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Article: Long memory in the interest rates in some Asian countries.
- Article from:
- International Advances in Economic Research
- Article date:
- November 1, 2003
- Author:
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Abstract
In this paper, the stochastic behavior of short run interest rates in some Asian development countries is examined by means of using fractionally integrated semiparametric techniques. In doing so, a much richer flexibility is allowed in the dynamic behavior of the series not achieved by the classical representations based on I(0) or I(1) processes. The author uses a quasi-maximum likelihood estimation procedure of Robinson [QMLE, 1995a], which has some advantages with respect to other methods. The results show that the orders of integration of the short run interest rates in Singapore and Thailand are strictly below 1, implying mean reversion. On the ...