Asymmetric Effects on East Asian Financial Integration: Is There 'Japanese Dominance'?
Ying Sophie Huang
Institute of International Finance
Review of Pacific Basin Financial Markets and Policies, 2007 (10), No. 2, pp193-214
This paper examines the extent of asymmetric effects and the hypothesis of Japanese dominance in East Asian financial integration by analyzing the transmission mechanism to local interest rates originating in both Japan and the US. The results support a weak version of the hypothesis in the cases of Malaysia and Taiwan, since there exist unidirectional causality effects from Japan. In addition, empirical evidence indicates that the sensitivity of local interest rates to US interest rate has declined in Korea and Thailand after they abandoned pegged exchange rate regimes in the post-crisis period.
Keywords: Interest rates, Asymmetry, Japanese Dominance
JEL Classification: F21, F36Accepted Paper Series
Date posted: March 8, 2007 ; Last revised: September 12, 2008
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