Cover Image

Financial systems integration in East-Asia: the uncovered interest parity condition

The paper investigates financial system integration in selected East-Asian countries (ASEAN5+3) under the Uncovered Interest Parity (UIP) hypothesis. The global vector autoregressive Model (GVAR) is used on the quarterly data of interest rate, exchange rate; real outputs, prices and equity prices ov...

Full description

Saved in:
Bibliographic Details
Main Authors: Hassan, Ibrahim Bakari, Mohamed, Azali, Lee, Chin
Format: Conference or Workshop Item
Language:English
Published: 2014
Online Access:http://psasir.upm.edu.my/id/eprint/67079/1/TeSSHI_2014-1.pdf
http://psasir.upm.edu.my/id/eprint/67079/
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.upm.eprints.67079
record_format eprints
spelling my.upm.eprints.670792019-03-06T05:42:17Z http://psasir.upm.edu.my/id/eprint/67079/ Financial systems integration in East-Asia: the uncovered interest parity condition Hassan, Ibrahim Bakari Mohamed, Azali Lee, Chin The paper investigates financial system integration in selected East-Asian countries (ASEAN5+3) under the Uncovered Interest Parity (UIP) hypothesis. The global vector autoregressive Model (GVAR) is used on the quarterly data of interest rate, exchange rate; real outputs, prices and equity prices over the period of 1979Q2 to 2011Q4 for 33 countries. Contemporaneous effect of foreign variables on domestic counterparts is estimated to identify the level of linkages across the variables. The result shows high linkages in equity prices and real output than on short-term interest rate and inflation rate. On the UIP, restrictions are imposed on the generated cointegration vectors based on the respective long-run theories. The result does not support the holding of UIP and by implication; no financial system integration in the ASEAN5+3 countries, thus restriction to capital mobility is still high. Although the analysis does not consider the sensitivity of the term-structure of the interest rate (as only the short-term interest rate is observed), it is advisable for further research to consider long-term interest rate. It is also recommended for the respective policymakers to observe the way their short-term interest rate are related. 2014 Conference or Workshop Item PeerReviewed text en http://psasir.upm.edu.my/id/eprint/67079/1/TeSSHI_2014-1.pdf Hassan, Ibrahim Bakari and Mohamed, Azali and Lee, Chin (2014) Financial systems integration in East-Asia: the uncovered interest parity condition. In: International Conference on Technology, Science, Social Sciences and Humanities (TeSSHI 2014), 5-6 Nov. 2014, One Hotel Helang, Langkawi, Kedah, Malaysia. (pp. 333-348).
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description The paper investigates financial system integration in selected East-Asian countries (ASEAN5+3) under the Uncovered Interest Parity (UIP) hypothesis. The global vector autoregressive Model (GVAR) is used on the quarterly data of interest rate, exchange rate; real outputs, prices and equity prices over the period of 1979Q2 to 2011Q4 for 33 countries. Contemporaneous effect of foreign variables on domestic counterparts is estimated to identify the level of linkages across the variables. The result shows high linkages in equity prices and real output than on short-term interest rate and inflation rate. On the UIP, restrictions are imposed on the generated cointegration vectors based on the respective long-run theories. The result does not support the holding of UIP and by implication; no financial system integration in the ASEAN5+3 countries, thus restriction to capital mobility is still high. Although the analysis does not consider the sensitivity of the term-structure of the interest rate (as only the short-term interest rate is observed), it is advisable for further research to consider long-term interest rate. It is also recommended for the respective policymakers to observe the way their short-term interest rate are related.
format Conference or Workshop Item
author Hassan, Ibrahim Bakari
Mohamed, Azali
Lee, Chin
spellingShingle Hassan, Ibrahim Bakari
Mohamed, Azali
Lee, Chin
Financial systems integration in East-Asia: the uncovered interest parity condition
author_facet Hassan, Ibrahim Bakari
Mohamed, Azali
Lee, Chin
author_sort Hassan, Ibrahim Bakari
title Financial systems integration in East-Asia: the uncovered interest parity condition
title_short Financial systems integration in East-Asia: the uncovered interest parity condition
title_full Financial systems integration in East-Asia: the uncovered interest parity condition
title_fullStr Financial systems integration in East-Asia: the uncovered interest parity condition
title_full_unstemmed Financial systems integration in East-Asia: the uncovered interest parity condition
title_sort financial systems integration in east-asia: the uncovered interest parity condition
publishDate 2014
url http://psasir.upm.edu.my/id/eprint/67079/1/TeSSHI_2014-1.pdf
http://psasir.upm.edu.my/id/eprint/67079/
_version_ 1643838798899970048
score 13.211869

Similar Items