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International Capital Mobility in the Short Run and the Long Run: A Daily Data Study for Japan, Singapore and Taiwan

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  • Han‐Min Hsing

Abstract

Using daily data from between 1993 and 2003, covered interest differential and cointegration tests are applied to examine short‐run and long‐run international capital mobility for Japan, Singapore and Taiwan, and, for comparison purposes, the UK. Despite the high short‐run mobility in Japan (Singapore and Taiwan), being slightly (significantly) lower than in the UK, perfect long‐run mobility exists in all three Asian economies, especially when the Asian currency crisis is excluded. Different short‐run and long‐run mobility implies the existence of a response lag in the financial market. As expected, although the impulse response reaches the significant long‐run equilibrium level shortly after the shock in the UK, lagged responses appear in the three Asian economies, particularly in Singapore and Taiwan.

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  • Han‐Min Hsing, 2008. "International Capital Mobility in the Short Run and the Long Run: A Daily Data Study for Japan, Singapore and Taiwan," Asian Economic Journal, East Asian Economic Association, vol. 22(1), pages 67-82, March.
    • Handle: RePEc:bla:asiaec:v:22:y:2008:i:1:p:67-82
    DOI: 10.1111/j.1467-8381.2008.00269.x
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    1. Chang, Ming-Jen & Su, Che-Yi, 2014. "The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 220-246.

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