Long memory in the interest rates in some Asian countries

Luis Gil-Alana

International Advances in Economic Research, 2003, vol. 9, issue 4, 257-267

Abstract: In this paper, the stochastic behavior of short run interest rates in some Asian development countries is examined by means of using fractionally integrated semiparametric techniques. In doing so, a much richer flexibility is allowed in the dynamic behavior of the series not achieved by the classical representations based on I(0) or I(1) processes. The author uses a quasi-maximum likelihood estimation procedure of Robinson [QMLE, 1995a], which has some advantages with respect to other methods. The results show that the orders of integration of the short run interest rates in Singapore and Thailand are strictly below 1, implying mean reversion. On the contrary, the results for Malaysia, South Korea, and Philippines are less conclusive, the values of d oscillating around the unit root case. Copyright International Atlantic Economic Society 2003

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1007/BF02296174 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:iaecre:v:9:y:2003:i:4:p:257-267:10.1007/bf02296174

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/11294

DOI: 10.1007/BF02296174

Access Statistics for this article

International Advances in Economic Research is currently edited by Katherine S. Virgo

More articles in International Advances in Economic Research from Springer, International Atlantic Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().