Is China integrated with her major trading partners: Evidence on financial and real integration

Mehmet Huseyin Bilgin, Chi Keung Lau, Manuela Tvaronavičiene

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old‐fashioned panel unit root tests making it possible for researchers testing individual series for a unit root while taking contemporaneous cross‐sectional dependence and structural break into account. The proposed test was used to investigate the status of financial and real integration of China, Japan, UK, the European Union, and the United States based on the empirical validity of real interest parity, uncovered interest parity, and relative purchasing power parity. We found strong evidence in favor of those parity conditions and hence concluded that financial and real integration between China and the other four countries was well established using the new developed panel unit root test while the traditional tests (either univariate or panel) fail to do so.
LanguageEnglish
Pages173-187
Number of pages15
JournalTechnological and Economic Development of Economy
Volume16
Issue number2
DOIs
Publication statusPublished - 2010
Externally publishedYes

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Integrated
China
Panel unit root tests
Testing
Japan
Parity
Cross-sectional dependence
Structural breaks
Uncovered interest parity
Unit root
Real interest parity
Purchasing power parity
European Union

Cite this

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Is China integrated with her major trading partners : Evidence on financial and real integration. / Bilgin, Mehmet Huseyin; Lau, Chi Keung; Tvaronavičiene , Manuela .

In: Technological and Economic Development of Economy, Vol. 16, No. 2, 2010, p. 173-187.

Research output: Contribution to journalArticle

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