International Capital Mobility in the Short Run and the Long Run: A Daily Data Study for Japan, Singapore and Taiwan
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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Volume (Year): 22 (2008)
Issue (Month): 1 (03)
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