This paper analyzes the validity of macroeconomic variables, such as exchange rate uncertainty, macroeconomic instability, and openness, in determining intra-FDI inflows in the ASEAN countries, China, Japan, and Korea. Our empirical results show that openness, exchange rates, exchange rate...

This paper examines the ASEAN+3 cooperation of regional financial safety nets, and reviews the regional monetary issues of a single currency and currency competition in East Asia. We point out potential systemic risks in East Asia and the importance of regional surveillance. ASEAN+3 regional...

This study investigates the well-documented phenomenon of phase transition in financial markets using combined information from both return and volume changes within short time intervals. We suggest a new measure for the phase transition behaviour of markets, calculated as a return distribution...

Commonly used asset pricing models do not successfully account for both time-series and cross-sectional variations of asset returns. In this article, we propose a new method for forming pricing factors that are intended to capture the time-series as well as the cross-sectional variations. The...

This paper introduces a new estimation method for arbitrary temporal heterogeneity in panel data models. The paper provides a semiparametric method for estimating general patterns of cross-sectional specific time trends. The methods proposed in the paper are related to principal component...

This book contends that the East Asian financial constitution lacks an appropriate infrastructure, resulting in inefficient allocation of high savings and an over-inflated short-term debt market. It goes on to point out that despite high savings, East Asia’s dependency on financial...

We consider the bootstrap method for the covariates augmented Dickey-Fuller (CADF) unit root test suggested in Hansen (1995) which uses related variables to improve the power of univariate unit root tests. It is shown that there are substantial power gains from including correlated covariates....

An IV approach, using as instruments non-linear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the...

An IV approach, using as instruments nonlinear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the...

An IV approach, using as instruments nonlinear transformations of the lagged levels, is explored to test for unit roots in panels with general dependency and heterogeneity across cross-sectional units. We allow not only for the cross-sectional dependencies of innovations, but also for the...