Pacific Rim Stock Market Integration Under Different Federal Funds Rate Regimes
使用向量自回归技术，考察1993-1994年间美国与四个亚太股市的一体化程度，发现1994年美国盯住联邦基金利率时，美股波动能更好解释香港、新加坡和澳大利亚的股市波动。
This study uses Sims‐type vector autoregression technique to examine the stock markets integration among the US and four major Asian‐Pacific stock exchanges during 1993 and 1994. The two different sample periods capture the change in US monetary policy in 1994. Empirical results show that when the US was targeting the federal funds rate in 1994, the variations in US stock returns much better explain the variations of stock returns in Hong Kong, Singapore and Australia.