 | The dynamics of Asian financial integration: facts and analytics / ed. by M.B.Devereux, P.R.Lane, C. - Y.Park, S.-J.Wei. - London; New York: Routledge, 2011. - xxv, 316 p.: ill. - (Routledge studies in the modern world economy; 87). - Ind.: p.311-316. - ISBN 978-0-415-59551-3; ISBN 978-0-203-83405-3
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List of tables ............................................... xiii
List of figures ................................................ xv
Abbreviations and acronyms .................................. xviii
List of contributors ........................................... xx
Acknowledgments .............................................. xxii
Foreword ..................................................... xxiv
Executive summary and overview .................................. 1
MICHAEL B. DEVEREUX, PHILIP R. LANE, CYN-YOUNG PARK, AND
SHANG-JIN WEI
Why is financial integration an important topic for Asia? .... 1
What do we try to achieve with this book? .................... 7
What is the key content? ..................................... 9
References .................................................. 17
1 Regional and global financial integration: an analytical
framework ................................................... 19
PHILIPPE MARTIN
1.1 A simple model of global and regionalfinancial
integration ............................................ 22
1.2 Global financial integration ........................... 27
1.3 Regional financial integration ......................... 28
1.4 Empirical implications: the case of the euro and some
preliminary results for Asia ........................... 30
1.5 Financial market geography andfinancial integration .... 37
1.6 Regional and global financial integration and
financial crises ....................................... 40
1.7 Conclusion and implications for Asian countries ........ 46
Appendix: Economies included in the data on world
asset holdings ......................................... 47
References ............................................. 49
2 International capital mobility of East Asian economies: is
domestic investment financed by regional or global
saving? ..................................................... 52
SOYOUNG KIM. SUNGHYUN H. KIM, AND CYN-YOUNG PARK
2.1 Financial integration and capital flows in East Asia ... 54
2.2 Empirical method ....................................... 56
2.3 Empirical results ...................................... 59
2.4 Conclusion ............................................. 73
References ............................................. 75
3 The evolution of regional and global risk-sharing in East
Asian economies ............................................. 77
PIERFEDERICO ASDRUBALI AND SOYOUNG KIM
3.1 The risk-sharing literature ............................ 78
3.2 The empirical method ................................... 80
3.3 Results ................................................ 84
3.4 Conclusions ............................................ 89
References.............................................. 91
4 Regional and global drivers of the portfolio holdings of
Asian investors ............................................. 93
PHILIP R. LANE
4.1 Conceptual framework ................................... 95
4.2 Portfolio data ......................................... 96
4.3 Stylized facts ......................................... 97
4.4 Empirical setup ........................................ 97
4.5 Conclusions ........................................... 107
References ............................................ 108
5 Regional and global short-term financial market
integration in Asia: evidence from the interbank markets
under the crises ........................................... 110
SHIN-ICHI FUKUDA
5.1 The interbank offered rates ........................... 112
5.2 Integration between LIBOR and TIBOR ................... 115
5.3 Integration between London and Singapore .............. 119
5.4 Integration between HIBOR and LIBOR ................... 123
5.5 Integration of Malaysia's rates with LIBOR ............ 126
5.6 Integration of BIBOR with LIBOR ....................... 131
5.7 Concluding remarks .................................... 132
References ............................................ 134
6 Stock market integration and financial contagion ........... 135
KEE-HONG BAE
6.1 Measuring stock market integration .................... 137
6.2 Stock market integration andfinancial contagion ....... 157
6.3 Summary and conclusions ............................... 171
References ............................................ 172
7 Stock market integration: emerging East Asia's
experience ................................................. 174
MARTHE HINOJALES AND CYN-YOUNG PARK
7.1 Survey of the literature on emerging East Asian
financial integration ................................. 176
7.2 Empirical analysis .................................... 178
7.3 Conclusions and policy implications ................... 198
Appendix: Details of factor analysis .................. 199
References ............................................ 202
8 Global and regional financial accelerator integration ...... 204
WOON GYU CHOI AND DAVID COOK
8.1 The model ............................................. 206
8.2 Calibration ........................................... 215
8.3 Domestic shocks ....................................... 216
8.4 Foreign shocks ........................................ 218
8.5 Monetary policy ....................................... 221
8.6 Conclusion ............................................ 224
Appendix: Multilocation entrepreneurs ................. 225
References ............................................ 226
9 Financial contagion and vulnerability of Asian financial
markets .................................................... 229
MICHAEL B. DEVEREUX AND JAMES YETMAN
9.1 Empirical evidence on financial linkages and
leverage constraints .................................. 233
9.2 A model of leverage constraints and portfolio
interdependence ....................................... 239
9.3 Effects of productivity shocks ........................ 248
9.4 Conclusions ........................................... 256
References ............................................ 257
10 Not all financial integration is created equal: the
composition matters ........................................ 259
SHANG-JIN WEI
10.1 Not all capital flows are created equal: a look at
the relative volatility ............................... 262
10.2 Evidence on the composition effect during the global
financial crisis ...................................... 268
10.3 Corruption versus financial development: which
matters for the composition of capital flows and
how? .................................................. 273
10.4 Conclusion ............................................ 280
References ............................................ 280
11 What happened to the East Asian business cycle? ............ 284
JEAN IMBS
11.1 Measurement strategy .................................. 286
11.2 What happened to the international business cycle? .... 290
11.3 What happened to trade and financial linkages? ........ 301
11.4 Conclusion ............................................ 308
References ................................................. 309
Index ......................................................... 311
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