Financial Integration: Evidence from Australia
This paper seeks to examine the efficiency of the Australian foreign exchange market by using methods of cointegration and spectral analysis. Uncovered interest rate differentials for five countries namely the US, UK, Japan, Malaysia and Singapore are examined with Australia as the 'home' country. The data covers the post-float period, 1984.1-2000.12. In contrast to previous findings, the cointegrating results confirm the presence of financial integration between Australia and the countries under study. However, the empirical results indicate that the restrictions of the hypothesis of uncovered interest parity are rejected. The spectral densities for the interest rate differentials suggest the absence of systematic cyclical fluctuations confirming market efficiency.
|Date of creation:||Dec 2002|
|Date of revision:|
|Contact details of provider:|| Postal: Sydney NSW 2109|
Web page: http://www.econ.mq.edu.au/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:mac:wpaper:0210. 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: (Helen Boneham)
If references are entirely missing, you can add them using this form.