Real Interest Rate Linkages in the Pacific Basin Region

Philip Inyeob Ji () and Jae Kim

No 23/05, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper examines the linkage of real interest rates of a group of Pacific-Basin countries with a focus on East Asia. We consider monthly real interest rates of the US, Japan, Korea, Singapore, and Thailand from 1980 and 2004. The impulse response analysis and half-life estimation are conducted in a multivariate setting, adopting the bias-corrected bootstrap as a means of statistical inference. It is found that the degree of capital market integration has increased after the Asian financial crisis in 1997. The evidence suggests that the crisis has substantially changed the nature of the short run interactions among the real interest rates. Before the crisis, both the US and Japanese capital markets dominated the region. However, after the crisis, the dominance of the Japanese market has completely disappeared, while the US remains as a sole dominant player.

Keywords: Financial crisis; Bias-correction; Bootstrapping; Capital market Integration; Half-life; Impulse response analysis; Vector autoregression. (search for similar items in EconPapers)
JEL-codes: E44 F36 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2005-10
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-mac
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Related works:
Journal Article: Real interest rate linkages in the Pacific-Basin region (2009)
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