GARCH-M모형에 의한 ASEAN+3 국가의 화폐통합에 관한 실증분석

An Empirical Analysis on the Monetary Integration of ASEAN+3 Countries Implemented by GARCH-M Model

The paper is basically designed to investigate Asian monetary integration for ASEAN + 3 countries based on the five criteria which were applied to the European monetary integration. The five criteria are exchange rates, long-term interest rates, inflation, budget deficit, and government budget. A framework by rational expectation provides theoretical background, and GARCH-M model is utilized in performing empirical analysis. Empirical evidence reveals that exchange rates, inflation, and budget deficit are tentatively symmetric, and government budget is a weakly symmetric in these countries. Whereas, interest rates is tended to be independent. As far as countries concern, Korea, Singapore, and Thailand are selected as a symmetric among these countries. And, semi-symmetry is shown in Japan, Malaysia, and Philippines. Whereas, independence prevails in China and Indonesia. To this end, it would be concluded that financial infrastructures in Asian countries have to be build up prior to monetary integration in Asia. And, it also has to be mentioned that not only foreign exchange market, but also financial market in Japan seems to be necessarily re-structured to be a leading country in Asian monetary integration.