Linkages of Indian Interest Rates with US and Japanese Rates
The reform process in India has gradually integrated the Indian financial markets with the rest of the world, and as a corollary, interest rates in India have been responding to movements in other financial markets. This article employs monthly short-term interest rate data over the 1992-2002 period to investigate the influence that the Japanese and the American interests exert on interest rates in India. We use cointegration and causality tests and find the existence of a steady-state relationship of short-term interest rates in India with both US and Japan. We also briefly discuss some policy fallouts.
Volume (Year): 4 (2004)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.usc.es/economet/eaa.htm|
|Order Information:|| Web: http://www.usc.es/economet/info.htm Email: |
References listed on IDEAS
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.:
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Frederic S. Mishkin, 1982.
"The Real Interest Rate: A Multi-Country Empirical Study,"
NBER Working Papers
1047, National Bureau of Economic Research, Inc.
- Frederic S. Mishkin, 1984. "The Real Interest Rate: A Multi-Country Empirical Study," Canadian Journal of Economics, Canadian Economics Association, vol. 17(2), pages 283-311, May.
- Karfakis, C. J. & Moschos, D.M., 1990.
"Interest Rate Linkages Within the European Monetary System: A Time Series Analysis,"
144, University of Sydney, School of Economics.
- Karfakis, Costas J & Moschos, Demetrios M, 1990. "Interest Rate Linkages within the European Monetary System: A Time Series Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(3), pages 389-94, August.
- Bonser-Neal, Catherine & Roley, V. Vance, 1994. "Are Japanese interest rates too stable?," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 291-318, June.
- Fukao, Mitsuhiro & Okubo, Takashi, 1984. "International Linkage of Interest Rates: The Case of Japan and the United States," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 193-207, February.
- �. Gjerde & F. S�ttem, 1995. "Linkages among European and world stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 1(2), pages 165-179.
- Goodwin, Barry K. & Grennes, Thomas J., 1994. "Real interest rate equalization and the integration of international financial markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 107-124, February.
- Katsimbris, George M & Miller, Stephen M, 1993. "Interest Rate Linkages within the European Monetary System: Further Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 771-79, November.
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Peter C.B. Phillips & Pierre Perron, 1986.
"Testing for a Unit Root in Time Series Regression,"
Cowles Foundation Discussion Papers
795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
- Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- Reisen, Helmut & Yeches, Helene, 1993.
"Time-varying estimates on the openness of the capital account in Korea and Taiwan,"
Journal of Development Economics,
Elsevier, vol. 41(2), pages 285-305, August.
- Helmut Reisen & Hélène Yèches, 1991. "Time-Varying Estimates on the Openness of the Capital Account in Korea and Taiwan," OECD Development Centre Working Papers 42, OECD Publishing.
- Chinn, Menzie D & Frankel, Jeffrey A, 1995.
"Who drives real interest rates around the Pacific Rim: the USA or Japan?,"
Journal of International Money and Finance,
Elsevier, vol. 14(6), pages 801-821, December.
- Menzie D. Chinn & Jeffrey A. Frankel, 1995. "Who drives real interest rates around the Pacific Rim: the US or Japan?," Pacific Basin Working Paper Series 95-02, Federal Reserve Bank of San Francisco.
- Bremnes, Helge & Gjerde, Oystein & Saettem, Frode, 1997. "A multivariate cointegration analysis of interest rates in the Eurocurrency market," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 767-778, September.
- Phylaktis, Kate, 1999. "Capital market integration in the Pacific Basin region: an impulse response analysis," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 267-287, February.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Anoruo, Emmanuel & Ramchander, Sanjay & Thiewes, Harold F., 2002. "International linkage of interest rates: Evidence from the emerging economies of Asia," Global Finance Journal, Elsevier, vol. 13(2), pages 217-235.
- Hutchison, Michael M. & Singh, Nirvikar, 1997. "Equilibrium Real Interest Rate Linkages: The United States and Japan," Journal of the Japanese and International Economies, Elsevier, vol. 11(2), pages 208-227, June.
- Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-28, August.
- Michele Fratianni & Juergen Hagen, 1992. "German dominance in the EMS:The empirical evidence," Open Economies Review, Springer, vol. 3(1), pages 127-128, February.
- Hamid Faruqee, 1992.
"Dynamic Capital Mobility in Pacific Basin Developing Countries: Estimation and Policy Implications,"
IMF Staff Papers,
Palgrave Macmillan, vol. 39(3), pages 706-717, September.
- Hamid Faruqee, 1991. "Dynamic Capital Mobility in Pacific Basin Developing Countries: Estimation and Policy Implications," IMF Working Papers 91/115, International Monetary Fund.
- Monadjemi, Mehdi S., 1997. "International interest rates linkages: Evidence from OECD countries," International Review of Financial Analysis, Elsevier, vol. 6(3), pages 229-240.
- Bremnes, Helge & Gjerde, Oystein & Soettem, Frode, 2001. " Linkages among Interest Rates in the United States, Germany and Norway," Scandinavian Journal of Economics, Wiley Blackwell, vol. 103(1), pages 127-45, March.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Michele Fratianni & Juergen Hagen, 1990. "German dominance in the EMS," Open Economies Review, Springer, vol. 1(1), pages 67-87, February.
- Jay H. Levin, 1974. "The Eurodollar Market and the International Transmission of Interest Rates," Canadian Journal of Economics, Canadian Economics Association, vol. 7(2), pages 205-24, May.
- Merrick, John Jr. & Saunders, Anthony, 1986. "International expected real interest rates: New tests of the parity hypothesis and U.S. fiscal policy effects," Journal of Monetary Economics, Elsevier, vol. 18(3), pages 313-322, November.
- Hali J. Edison & Linda S. Kole, 1994.
"European monetary arrangements: implications for the dollar, exchange rate variability and credibility,"
International Finance Discussion Papers
468, Board of Governors of the Federal Reserve System (U.S.).
- Mali J. Edison & Linda S. Kole, 1995. "European monetary arrangements: Implications for the dollar, exchange rate variability and credibility," European Financial Management, European Financial Management Association, vol. 1(1), pages 61-86.
- V. Vance Roley & Catherine Bonser-Neal, 1994. "Are Japanese interest rates too stable?," Research Working Paper 94-09, Federal Reserve Bank of Kansas City.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Mark, Nelson C, 1985. "A Note on International Real Interest Rate Differentials," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 681-84, November.
When requesting a correction, please mention this item's handle: RePEc:eaa:aeinde:v:4:y:2004:i:1_10. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.