1999 Fiscal Year Final Research Report Summary
Financial Internationalization and Financial Linkage between East-Asian Region and Advanced countries
| Project/Area Number |
09630092
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Niigata University |
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Principal Investigator |
MIYAKOSHI Tatsuyoshi Faculty of Economics, Niigata University Professor, 経済学部, 教授 (60166139)
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| Project Period (FY) |
1997 – 1999
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| Keywords | Financial Crisis / Contagion of Crisis / Financial Linkage |
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| Research Abstract |
We applied recent development of nonstationary time series analysis and other statistical technique to our research: unit root-cointegration analyses, error correction model (ECM) and others. We obtained some new finding. (I) It is found that there was a strong financial linkage from advanced countries to East Asian countries, through testing an exchange rates determination among those countries. (ii) It is found that there exists a financial linkage among East-Asian countries, through examining the causes of Asian financial crisis in 1997. (iii) It is also found that there was a strong financial linkage among advanced countries, by testing an exchange rates determination. Thus, because of financial internationalization, the financial linkage over countries becomes strong. This finding suggests that financial shocks and volatility cause capital flight and exchange rates crisis. Moreover, the crisis transmits and reduces all countries to financial instability immediately. Also, this finding proposes that policy coordination for exchange rates, stocks and interest rates are desired over the world.
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