Financial Integration in Emerging Market Economies
Copyright policy )Financial Integration in Emerging Market Economies
This paper analyzes de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parity in the last decade. An Asymmetric Self Exciting Threshold Autoregressive model is used to estimate bands of speculative inaction. The estimated bands follow the pattern expected, and reveal a rational market in the sense that deviations from parity are self correcting. The paper uses information from the estimated models to construct a new index of de-facto integration. Such a price-based measure of integration is crucial to studies of effectiveness of controls and of impact of capital openness on macroeconomic variables.
- University of California System United States
- University of California, San Francisco United States
- Ludwig-Maximilians-Universität München Germany
- University of California, Santa Cruz United States
threshold autoregression, Kapitalmobilität, G15 - International Financial Markets, Aufstrebende Märkte, Covered Interest Parity, Threshold Autoregression, Financial Integration Index, Emerging Markets, De-Facto Openness, covered interest parity, F30 - General, Covered Interest Parity; Financial Integration; Integration Index; TAR, G1, Marktintegration, de-facto openness, Zinsparität, Financial Integration Index, financial integration index, Finanzmarkt, emerging markets, De-Facto Openness, ddc:330, F3 - International Finance, Covered Interest Parity, Threshold Autoregression, Schwellenländer, F36 - Financial Aspects of Economic Integration, Transaktionskosten, F3, F31 - Foreign Exchange, Covered Interest Parity, Threshold Autoregression, Financial Integration, Integration Index, Emerging Markets, Emerging Markets, jel: jel:F31, jel: jel:F30, jel: jel:F36, jel: jel:G15, jel: jel:F3
threshold autoregression, Kapitalmobilität, G15 - International Financial Markets, Aufstrebende Märkte, Covered Interest Parity, Threshold Autoregression, Financial Integration Index, Emerging Markets, De-Facto Openness, covered interest parity, F30 - General, Covered Interest Parity; Financial Integration; Integration Index; TAR, G1, Marktintegration, de-facto openness, Zinsparität, Financial Integration Index, financial integration index, Finanzmarkt, emerging markets, De-Facto Openness, ddc:330, F3 - International Finance, Covered Interest Parity, Threshold Autoregression, Schwellenländer, F36 - Financial Aspects of Economic Integration, Transaktionskosten, F3, F31 - Foreign Exchange, Covered Interest Parity, Threshold Autoregression, Financial Integration, Integration Index, Emerging Markets, Emerging Markets, jel: jel:F31, jel: jel:F30, jel: jel:F36, jel: jel:G15, jel: jel:F3
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