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( Razzaque H. Bhatti ) 세종대학교 경제통합연구소 1997 Journal of Economic Integration Vol.12 No.3
Long-run unbiasedness is tested between forward exchange markets of four Asian countries - Hong Kong, Japan, Malaysia and Singapore - vis-a-vis the U.S. and Japan using monthly data on spot and one-month forward exchange rates over the period 1985-1994. The results obtained by employing the Johansen [1988] maximum likelihood technique of cointegration are supportive of unbiasedness for two countries (Malaysia and Singapore) against Japan but only one (Singapore) against the U.S. The results also indicate that unbiasedness holds only in the case of forward exchange markets of Malaysia and Singapore relative to Japan not only when these markets are examined in isolation from other Asian markets but also in a joint system they constitute. (JEL Classification: F31)
Bhatti, Razzaque H. 세종대학교 국제경제연구소 1997 Journal of Economic Integration Vol.12 No.3
Long-run unbiasedness is tested between forward exchange markets of four Asian countries -Hong Kong, Japan, Malaysia and Singapore - vis-a`-vis the U.S. and Japan using monthly data on spot and one-month forward exchange rates over the period 1985-1994. The results obtained by employing the Johansen [1988] maximum likelihood technique of cointegration are supportive of unbiasedness for two countries (Malaysia and Singapore) against Japan but only one (Singapore) against the U.S. The results also indicate that unbiasedness holds only in the case of forward exchange markets of Malaysia and Singapore relative to Japan not only when these markets are examined in isolation from other Asian markets but also in a joint system they constitute. (JEL Classification: F31)
Are Australian and New Zealand Markets Integrated? Evidence from RIP Tests
( Imad A. Moosa ),( Razzaque H. Bhatti ) 세종대학교 경제통합연구소 1995 Journal of Economic Integration Vol.10 No.4
This paper presents some empirical evidence, based on testing real interest panty, supporting the proposition that the implementation of CER and the deregulation of financial markets have contributed to achieving a higher degree of integration between goods and financial markets in Australia and New Zealand. The evidence is derived from a finding of real interest linkages in the post-CER period. Although perfect integration, as implied by a strict equality of real interest rates, is far from being the case, there is some indication that CER and the liberalization of financial markets have enhanced the move in this direction.