Financial Integration of East Asian Economies: Evidence from Real Interest Parity
Ahmad Zubaidi Baharumshah,
Tze-Haw Chan () and
Authors registered in the RePEc Author Service: Evan Lau ()
MPRA Paper from University Library of Munich, Germany
In this paper, we investigate the financial linkages between the East Asian countries with Japan and the US using the real interest rate parity (RIP) condition. This study offers three important results: first, we find strong (robust) evidence that RIP condition holds in all the Asian countries, except for China. Based on SURADF tests, we conclude that South Korea and the ASEAN-5 countries are financially integrated with the global financial markets namely, Japan and the US. Second, we also confirmed the real interest rate differentials between Japan and the US exhibits strong tendency towards a stationary equilibrium. Third, the analysis drawn on half-life suggests that the US-Asian link has been getting stronger than the Japan-Asian one in post-liberalization era
Keywords: RIP; panel unit root tests; half-lives (search for similar items in EconPapers)
JEL-codes: F02 C33 F36 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-sea
Date: 2005, Revised 2007
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https://mpra.ub.uni-muenchen.de/2210/1/MPRA_paper_2210.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/3407/1/MPRA_paper_3407.pdf revised version (application/pdf)
Journal Article: Financial integration of East Asian economies: evidence from real interest parity (2011)
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:2210
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