To what extent has financial market integration advanced in Asia?(in Japanese)

Using short-term interest rates from the 1980s to 2003, we test the real interest rate parity between Japan and eight Asian countries. The parity can not be rejected for Singapore only. Tests by 5-year period show the number of rejections is smaller in the 2000s than in the first half of the 1990s, suggesting a progress in integration among the Asian markets. The progress is also confirmed by shrinking deviations from the parity throughout the period. In addition, the tempo of the shrinkage is found to be common in many Asian countries, which turns out to be robust in other alternative specifications. This may imply there are some common factors cutting the deviations from the parity, such as a decline in transaction costs due to a progress in information and communication technology and alleviation of capital controls. Quantitative analysis of these possible reasons waits another paper.