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dc.contributor.authorPasricha, Gurnain Kauren_US
dc.date.accessioned2010-03-22en_US
dc.date.accessioned2012-09-28T12:42:04Z-
dc.date.available2012-09-28T12:42:04Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/64546-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherUniv. of California at Santa Cruz, Dep. of Economics Santa Cruz, Calif.en_US
dc.relation.ispartofseriesWorking Papers, UC Santa Cruz Economics Department 641en_US
dc.subject.jelF3en_US
dc.subject.jelG1en_US
dc.subject.ddc330en_US
dc.subject.keywordCovered Interest Parityen_US
dc.subject.keywordThreshold Autoregressionen_US
dc.subject.keywordFinancial Integration Indexen_US
dc.subject.keywordEmerging Marketsen_US
dc.subject.keywordDe-Facto Opennessen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwAufstrebende Märkteen_US
dc.subject.stwMarktintegrationen_US
dc.subject.stwZinsparitäten_US
dc.subject.stwKapitalmobilitäten_US
dc.subject.stwTransaktionskostenen_US
dc.subject.stwSchwellenländeren_US
dc.titleFinancial integration in emerging market economiesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn587692936en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Papers, Economics Department, UC Santa Cruz

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