کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964722 930593 2011 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Financial integration in the pacific basin region: RIP by PANIC attack?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Financial integration in the pacific basin region: RIP by PANIC attack?
چکیده انگلیسی

We exploit advances in panel data econometrics to test whether real interest parity holds in the Pacific Basin region. We test for a unit root in the difference between either the US, Japanese or Euro area real interest rate and the real interest rates from a panel of eleven Pacific Basin economies. Unlike extant studies that test for RIP using panel data, we use Bai and Ng’s (2004) PANIC test which allows for a very general model of cross-section dependence, including the possibility of cross-unit cointegration. Ignoring the possibility of cross-unit cointegration can lead to severe size distortions and to an over-rejection of the null hypothesis of a unit root. We overturn earlier findings based on first-generation panel tests, and demonstrate that cross-unit cointegration leads to incorrect conclusions. We find that RIP holds in the Pacific region. Real interest rates converge to the US rate. We find no support for the hypothesis that Pacific Basin real interest rates converge to either the Japanese or Euro area rates.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 30, Issue 6, October 2011, Pages 1019–1033
نویسندگان
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