IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article

Financial integration in East Asia: Evidence from panel unit root and panel cointegration tests

  • Guillaumin, Cyriac

The aim of this paper is to investigate the degree of financial integration for selected East Asian countries from 1988 to 2006 using the recently developed panel unit root and panel cointegration techniques. Investment and savings rates are found to be nonstationary and not to be cointegrated in panels. We estimate modified Feldstein-Horioka equations and our results reveal a high degree of financial integration. When we homogenize our data, results show that high-income countries have stronger financial integration than middle-income countries. Finally, we proceed to stability tests in order to test if there is a crisis effect and we find that financial integration is stronger in the post-crisis period.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/pii/S1049-0078(09)00004-9
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Journal of Asian Economics.

Volume (Year): 20 (2009)
Issue (Month): 3 (May)
Pages: 314-326

as
in new window

Handle: RePEc:eee:asieco:v:20:y:2009:i:3:p:314-326
Contact details of provider: Web page: http://www.elsevier.com/locate/asieco

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.:

as in new window
  1. Anindya Banerjee & Paolo Zanghieri, 2003. "A New Look at the Feldstein-Horioka Puzzle using an Integrated Panel," Working Papers 2003-22, CEPII research center.
  2. Feldstein, Martin & Horioka, Charles, 1980. "Domestic Saving and International Capital Flows," Economic Journal, Royal Economic Society, vol. 90(358), pages 314-29, June.
  3. Maurice Obstfeld & Alan M. Taylor, 2002. "Globalization and Capital Markets," NBER Working Papers 8846, National Bureau of Economic Research, Inc.
  4. Moneta, Fabio & Rüffer, Rasmus, 2009. "Business cycle synchronisation in East Asia," Journal of Asian Economics, Elsevier, vol. 20(1), pages 1-12, January.
  5. Atsushi Takeuchi, 2006. "Identifying impediments to cross-border bond investment and issuance in Asian countries," BIS Papers chapters, in: Bank for International Settlements (ed.), Asian bond markets: issues and prospects, volume 30, pages 246-260 Bank for International Settlements.
  6. Krol, Robert, 1996. "International capital mobility: evidence from panel data," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 467-474, June.
  7. Frankel, Jeffrey A, 1992. "Measuring International Capital Mobility: A Review," American Economic Review, American Economic Association, vol. 82(2), pages 197-202, May.
  8. Bernard Salanié, 1999. "Guide pratique des séries non stationnaires," Working Papers 99-23, Centre de Recherche en Economie et Statistique.
  9. Pedroni, Peter, 1999. " Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.
  10. Jacob Gyntelberg & Guonan Ma & Eli Remolona, 2006. "Developing corporate bond markets in Asia," BIS Papers chapters, in: Bank for International Settlements (ed.), Developing corporate bond markets in Asia, volume 26, pages 13-21 Bank for International Settlements.
  11. Kaddour Hadri, 1999. "Testing For Stationarity In Heterogeneous Panel Data," Research Papers 1999_04, University of Liverpool Management School.
  12. Coakley, Jerry & Kulasi, Farida & Smith, Ron, 1996. "Current Account Solvency and the Feldstein-Horioka Puzzle," Economic Journal, Royal Economic Society, vol. 106(436), pages 620-27, May.
  13. Suresh Sundaresan, 2006. "Developing multiple layers of financial intermediation: the complementary roles of corporate bond markets and banks," BIS Papers chapters, in: Bank for International Settlements (ed.), Developing corporate bond markets in Asia, volume 26, pages 24-30 Bank for International Settlements.
  14. Daekeun Park & Changyong Rhee, 2006. "Building infrastructure for Asian bond markets: settlement and credit rating," BIS Papers chapters, in: Bank for International Settlements (ed.), Asian bond markets: issues and prospects, volume 30, pages 202-221 Bank for International Settlements.
  15. Kim, Soyoung & Kim, Sunghyun H. & Wang, Yunjong, 2007. "Saving, investment and international capital mobility in East Asia," Japan and the World Economy, Elsevier, vol. 19(2), pages 279-291, March.
  16. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  17. Kiichiro Fukasaku & David Martineau, 1999. "Coopération monétaire en Asie de l'Est : l'apport des tests de causalité et de la cointégration," Économie et Prévision, Programme National Persée, vol. 140(4), pages 105-116.
  18. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  19. Bayoumi, Tamim A. & Rose, Andrew K., 1993. "Domestic savings and intra-national capital flows," European Economic Review, Elsevier, vol. 37(6), pages 1197-1202, August.
  20. Menkhoff, Lukas & Suwanaporn, Chodechai, 2007. "10 Years after the Crisis: Thailand's Financial System Reform," Hannover Economic Papers (HEP) dp-356, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  21. Barry Eichengreen & Pipat Luengnaruemitchai, 2006. "Why doesn’t Asia have bigger bond markets?," BIS Papers chapters, in: Bank for International Settlements (ed.), Asian bond markets: issues and prospects, volume 30, pages 40-77 Bank for International Settlements.
  22. Maurice Obstfeld., 1993. "Are Industrial-Country Consumption Risks Globally Diversified?," Center for International and Development Economics Research (CIDER) Working Papers C93-014, University of California at Berkeley.
  23. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics.
  24. Christophe Hurlin & V. Mignon, 2005. "Une Synthèse des Tests de Racine Unitaire en sur Données de Panel," Post-Print halshs-00257324, HAL.
  25. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  26. Jansen, W. Jos, 2000. "International capital mobility: evidence from panel data," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 507-511, August.
  27. Armstrong, Harvey W. & Balasubramanyam, V. N. & Salisu, Mohammed A., 1996. "Domestic savings, intra-national and intra-European Union capital flows, 1971-1991," European Economic Review, Elsevier, vol. 40(6), pages 1229-1235, June.
  28. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
  29. Jos Jansen, W, 1996. "Estimating saving-investment correlations: evidence for OECD countries based on an error correction model," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 749-781, October.
  30. Peter C. B. Phillips & Donggyu Sul, 2003. "Dynamic panel estimation and homogeneity testing under cross section dependence *," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 217-259, 06.
  31. Kee-Hong Bae & Young Sup Yun & Warren Bailey, 2006. "Determinants of bond holdings by foreign investors," BIS Papers chapters, in: Bank for International Settlements (ed.), Asian bond markets: issues and prospects, volume 30, pages 102-128 Bank for International Settlements.
  32. Kim, Sunghyun Henry, 2001. "The saving-investment correlation puzzle is still a puzzle," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 1017-1034, December.
  33. Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002. "Unit root tests in panel data: asymptotic and finite-sample properties," Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
  34. Sinn, Stefan, 1992. "Saving-Investment Correlations and Capital Mobility: On the Evidence from Annual Data," Economic Journal, Royal Economic Society, vol. 102(414), pages 1162-70, September.
  35. Sinha, Dipendra, 2002. "Saving-investment relationships for Japan and other Asian countries," Japan and the World Economy, Elsevier, vol. 14(1), pages 1-23, January.
  36. Coiteux, Martin & Olivier, Simon, 2000. "The saving retention coefficient in the long run and in the short run: evidence from panel data," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 535-548, August.
  37. Joseph E. Stiglitz & Shahid Yusuf, 2001. "Rethinking the East Asian Miracle," World Bank Publications, The World Bank, number 13969.
  38. Barry Eichengreen, 2006. "The development of Asian bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Asian bond markets: issues and prospects, volume 30, pages 1-12 Bank for International Settlements.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eee:asieco:v:20:y:2009:i:3:p:314-326. 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: (Zhang, Lei)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.