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Financial integration: some evidence from Australia


Cooray, AV, Financial integration: some evidence from Australia, Applied Economics Letters, 10 pp. 959-966. ISSN 1350-4851 (2003) [Refereed Article]

DOI: doi:10.1080/1350485032000164396


This paper seeks to examine the efficiency of the Australian foreign exchange market by using the methods of seemingly unrelated regressions (SUR) and spectral analysis. Uncovered interest rate differentials for five countries, namely the U.S., U.K., Japan, Malaysia and Singapore, are examined with Australia as the 'home' country. The data covers the post-float period, 1984.1-2000.12. The empirical results indicate that the restrictions of the hypothesis of uncovered interest parity are rejected. The spectral densities for the interest rate differentials suggest the absence of systematic cyclical fluctuations.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied economics
Research Field:International economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary policy
UTAS Author:Cooray, AV (Dr Arusha Cooray)
ID Code:28391
Year Published:2003
Web of Science® Times Cited:1
Deposited By:Economics and Finance
Deposited On:2003-08-01
Last Modified:2004-03-24

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