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

32 Pages Posted: 15 Feb 2006

See all articles by Kate Phylaktis

Kate Phylaktis

City University London - Sir John Cass Business School

Date Written: December 1995

Abstract

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.

JEL Classification: F21, F31, F32, F36

Suggested Citation

Phylaktis, Kate, Capital Market Integration in the Pacific Basin Region: An Analysis of Real Interest Rate Linkages (December 1995). IMF Working Paper No. 95/133; Cass Business School Research Paper. Available at SSRN: https://ssrn.com/abstract=883279

Kate Phylaktis (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

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