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Financial integration: some evidence from Australia
journal contribution
posted on 2023-05-16, 14:41 authored by Cooray, AVThis 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.
History
Publication title
Applied Economics LettersVolume
10Pagination
959-966ISSN
1350-4851Department/School
TSBEPublisher
RoutledgePlace of publication
LondonRepository Status
- Restricted