Asymmetric Effects on East Asian Financial Integration: Is There 'Japanese Dominance'?

Posted: 8 Mar 2007 Last revised: 12 Sep 2008

See all articles by Ying Sophie Huang

Ying Sophie Huang

Zhejiang University, School of Management

Feng Guo

Institute of International Finance

Abstract

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 cases of Malaysia and Taiwan, since there exist unidirectional causality effects from Japan. In addition, empirical evidence indicates that the sensitivity of local interest rates to US interest rate has declined in Korea and Thailand after they abandoned pegged exchange rate regimes in the post-crisis period.

Keywords: Interest rates, Asymmetry, Japanese Dominance

JEL Classification: F21, F36

Suggested Citation

Huang, Ying and Guo, Feng, Asymmetric Effects on East Asian Financial Integration: Is There 'Japanese Dominance'?. Review of Pacific Basin Financial Markets and Policies, 2007 (10), No. 2, pp193-214, Available at SSRN: https://ssrn.com/abstract=967775

Ying Huang (Contact Author)

Zhejiang University, School of Management ( email )

866 Yuhangtang Road
Hangzhou, Zhejiang 310058
China

Feng Guo

Institute of International Finance

1333 H Street NW
Suite 800E
Washington, DC 20005
United States

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