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https://hdl.handle.net/10419/64546
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Pasricha, Gurnain Kaur | en |
dc.date.accessioned | 2010-03-22 | - |
dc.date.accessioned | 2012-09-28T12:42:04Z | - |
dc.date.available | 2012-09-28T12:42:04Z | - |
dc.date.issued | 2008 | - |
dc.identifier.uri | http://hdl.handle.net/10419/64546 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of California, Economics Department |cSanta Cruz, CA | en |
dc.relation.ispartofseries | |aWorking Paper |x641 | en |
dc.subject.jel | F3 | en |
dc.subject.jel | G1 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Covered Interest Parity | en |
dc.subject.keyword | Threshold Autoregression | en |
dc.subject.keyword | Financial Integration Index | en |
dc.subject.keyword | Emerging Markets | en |
dc.subject.keyword | De-Facto Openness | en |
dc.subject.stw | Finanzmarkt | en |
dc.subject.stw | Aufstrebende Märkte | en |
dc.subject.stw | Marktintegration | en |
dc.subject.stw | Zinsparität | en |
dc.subject.stw | Kapitalmobilität | en |
dc.subject.stw | Transaktionskosten | en |
dc.subject.stw | Schwellenländer | en |
dc.title | Financial integration in emerging market economies | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 587692936 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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