Existing cointegration tests for the savings-investment model are limited because of low testing power. In this paper the savings-investment correlation is re-examined using a panel cointegration test by which the power seems to be improved greatly. A cointegration relationship is obtained...

We find nonlinear mean-reverting tendencies in Southeast Asian currencies by applying the newly developed nonlinear unit root test by Park and Shintani (2005). First, with the U.S. dollar as the numeraire currency, we find that 63% of the real exchange rates of Southeast Asian currencies turn...

We estimate dynamic conditional correlations of financial asset returns across countries by an array of multivariate GARCH models and analyze spillover effects of the recent US financial crisis on 5 emerging Asian countries. We confirm the existence of financial contagion around the collapse of...

We argue that Korea's recent financial distresses reflect contagion of the crisis, beyond normal interdependence between the Korean financial market and other regional financial markets. The tests based on the correlation coefficients estimated from the DCC-GARCH and STC-GARCH models lend...