Ducanes, Geoffrey (School of Economics) Magtibay-Ramos, Nedelyn () (Asian Development Bank) Quising, Pilipinas F. () (Asian Development Bank)
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This paper examines empirically the dynamic process of regional market integration in twelve Asian economies using a new modeling approach combining DF with ECM. This approach enables us to obtain latent regional dynamic factors which correspond well with the 'foreign' parity variables in theory when a market is imperfectly integrated and which act, in explaining domestic short-run price adjustments, as leading-indicators in an errorcorrection form. The power of the DF-ECM approach is illustrated in its application to measuring market integration in the developing Asian region using monthly data from the past decade.
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