Financial integration of East Asian economies: evidence from real interest parity
In this article, we investigate the financial linkages between the East Asian economies with Japan and the United States. We test for long-run Real Interest-rate Parity (RIP) using an array of panel-data techniques, including recent techniques developed by Breuer et al. (2002) and Carrion-i-Silvestr...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Routledge
2011
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| Online Access: | http://psasir.upm.edu.my/id/eprint/22842/1/Financial%20integration%20of%20East%20Asian%20economies.pdf |
| _version_ | 1796970242334785536 |
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| author | Baharumshah, Ahmad Zubaidi Chan, Tze Haw M. Masih, Abul Mansur Lau, Evan |
| author_facet | Baharumshah, Ahmad Zubaidi Chan, Tze Haw M. Masih, Abul Mansur Lau, Evan |
| author_sort | Baharumshah, Ahmad Zubaidi |
| collection | UPM |
| description | In this article, we investigate the financial linkages between the East Asian economies with Japan and the United States. We test for long-run Real Interest-rate Parity (RIP) using an array of panel-data techniques, including recent techniques developed by Breuer et al. (2002) and Carrion-i-Silvestre et al. (2005). This study offers two important results: first, the failure to account for structural breaks in the industrialized countries and Asian emerging economies is likely to provide evidence of nonstationary series that are stationary. Second, we found strong evidence that the parity condition holds in all the Asian countries. The failure of earlier studies to confirm mean reversion of Real Interest-rate Differential (RID) may reflect the choice of estimation/testing procedure rather than any inherent deficiency in the RIP. |
| first_indexed | 2024-03-06T07:55:09Z |
| format | Article |
| id | upm.eprints-22842 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T07:55:09Z |
| publishDate | 2011 |
| publisher | Routledge |
| record_format | dspace |
| spelling | upm.eprints-228422015-08-27T01:05:59Z http://psasir.upm.edu.my/id/eprint/22842/ Financial integration of East Asian economies: evidence from real interest parity Baharumshah, Ahmad Zubaidi Chan, Tze Haw M. Masih, Abul Mansur Lau, Evan In this article, we investigate the financial linkages between the East Asian economies with Japan and the United States. We test for long-run Real Interest-rate Parity (RIP) using an array of panel-data techniques, including recent techniques developed by Breuer et al. (2002) and Carrion-i-Silvestre et al. (2005). This study offers two important results: first, the failure to account for structural breaks in the industrialized countries and Asian emerging economies is likely to provide evidence of nonstationary series that are stationary. Second, we found strong evidence that the parity condition holds in all the Asian countries. The failure of earlier studies to confirm mean reversion of Real Interest-rate Differential (RID) may reflect the choice of estimation/testing procedure rather than any inherent deficiency in the RIP. Routledge 2011 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/22842/1/Financial%20integration%20of%20East%20Asian%20economies.pdf Baharumshah, Ahmad Zubaidi and Chan, Tze Haw and M. Masih, Abul Mansur and Lau, Evan (2011) Financial integration of East Asian economies: evidence from real interest parity. Applied Economics, 43 (16). pp. 1979-1990. ISSN 0003-6846; ESSN: 1466-4283 http://www.tandfonline.com/doi/abs/10.1080/00036840902902243 10.1080/00036840902902243 |
| spellingShingle | Baharumshah, Ahmad Zubaidi Chan, Tze Haw M. Masih, Abul Mansur Lau, Evan Financial integration of East Asian economies: evidence from real interest parity |
| title | Financial integration of East Asian economies: evidence from real interest parity |
| title_full | Financial integration of East Asian economies: evidence from real interest parity |
| title_fullStr | Financial integration of East Asian economies: evidence from real interest parity |
| title_full_unstemmed | Financial integration of East Asian economies: evidence from real interest parity |
| title_short | Financial integration of East Asian economies: evidence from real interest parity |
| title_sort | financial integration of east asian economies evidence from real interest parity |
| url | http://psasir.upm.edu.my/id/eprint/22842/1/Financial%20integration%20of%20East%20Asian%20economies.pdf |
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