International linkage of interest rates: Evidence from the emerging economies of Asia
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Swanson, Peggy E, 1988. "Interrelationships among Domestic and Eurocurrency Deposit Yields: A Focus on the U.S. Dollar," The Financial Review, Eastern Finance Association, vol. 23(1), pages 81-94, February.
- Swanson, Peggy E., 1987. "Capital market integration over the past decade: The case of the US dollar," Journal of International Money and Finance, Elsevier, vol. 6(2), pages 215-225, June.
- Jeffrey A. Frankel, 1993.
"Is Japan Creating a Yen Bloc in East Asia and the Pacific?,"
NBER Chapters, in: Regionalism and Rivalry: Japan and the United States in Pacific Asia, pages 53-88,
National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel, 1992. "Is Japan creating a yen bloc in East Asia and the Pacific?," Pacific Basin Working Paper Series 92-09, Federal Reserve Bank of San Francisco.
- Jeffrey A. Frankel, 1992. "Is Japan Creating a Yen Bloc in East Asia and the Pacific?," NBER Working Papers 4050, National Bureau of Economic Research, Inc.
- Frankel, Jeffrey A., 1993. "Is Japan Creating a Yen Bloc in East Asia and the Pacific?," Center for International and Development Economics Research (CIDER) Working Papers 233179, University of California-Berkeley, Department of Economics.
- Jeffrey A. Frankel., 1993. "Is Japan Creating a Yen Bloc in East Asia and the Pacific?," Center for International and Development Economics Research (CIDER) Working Papers C93-007, University of California at Berkeley.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Gerd Hansen, 1996. "The domestic term structure and international interest rate linkages: A cointegration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 132(4), pages 675-689, December.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
- Johnson, David R, 1993.
"International Interest Rate Linkages in the Term Structure,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 755-770, November.
- Johnson, D.R., 1991. "International Interest Rate Linkages in the Term Structure," Working Papers 91154, Wilfrid Laurier University, Department of Economics.
- Reuven Glick, 1987. "Interest rate linkages in the Pacific Basin," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 31-42.
- Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Karfakis, Costas J & Moschos, Demetrios M, 1990.
"Interest Rate Linkages within the European Monetary System: A Time Series Analysis,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(3), pages 389-394, August.
- Karfakis, C. J. & Moschos, D.M., 1990. "Interest Rate Linkages Within the European Monetary System: A Time Series Analysis," Working Papers 144, University of Sydney, School of Economics.
- Katsimbris, George M & Miller, Stephen M, 1993. "Interest Rate Linkages within the European Monetary System: Further Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 771-779, November.
- Jay H. Levin, 1974. "The Eurodollar Market and the International Transmission of Interest Rates," Canadian Journal of Economics, Canadian Economics Association, vol. 7(2), pages 205-224, May.
- Phillips, P C B, 1991.
"Optimal Inference in Cointegrated Systems,"
Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
- Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- David A. Dickey & Dennis W. Jansen & Daniel L. Thornton, 1994.
"A Primer on Cointegration with an Application to Money and Income,"
Palgrave Macmillan Books, in: B. Bhaskara Rao (ed.), Cointegration, chapter 2, pages 9-45,
Palgrave Macmillan.
- David A. Dickey & Dennis W. Jansen & Daniel L. Thornton, 1991. "A primer on cointegration with an application to money and income," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 58-78.
- Fukao, Mitsuhiro & Okubo, Takashi, 1984. "International Linkage of Interest Rates: The Case of Japan and the United States," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 193-207, February.
- repec:syd:wpaper:144 is not listed on IDEAS
- Takeo Hoshi & Anil Kashyap & David Scharfstein, 1993. "The Choice Between Public and Private Debt: An Analysis of Post-Deregulation Corporate Financing in Japan," NBER Working Papers 4421, National Bureau of Economic Research, Inc.
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 241-256, June.
- Hartman, David G., 1984. "The international financial market and US interest rates," Journal of International Money and Finance, Elsevier, vol. 3(1), pages 91-103, April.
- Kaen, Fred R & Hachey, George A, 1983. "Eurocurrency and National Money Market Interest Rates: An Empirical Investigation of Causality," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(3), pages 327-338, August.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Paul Boothe, 1991. "Interest Parity, Cointegration, and the Term Structure in Canada and the United States," Canadian Journal of Economics, Canadian Economics Association, vol. 24(3), pages 595-603, August.
- Patric H. Hendershott, 1967. "The Structure Of International Interest Rates: The U.S. Treasury Bill Rate And The Eurodollar Deposit Rate," Journal of Finance, American Finance Association, vol. 22(3), pages 455-465, September.
- Victor Argy & Zoran Hodjera, 1973. "Financial Integration and Interest Rate Linkages in Industrial Countries, 1958-71 (Intégration financière et relations entre les taux d'intérêt des pays industriels, 1958-71) (Integración financi," IMF Staff Papers, Palgrave Macmillan, vol. 20(1), pages 1-77, March.
- Park, Jinwoo & Fatemi, Ali M., 1993. "The linkages between the equity markets of pacific-basin countries and those of the U.S., U.K., and Japan: A vector autoregression analysis," Global Finance Journal, Elsevier, vol. 4(1), pages 49-64.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- David G. Hartman, 1980. "The International Financial Market and U.S. Interest Rates," NBER Working Papers 0598, National Bureau of Economic Research, Inc.
- Ø. Gjerde & F. Sættem, 1995. "Linkages among European and world stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 1(2), pages 165-179.
- Phylaktis, Kate, 1999. "Capital market integration in the Pacific Basin region: an impulse response analysis," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 267-287, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- David Silvera, 2010. "The Antecedents and Consequences of Defensive Attributions inProduct-Harm Crises," Working Papers 0012, College of Business, University of Texas at San Antonio.
