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Author: Jae H. Kim Publisher: ISBN: Category : Languages : en Pages : 31
Book Description
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 to 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.
Author: Jae H. Kim Publisher: ISBN: Category : Languages : en Pages : 31
Book Description
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 to 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.
Author: Ms.Kate Phylaktis Publisher: International Monetary Fund ISBN: 1451855435 Category : Business & Economics Languages : en Pages : 32
Book Description
This paper investigates the extent to which financial markets in the Pacific Basin Region have become more integrated, by analyzing the comovements of real interest rates. The paper uses cointegration and error correction models and draws inferences on the degree of capital market integration by looking at the speed of adjustment of real interest rates following a shock. The results show that there has been an increase in capital market integration with both U.S. and Japan during the 1980s. Japan has not, however, overtaken U.S. in dominating the financial markets of these countries, except possibly in the case of Malaysia. Capital market integration is found to be greater in Singapore, Hong Kong and Taiwan Province of China. On the other hand, Japan is the least integrated country with the United States.
Author: Reuven Glick Publisher: Cambridge University Press ISBN: 9780521623230 Category : Business & Economics Languages : en Pages : 148
Book Description
"This is a very timely book that brings the reader to the forefront of current research on macroeconomic policy issues in economies subject to sizable capital flows".--Guillermo A. Calvo, University of Maryland.
Author: Jae H. Kim
Author: Jae H. Kim
Author: Ms.Kate Phylaktis
Author: Reuven Glick
Author: Kiyotaka Sato
Author: K. Phylaktis
Author: 
Author: Reuven Glick
Author: Menzie Chinn
Author: Toshie Ikenaga
Author: Masaharu Hanazaki