http://tinyurl.com/aeaz2vo
Abstract
1. This paper examines the degree of
capital mobility in four South Asian economies, namely, India, Sri Lanka,
Pakistan and Bangladesh.
2. The
paper extends the Shibata and Shintani (1988) model to incorporate
the interest rate differential.
Data
1. All
data are annual and taken from the International Financial Statistics.
2. The sample period for India,
Sri Lanka and Pakistan (1970 - 2000) and for Bangladesh (1974 -2000).
3. The
money market rates are used for all four countries.
4. —The US
Federal funds rate is used to reflect the world rate of interest.
Methodology
1. ADF unit root
2. Phillip test
3. OLS and —Instrumental variable —(IV)
techniques.
Conclusion
1.
The result indicate that capital mobility is relatively
immobile in South Asia.
2.
The interest rate differential is not associated with the
growth rate of consumption.
3.
The evidence suggests that these countries are still able
to pursue an independent monetary policy. Given the recent financial
liberalization measures however, it is unlikely that this conclusion will hold
for the future.
Difficultly
1. —All of the data was selected before
1980, I’m not sure I can find the same period of data from Taiwan.
2. —I can’t fully understand
Instrumental variable (IV) techniques, I think maybe I should keep
digging.
Other Useful
Resources
1.
楊奕農，《時間序列分析：經濟與財務上之應用》，雙葉書廊有限公司，台北，2009年8月 二版
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