Capital Market Integration in the Pacific Basin Region: An Analysis of Real Interest Rate Linkages

December 1, 1995

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Format: Chicago

Kate Phylaktis. Capital Market Integration in the Pacific Basin Region: An Analysis of Real Interest Rate Linkages, (USA: International Monetary Fund, 1995) accessed December 22, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Balance of payments, Capital controls, Capital market integration, Economic integration, Financial services, Interest rate parity, Market interest rates, Real interest rates

Keywords: Asia and Pacific, Capital controls, Capital market, Capital market integration, Central Asia, Curb market, Differential eit, East Asia, Integration issue, Interest rate, Interest rate parity, Market interest rates, Real interest rate, Real interest rate differential, Real interest rate parity, Real interest rates, WP

Publication Details

Pages:

32
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1995/133
Stock No:

WPIEA1331995
ISBN:

9781451855432
ISSN:

1018-5941

Notes

Examines comovements of real interest rates in Japan, Singapore, Hong Kong, Taiwan Province of China, Malaysia, and Korea.

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