Four essays on monetary and financial integration in Asia.

Summary In this thesis, we propose four original contributions to the study of the monetary and financial integration of Asian countries.In the first chapter we determine the relative sensitivity of Asian currencies (ASEAN-5, South Korea) to simulated shocks on the dollar, the euro and the ACU. We highlight the willingness of these countries to move away from an exclusively dollar-centered exchange rate policy towards a more flexible policy, where the weight of the ACU seems to have gained in importance.The second chapter focuses on the synchronization between the ASEAN-5 business cycles. We show that the correlation between the cycles is stronger during contractions but that the adjustment dynamics are country-specific. Moreover, some ASEAN-5 business cycles contain information relevant for predicting regime shifts in other countries.The third chapter examines the co-movement between ASEAN-5 real exchange rates from the perspective of generalized purchasing power parity (Enders and Hurns, 1994, 1997). We show that real exchange rates are linked by a long memory process, which supports the idea of further monetary integration between different subgroups of countries. Finally in the last chapter, we examine the degree of stock market integration in Asia (ASEAN-5, Hong Kong, Japan). Our results show that the volatility of international stock markets share a common stochastic pattern. On the other hand, emerging markets still appear to be segmented at both the global and regional levels.