Measuring regional market integration by dynamic factor error correction model (DF-ECM) approach: The case of developing Asia

Arbeitspapier

This paper examines empirically the dynamic process of regional market integration for twelve individual Asian economies by a new modeling approach, which combines DF with ECM. This new approach enables us to obtain latent regional dynamic factors, which correspond well with the 'foreign' parity variables in theory when 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 of the past decade.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 565

Classification and Topics

• Classification: Wirtschaft ; Foreign Exchange ; Macroeconomic Aspects of International Trade and Finance: General ; Economic Integration ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Subject: Law of one price, Market integration, Dynamic factor, Error-correction model

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Qin, Duo ; Cagas, Marie Anne ; Ducanes, Geoffrey ; Magtibay-Ramos, Nedelyn ; Quising, Pilipinas F.
• Event: Veröffentlichung
• (who): Queen Mary University of London, Department of Economics
• (where): London
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/62818
• Last update: 10.03.2025, 11:44 AM CET