Real interest rate linkages in the Pacific-Basin region

Philip Inyeob Ji, Jae H. Kim

Research output: Contribution to journalArticlepeer-review

8 Scopus citations

Abstract

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 US, Japan, Korea, Singapore, and Thailand from 1980 to 2006. 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 overall 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. After the crisis, the dominance of the Japanese market has completely disappeared, while the US market remains as a sole dominant player and the Korean market has become more influential. Crown

Original languageEnglish
Pages (from-to)440-448
Number of pages9
JournalInternational Review of Economics and Finance
Volume18
Issue number3
DOIs
StatePublished - Jun 2009

Keywords

  • Asian financial crisis
  • Bootstrapping
  • Capital markets integration
  • Half-life
  • Impulse response analysis

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