Financial systems integration in East-Asia: the uncovered interest parity condition / Ibrahim Bakari Hassan ... [et al.]
The paper investigates financial system integration in selected East-Asian countries (ASEAN5+3) under the Uncovered Interest Parity (UIP) hypothesis. The global vector autoregressive Model (GVAR) is used on the quarterly data of interest rate, exchange rate; real outputs, prices and equity prices ov...
| Main Authors: | , , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2014
|
| Subjects: | |
| Online Access: | https://ir.uitm.edu.my/id/eprint/35469/ |
| _version_ | 1848808799118295040 |
|---|---|
| author | Bakari Hassan, Ibrahim Mohamed, Azali Lee, Chin |
| author_facet | Bakari Hassan, Ibrahim Mohamed, Azali Lee, Chin |
| author_sort | Bakari Hassan, Ibrahim |
| building | UiTM Institutional Repository |
| collection | Online Access |
| description | The paper investigates financial system integration in selected East-Asian countries (ASEAN5+3) under the Uncovered Interest Parity (UIP) hypothesis. The global vector autoregressive Model (GVAR) is used on the quarterly data of interest rate, exchange rate; real outputs, prices and equity prices over the period of 1979Q2 to 2011Q4 for 33 countries. Contemporaneous effect of foreign variables on domestic counterparts is estimated to identify the level of linkages across the variables. The result shows high linkages in equity prices and real output than on short-term interest rate and inflation rate. On the UIP, restrictions are imposed on the generated cointegration vectors based on the respective long-run theories. The result does not support the holding of UIP and by implication;nofinancial system integration in the ASEAN5+3 countries, thus restriction to capital mobility is still high. Although the analysis does not consider the sensitivity of the term-structure of the interest rate (as only the short-term interest rate is observed), it is advisable for further research to consider long-term interest rate. It is also recommended for the respective policymakers to observe the way their short-term interest rate are related. |
| first_indexed | 2025-11-14T23:04:27Z |
| format | Conference or Workshop Item |
| id | uitm-35469 |
| institution | Universiti Teknologi MARA |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T23:04:27Z |
| publishDate | 2014 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | uitm-354692021-12-06T07:48:04Z https://ir.uitm.edu.my/id/eprint/35469/ Financial systems integration in East-Asia: the uncovered interest parity condition / Ibrahim Bakari Hassan ... [et al.] Bakari Hassan, Ibrahim Mohamed, Azali Lee, Chin Financial engineering Financial management. Business finance. Corporation finance The paper investigates financial system integration in selected East-Asian countries (ASEAN5+3) under the Uncovered Interest Parity (UIP) hypothesis. The global vector autoregressive Model (GVAR) is used on the quarterly data of interest rate, exchange rate; real outputs, prices and equity prices over the period of 1979Q2 to 2011Q4 for 33 countries. Contemporaneous effect of foreign variables on domestic counterparts is estimated to identify the level of linkages across the variables. The result shows high linkages in equity prices and real output than on short-term interest rate and inflation rate. On the UIP, restrictions are imposed on the generated cointegration vectors based on the respective long-run theories. The result does not support the holding of UIP and by implication;nofinancial system integration in the ASEAN5+3 countries, thus restriction to capital mobility is still high. Although the analysis does not consider the sensitivity of the term-structure of the interest rate (as only the short-term interest rate is observed), it is advisable for further research to consider long-term interest rate. It is also recommended for the respective policymakers to observe the way their short-term interest rate are related. 2014-11 Conference or Workshop Item PeerReviewed text en https://ir.uitm.edu.my/id/eprint/35469/1/35469.pdf Bakari Hassan, Ibrahim and Mohamed, Azali and Lee, Chin (2014) Financial systems integration in East-Asia: the uncovered interest parity condition / Ibrahim Bakari Hassan ... [et al.]. (2014) In: TeSSHI 2014- Technology, Science Social Sciences, Humanities, 5 & 6 Nov 2014, One Hotel Helang, Langkawi Kedah Malaysia. |
| spellingShingle | Financial engineering Financial management. Business finance. Corporation finance Bakari Hassan, Ibrahim Mohamed, Azali Lee, Chin Financial systems integration in East-Asia: the uncovered interest parity condition / Ibrahim Bakari Hassan ... [et al.] |
| title | Financial systems integration in East-Asia: the uncovered interest parity condition / Ibrahim Bakari Hassan ... [et al.] |
| title_full | Financial systems integration in East-Asia: the uncovered interest parity condition / Ibrahim Bakari Hassan ... [et al.] |
| title_fullStr | Financial systems integration in East-Asia: the uncovered interest parity condition / Ibrahim Bakari Hassan ... [et al.] |
| title_full_unstemmed | Financial systems integration in East-Asia: the uncovered interest parity condition / Ibrahim Bakari Hassan ... [et al.] |
| title_short | Financial systems integration in East-Asia: the uncovered interest parity condition / Ibrahim Bakari Hassan ... [et al.] |
| title_sort | financial systems integration in east-asia: the uncovered interest parity condition / ibrahim bakari hassan ... [et al.] |
| topic | Financial engineering Financial management. Business finance. Corporation finance |
| url | https://ir.uitm.edu.my/id/eprint/35469/ |