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International Capital Mobility in the Short Run and the Long Run: A Daily Data Study for Japan, Singapore and Taiwan

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  • Han-Min Hsing

Abstract

Using daily data from between 1993 and 2003, covered interest differential and cointegration tests are applied to examine short-run and long-run international capital mobility for Japan, Singapore and Taiwan, and, for comparison purposes, the UK. Despite the high short-run mobility in Japan (Singapore and Taiwan), being slightly (significantly) lower than in the UK, perfect long-run mobility exists in all three Asian economies, especially when the Asian currency crisis is excluded. Different short-run and long-run mobility implies the existence of a response lag in the financial market. As expected, although the impulse response reaches the significant long-run equilibrium level shortly after the shock in the UK, lagged responses appear in the three Asian economies, particularly in Singapore and Taiwan. Copyright 2008 The Authors.

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  • Han-Min Hsing, 2008. "International Capital Mobility in the Short Run and the Long Run: A Daily Data Study for Japan, Singapore and Taiwan," Asian Economic Journal, East Asian Economic Association, vol. 22(1), pages 67-82, March.
  • Handle: RePEc:bla:asiaec:v:22:y:2008:i:1:p:67-82
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    Cited by:

    1. Chang, Ming-Jen & Su, Che-Yi, 2014. "The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 220-246.

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