To examine the validity of real interest parity (RIP), this study provides empirical evidences concerning the dynamic linkages of real interest rates among ASEAN-5 and the mean reversion behaviors of real interest differentials of ASEAN-5.vis-à-vis Japan during the post liberalization era...

This paper presents a joint investigation of the international parity conditions between China and her 13 major trading partners in the Asia Pacific over globalization era. Several advanced tests of unit root for univariate and panel series are utilized in the analyses. Our findings reveal that...

The purpose of this paper is to highlight the level of European financial integration, based on the academic literature analyzing a comprehensive set of indicators and methodologies. We structured our research on sections that present a theoretical approach of the instruments that will be used...

To testify RIP, this study scrutinizes the mean-reversion behavior of bilateral real interest differentials (RIDs) in eight East Asian economies. We incorporate the ASEAN-5, South Korea and China (mainland) with the US and Japan taken as base countries. Four sub-samples within 1976-2004 are...

This paper aims at testing international parity conditions by using nonlinear unit root tests advocated by Kapetanios et al. (2003, KSS). Results from the KSS tests based on 17 countries (G7 and 10 Asian countries) overwhelmingly show that the adjustment of real interest rates towards the RIP...

This paper estimates the exchange market pressure (EMP) on currencies of EU4 countries (Czech Republic, Hungary, Poland, Slovakia) during the period 1993-2005. Therefore, it is one of a very few studies focused on this region and the very first paper applying the model-dependent approach to the...

This study examines the stock market integration among major stock markets of emerging Asia-Pacific economies, viz. India, Malaysia, Hong Kong, Singapore, South Korea, Taiwan, Japan, China and Indonesia. Johansen and Juselius (1990) multivariate cointegration test, Granger causality/Block...

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

This paper applies the Girton-Roper model of exchange market pressure (EMP) on four Central European economies (Czech Republic, Hungary, Poland, Slovakia) over the period 1995-2008. The results suggest that there is a strong negative relation between domestic credit and EMP in all countries. We...

This paper presents the empirical evidence on purchasing power parity (PPP) for Pak-rupee vis-à-vis US-dollar exchange rate using Johansen (1988) and Johansen and Juselius (1990) multivariate cointegration and bound testing approach to cointegration (Pesaran et al., 2001) over the period...