haku: @author Chinn, M. / yhteensä: 2
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| Tekijä: | Chinn, M. Frankel, J. |
| Otsikko: | Who drives real interest rates around the Pacific Rim: the USA or Japan? |
| Lehti: | Journal of International Money and Finance
1995 : DEC, VOL. 14:6, p. 801-822 |
| Asiasana: | INTEREST RATES USA JAPAN |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates the relative influence of US and Japanese real interest rates in the determination of local Pacific Rim rates, where influence is defined by the presence of common stochastic trends. Furthermore, the degree to which long-run real interest parity holds is examined. The cointegration testing methodology of Johansen (1988) is adopted for this analysis, which allows for multiple cointegrating vectors. The results indicate that Malaysia, Hong Kong and Taiwan are linked with both the USA and Japan (in terms of cointegration and positive covariation), while only Singapore is solely linked with the USA. |
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