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Document Type:Latin Dissertation
Language of Document:English
Record Number:53808
Doc. No:TL23762
Call number:‭3159646‬
Main Entry:Amnat Phalapleewan
Title & Author:Measuring monetary interdependence in East Asia: Evidence after 1990Amnat Phalapleewan
College:The Claremont Graduate University
Date:2005
Degree:Ph.D.
student score:2005
Page No:166
Abstract:This dissertation investigates the extent to which financial markets in East Asia after 1990 have become more interconnected to the US, as well as to each other, by examining the sensitivity of foreign influences on domestic interest rates. Since there have been many conflicts in the empirical findings on the degree of financial integration because of different methodology and time period, I have employed the estimates both in levels and in differences with several choices of control variables and dynamic specifications. The results are mixed. First, the results show that the sensitivity of local to foreign interest rates for most countries has changed substantially between the pre-crisis and post-crisis periods because of switching in the exchange rate regime after the crisis. Moreover, the results can be sensitive to the starting date of the post-crisis period, especially when assessing intra regional integration. Second, the estimation in levels tends to find more cases of high correlations between the local and foreign interest rates. With an unresolved issue of stationary property of the time series, however, it is not clear how much weight should be given to each empirical estimate. Third, despite a rapid growth in international capital movements in the 1990s, there are more financial connections between East Asian countries and the US, rather than to each other in the pre-crisis period. In the post-crisis, however, the evidence indicates that there is lesser interest rate connections to the US, while intra regional interest rate interdependence among Korea, Malaysia, the Philippines, and Thailand is more apparent. Yet, it is difficult to distinguish whether such findings reflect the true causal relationships between these countries or just spurious correlations caused by lower inflation rate regimes.
Subject:Social sciences; Asia; Interest rates; Korea; Malaysia; Monetary interdependence; Philippines; Regional integration; Thailand; Finance; Securities markets; International finance; Studies; 0508:Finance
Added Entry:T. D. Willett
Added Entry:The Claremont Graduate University