Financial Integration from a Time-Varying Cointegration Perspective
This paper applies a time-varying cointegration (TVC) model to study regional financial integration, measured by the drifting cointegration coefficient of the long-term interest rates between Singapore and Malaysia. Conditioned on long-run exchange rate equilibrium, the evolving relation can be used to test the hypothesis of uncovered interest parity (UIP) in the strong and weak forms, and examine how the integration changes over time on the basis of the long-term interest rates measure. In the case of Singapore and Malaysia, the findings show that financial integration first decreased after the 1997 Asian Financial Crisis and then enhanced gradually from late 2001 onward. The shocks to Singapore, characterized by a higher level and a leading effect, are positively correlated with the ones to Malaysia.
|Date of creation:||Aug 2012|
|Contact details of provider:|| Postal: 7-22-1 Roppongi, Minato-ku, Tokyo, Japan 106-8677|
Web page: http://www.grips.ac.jp/r-center/en/discussion_papers/
More information through EDIRC
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.:
- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2011.
"Bayesian inference in a time varying cointegration model,"
Journal of Econometrics,
Elsevier, vol. 165(2), pages 210-220.
- Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011. "Bayesian Inference in a Time Varying Cointegration Model," CAMA Working Papers 2011-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao, 2008. "Methods for inference in large multiple-equation Markov-switching models," Journal of Econometrics, Elsevier, vol. 146(2), pages 255-274, October.
- Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006. "Methods for inference in large multiple-equation Markov-switching models," FRB Atlanta Working Paper 2006-22, Federal Reserve Bank of Atlanta.
- Feldstein, Martin & Horioka, Charles, 1980. "Domestic Saving and International Capital Flows," Economic Journal, Royal Economic Society, vol. 90(358), pages 314-329, June.
- Martin Feldstein & Charles Horioka, 1979. "Domestic Savings and International Capital Flows," NBER Working Papers 0310, National Bureau of Economic Research, Inc.
- Geweke, John, 1996. "Bayesian reduced rank regression in econometrics," Journal of Econometrics, Elsevier, vol. 75(1), pages 121-146, November.
- John F. Geweke, 1995. "Bayesian reduced rank regression in econometrics," Working Papers 540, Federal Reserve Bank of Minneapolis.
- Amisano, Gianni & Geweke, John, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 831, European Central Bank.
- Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
- Bierens, Herman J. & Martins, Luis F., 2010. "Time-Varying Cointegration," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1453-1490, October. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ngi:dpaper:12-07. 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: ()
If references are entirely missing, you can add them using this form.