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Does financial cooperation agreement improve the cointegration among ASEAN+3 money markets?

Rahman, Md. Saifur and Shahari, Farihana (2017) Does financial cooperation agreement improve the cointegration among ASEAN+3 money markets? International Journal of Applied Economics, 31 (1). pp. 108-125. ISSN 0269-2171 E-ISSN 1465-3486

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Abstract

This paper aims to empirically examine the degree of cointegration among ASEAN+3 money markets in order to determine and adopt remedial actions pursuant to vulnerabilities in the region’s money markets that indicate an inability to prevent possible financial crises. In order to validate vulnerabilities, this paper investigates the degree to which money markets are integrated. Inter-bank lending rates are divided based on agreement periods as well as on income levels of regional economies. The VAR-based Cointegration test and the VECM have been applied in the investigation process. The findings are: (1) weak integration during the pre-agreement period; (2) substantial progress toward the post-agreement period; (3) both high- and low-income markets integrate in a cooperative way; and (4) the agreement produces an impact that is incomplete in so far as integrating the region’s money markets. The finding of this study offers implications for the regional makers.

Item Type: Article (Journal)
Additional Information: 7791/52633
Uncontrolled Keywords: Gross National Income (GNI); Vector Autoregressive (VAR); Vector Error Correction Method (VECM)
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User: Farihana Shahari
Date Deposited: 11 Nov 2016 16:09
Last Modified: 13 Jun 2017 12:12
URI: http://irep.iium.edu.my/id/eprint/52633

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