Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64546
Authors: 
Pasricha, Gurnain Kaur
Year of Publication: 
2008
Series/Report no.: 
Working Papers, UC Santa Cruz Economics Department 641
Abstract: 
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.
Subjects: 
Covered Interest Parity
Threshold Autoregression
Financial Integration Index
Emerging Markets
De-Facto Openness
JEL: 
F3
G1
Document Type: 
Working Paper

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