- Mougoue, Mbodja & Noula, Armand Gilbert & Ajayi, Richard A., 2008. "Maturities, Nonlinearities, and the International Transmission of Short-Term Interest Rates," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 4(1-2), pages 1-20.
- Su Zhou, 2007. "Stationarity of Asian-Pacific real exchange rates," Working Papers 0012, College of Business, University of Texas at San Antonio.
- Vuyyuri, S., 2004. "Linkages of Indian Interest Rates with US and Japanese Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(2).
- Rughoo, Aarti & You, Kefei, 2016. "Asian financial integration: Global or regional? Evidence from money and bond markets," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 419-434.
- Zhou, Su, 2008. "Stationarity of Asian-Pacific real exchange rates," Economics Letters, Elsevier, vol. 98(1), pages 16-22, January.
- Ying Huang & Feng Guo, 2006. "An Empirical Examination of Capital Mobility in East Asia Emerging Markets," Global Economic Review, Taylor & Francis Journals, vol. 35(1), pages 97-111.
- Sanjay Kumar Rout & Hrushikesh Mallick, 2020. "Transmission of International Financial Shocks: A Cross Country Analysis," Asian Development Policy Review, Asian Economic and Social Society, vol. 8(4), pages 236-259, December.
- Sanjay Kumar Rout & Hrushikesh Mallick, 2020. "International Spillovers of Interest Rate Shocks: An Empirical Analysis," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 10(10), pages 215-222, October.
- Tai-Hu Ling, & Venus Khim-Sen Liew & Syed Azizi Wafa Syed Khalid Wafa, 2007.
"Real Interest Rates Equalization: The Case of Malaysia and Singapore,"
The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3), pages 24-37, August.
- Ling, Tai-Hu & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Real interest rates equalization: The case of Malaysia and Singapore," MPRA Paper 515, University Library of Munich, Germany.
- Khaled Guesmi & Olfa Kaabia & Ilyes Abid, 2017. "ASEAN Plus Three Stock Markets Integration," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(3), pages 565-581, September.
- Ji, Philip Inyeob, 2003. "Real Interest Rate Equalisation: Some Evidence from East Asian Economi es," Working Papers 8, University of Sydney, School of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Bremnes, Helge & Gjerde, Oystein & Saettem, Frode, 1997. "A multivariate cointegration analysis of interest rates in the Eurocurrency market," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 767-778, September.
- Vuyyuri, S., 2004. "Linkages of Indian Interest Rates with US and Japanese Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(2).
- Nieh, Chien-Chung & Yau, Hwey-Yun, 2004. "Time series analysis for the interest rates relationships among China, Hong Kong, and Taiwan money markets," Journal of Asian Economics, Elsevier, vol. 15(1), pages 171-188, February.
- Swanson, Peggy E., 2003. "The interrelatedness of global equity markets, money markets, and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 135-155.
- Clinebell, John M. & Kahl, Douglas R. & Stevens, Jerry L., 2000. "Integration of LIBOR and Treasury bill yields over different monetary regimes," Global Finance Journal, Elsevier, vol. 11(1-2), pages 17-30.
- Lin, Antsong & Swanson, Peggy E., 1997. "The U.S. dollar in global money markets: A multivariate cointegration analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(1), pages 139-150.
- repec:bla:scandj:v:103:y:2001:i:1:p:127-45 is not listed on IDEAS
- Wai-Chung Lo & Hung-Gay Fung & Morse, Joel N., 1995. "A note on Euroyen and domestic yen interest rates," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1309-1321, October.
- Fujihara, Roger A. & Mougoue, Mbodja, 1996. "International linkages between short-term real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(4), pages 451-473.
- Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
- Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 563-587, August.
- Baharumshah, Ahmad Zubaidi & M. Masih, A. Mansur & Azali, M., 2002. "The stock market and the ringgit exchange rate: a note," Japan and the World Economy, Elsevier, vol. 14(4), pages 471-486, December.
- Hsieh, Nigel C. T. & Lin, Antsong & Swanson, Peggy E., 1999. "Global money market interrelationships," International Review of Economics & Finance, Elsevier, vol. 8(1), pages 71-85, January.
- de Jong, Pieter J. & Swanson, Peggy E., 2006. "The Euro deposit market in a global perspective," Global Finance Journal, Elsevier, vol. 16(3), pages 354-365, March.
- Levent KORAP, 2008.
"Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach,"
Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
- Levent, Korap, 2008. "Exchange rate determination of TL/US$: a co-integration approach," MPRA Paper 19659, University Library of Munich, Germany.
- Catherine Bruneau & Eric Jondeau, 1999.
"Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-568, November.
- C. Bruneau & E. Jondeau, 1997. "Long-run causality, with an application to international links between long-term interest rates," THEMA Working Papers 97-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Bruneau, C. & Jondeau, E., 1998. "Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates," Working papers 53, Banque de France.
- Wu, Jyh-Lin, 1999. "A re-examination of the exchange rate-interest differential relationship: evidence from Germany and Japan," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 319-336, February.
- Nafeesa Yunus & Peggy Swanson, 2007. "Modelling Linkages between US and Asia‐Pacific Securitized Property Markets," Journal of Property Research, Taylor & Francis Journals, vol. 24(2), pages 95-122.
- Park, Jinwoo, 2001. "Information flows between non-deliverable forward (NDF) and spot markets: Evidence from Korean currency," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 363-377, August.
- Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 245-263.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008.
"Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience,"
Working papers
2008-49, University of Connecticut, Department of Economics.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:13:y:2002:i:2:p:217-235. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620162 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.