The relative impacts of Japanese and US interest rates on local interest rates in Australia and Singapore: a Granger causality test

References

• Argy , V. 1992 . Australian Macroeconomic Policy in a Changing Worm Environment , Sydney : Allen & Unwin .
   Google Scholar
• Chinn , M. and Frankel , J. 1995 . Who drives real interest rate around the Pacific Rim: the USA or Japan? . Journal of International Money and Finance , 14 : 801 – 821 .
   Web of Science ®Google Scholar
• Chinn , M. and Frankel , J. 1994 . “ Financial linkages around the Pacific Rim: 1982–1992 ” . In Exchange Rate Policy and Interdependence: Prospective from the Pacific Basin , Edited by: Glick , R. and Hutchison , M. Cambridge : Cambridge University Press . 1994
   Google Scholar
• Chinn , M. and Frankel , J. 1994b . Capital barriers in the Pacific Basin: 1982–1992 . Journal of Economic Integration , 9 : 62 – 80 .
   Google Scholar
• Cooley , T. and LeRoy , S. 1985 . A theoretical macroeconometrics . Journal of Monetary Economics , 16 : 283 – 308 .
   Web of Science ®Google Scholar
• DFAT (Department of Foreign Affairs and Trade, Australia) . 1992 . Australia's Business Challenge: Southeast Asia in the 1990s , Canberra : East Asia Analytical Unit, Australian Government Publication Service (AGPS) .
   Google Scholar
• DFAT . 1994a . Changing Tack: Australian Investment in South-East Asia, East Asia Analytical Unit , Canberra : AGPS .
   Google Scholar
• DFAT . 1994b . ASEAN Free Trade Area: Trading Bloc or Building Block? , Canberra : AGPS .
   Google Scholar
• DFAT . 1994c . The APEC Region: Trade and Investment, Australian Supplement , Canberra : AGPS .
   Google Scholar
• Drysdale , P. 1993 . “ The Pacific: an application of a general theory of economic integration ” . In Pacific Dynamism and the International Economic System , Edited by: Bergsien , C. F. and Noland , M. 183 – 223 . Washington, DC : Institute for International Economics . 1993
   Google Scholar
• Enders , W. 1995 . Applied Econometric Time Series , New York : John Wiley & Sons .
   Google Scholar
• Frankel , J. 1994 . “ Is Japan creating a Yen bloc in East Asia and the Pacific ” . In Asia Pacific Regionalism: Reading in international economic relations , Edited by: Garnaut , R. and Drysdale , P. 227 – 249 . Sydney : Harper Educational Publishers .
   Google Scholar
• Garnaut , R. 1990 . Australia and the Northeast Asian Ascendancy , Canberra : AGPS .
   Google Scholar
• Granger , C. W. J. 1981 . Some properties of time series data and their use in econometric model specification . Journal of Econometric , 16 : 121 – 130 .
   Web of Science ®Google Scholar
• Granger , C. W. J. 1988a . Some recent developments in the concept of causality . Journal of Econometrics , 39 : 199 – 211 .
   Web of Science ®Google Scholar
• Granger , C. W. J. 1988b . Causality, cointegration, and control . Journal of Econometric Dynamics and Control , 12 : 551 – 559 .
   Web of Science ®Google Scholar
• Gujarati , D. 1995 . Basic Econometrics , Second Edition , New York : Mc-Graw-Hill .
   Google Scholar
• Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 254 .
   Web of Science ®Google Scholar
• Johansen , S. and Juselius , K. 1990 . Maximum likelihood estimation and inference on cointegration-with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
   Web of Science ®Google Scholar
• Juttner , D. J. 1990 . Financial Markets, Interest Rates and Monetary Economics , second edition , Sydney : Longman Cheshire Pty Ltd .
   Google Scholar
• Learmer , E. 1985 . Vector autoregressions for causal inference . Carnegie Rochester Conference Series on Public Policy , 22 : 255 – 304 .
   Google Scholar
• Lim , G. C. and McNeils , P. D. March 1996 . Stock price fluctuations in Australia: the influence of Japanese and US markets , Research Paper Series, 505 March , Melbourne : Department of Economics, University of Melbourne .
   Google Scholar
• Marin , D. 1992 . Is the export-led hypothesis valid for industrialised countries? . Review of Economics and Statistics , 34 : 678 – 687 .
   Google Scholar
• Nicholl , P. and Brady , P. 1992 . “ The role of the Yen in the Pacific region: New Zealand as a case study ” . In Japanese Financial Markets and the Role of the Yen , Edited by: McKenzie , C. and Stutchburgy , M. 119 – 133 . Sydney : Allen & Unwin .
   Google Scholar
• Ouliaris , S. 1995 . “ An econometric analysis of Asian money markets ” . In Asian Money Markets , Edited by: Cole , D. , Scott , H. and Wellons , P. 433 – 459 . Oxford : Oxford University Press .
   Google Scholar
• Pindyck , R. S. and Rubinfeld , D. L. 1991 . Econometric Models and Economic Forecasts , New York : McGraw-Hill .
   Google Scholar
• Rambaldi , A. N. and Doran , H. E. 1996 . Testing for Granger non-causality in cointegrated systems made easy , Department of Econometrics, The University of New England . Working Papers in Econometrics and Applied Statistics, No. 88
   Google Scholar
• Rao , N. 1995 . “ Intra-Asian trade: trends and prospects ” . In Regional Co-operation and Integration in Asia , Edited by: Fukasaku , K. Paris : OECD .
   Google Scholar
• Royama , Y. 1995 . “ Financial market development in Japan ” . In Asian Money Markets , Edited by: Cole , D. , Scott , H. and Wellons , P. 416 – 432 . Oxford : Oxford University Press .
   Google Scholar
• Suzuki , Y. 1992 . “ Japan's growing role as an international financial centre ” . In Japanese Financial Markets and the Role of the Yen , Edited by: McKenzie , C. and Stutchbury , M. 94 – 106 . Sydney : Allen & Unwin .
   Google Scholar
• Tan , C. 1992 . Financial Markets and Institutions In Singapore , Singapore : National University Press .
   Google Scholar
• Tavlas , G. and Ozeki , Y. 1992 . The internationalisation of currencies: an appraisal of the Japanese Yen . IMF Staff Occasional Papers , 90
   Google Scholar
• Toda , H. Y. 1994 . Finite sample properties of likelihood ratio tests for cointegrating ranks when linear trends are present . Review of Economics and Statistics , 76 : 66 – 79 .
   Web of Science ®Google Scholar
• Toda , H. Y. and Phillips , P. C. B. 1993 . Vector autoregressions and causality . Econometrica , 61 : 1367 – 1393 .
   Web of Science ®Google Scholar
• Toda , H. Y. and Yamamoto , T. 1995 . Statistical inference in vector autoregressons with possibly integrated processes . Journal of Econmetrics , 66 : 225 – 250 .
   Web of Science ®Google Scholar
• The World Bank . 1993 . East Asia Miracle: Economic Growth and Public Policy , London : Oxford University Press .
   Google Scholar
• Zapata , H. O. and Rambaidi , A. N. 1997 . Monte Carlo evidence on cointegration and causation . Oxford Bulletin of Economics and Statistics , 59 : 285 – 298 .
   Web of Science ®Google Scholar