Measuring Regional Market Integration in Developing Asia: a Dynamic Factor Error Correction Model (DF-ECM) Approach
Qin, Duo; Cagas, Marie Anne; Ducanes, Geoffrey; Magtibay-Ramos, Nedelyn; Quising, Pilipinas F. | May 2007
Abstract
This paper examines empirically the dynamic process of regional market integration in twelve Asian economies using a new modeling approach combining DF with ECM. This approach enables us to obtain latent regional dynamic factors which correspond well with the ‘foreign’ parity variables in theory when a market is imperfectly integrated and which act, in explaining domestic short-run price adjustments, as leading-indicators in an error-correction form. The power of the DF-ECM approach is illustrated in its application to measuring market integration in the developing Asian region using monthly data from the past decade.
Citation
Qin, Duo; Cagas, Marie Anne; Ducanes, Geoffrey; Magtibay-Ramos, Nedelyn; Quising, Pilipinas F.. 2007. Measuring Regional Market Integration in Developing Asia: a Dynamic Factor Error Correction Model (DF-ECM) Approach. © Asian Development Bank. http://hdl.handle.net/11540/4203. License: CC BY 3.0 IGO.Keywords
Financial Stability
Financial Management System
Financial Restructuring
Capital Market Development
Erosion
Market Development
Economics
Erosion
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