Financial Integration in ASEAN-5

Laura Grace Gabriella, Revathy Suryanarayana and Vania Esady
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Laura Grace Gabriella: Research Fellow, Department of Macroprudential Policy, Bank Indonesia
Revathy Suryanarayana: Research Associate, Indian School of Business, Hyderabad
Vania Esady: PhD student, Department of Economics, City, University of London

Economics and Finance in Indonesia, 2016, vol. 62, 44-58

Abstract: The financial integration in South East Asia has varied over time. This paper focuses on three periods: before, during, and after the global financial crisis in 2008. This paper finds that ASEAN-5 countries have indeed taken a step towards financial integration. While we do not observe any (cointegrating) long-run relationships between the ASEAN-5 countries, we find that there has been a significant increase in the volatility spillovers between them. This is particularly true in the recovery period following the global financial crisis.

Keywords: Financial Integration; Global Financial Crisis; ASEAN; GARCH (search for similar items in EconPapers)
JEL-codes: F21 F33 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:lpe:efijnl:201604

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