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...

This paper investigates the linkage between the USD and HKD swap curves. We argue that these curves contain important information, which is over and above that provided by the sovereign yield curves and the standard measures of market liquidity, Libor-type interest rates. Our work indicates that...

This paper investigates to what extent the oil price shock and three other types of underlying macroeconomic shocks impact the trend movements of China's real exchange rate. By constructing a four-dimensional structural VAR model, the results suggest that real oil price shocks would lead to a...

This paper examines the evidence on saving-investment correlations and the covered interest parity conditions to gauge the degree of capital mobility in eight East Asia emerging markets. It is found that Hong Kong and Singapore have fairly mobile capital markets while other countries exhibit...

This paper presents some empirical evidence on the covered interest parity and a dynamic GARCH model to gauge the degree of capital mobility and its volatility in seven East Asia economies. The results show that Hong Kong and Singapore have fairly mobile capital markets while the other economies...

This paper investigates empirically the feasibility of creating a currency union in East Asia following closer monetary cooperations in recent years. Relying on a four-variable structural VAR model, we identify various types of shocks in nine East Asian economies, with nine European Monetary...

The article investigates to what extent various underlying macro (oil, supply, demand and portfolio) shocks impact the fluctuations of Japanese stock prices by developing a multivariate structural vector autoregression (SVAR) model. The results from a Markov regime-switching (MS) specification...

This paper studies how to solve semi-infinite polynomial programming (SIPP) problems by semidefinite relaxation methods. We first recall two SDP relaxation methods for solving polynomial optimization problems with finitely many constraints. Then we propose an exchange algorithm with SDP...

The stochastic resonance (SR) in a second-order linear system driven by a trichotomous noise and an external periodic signal is investigated. By the use of the properties of the trichotomous noise and the Shapiro–Loginov formula, the exact expression for the output spectral amplification (SPA)...

The zone system used for freight data collection and the geographic resolution of published data has a significant impact on analysis and planning. The majority of existing freight model zones are created in an ad hoc way. In this paper, a new model-based design method is introduced to develop...