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dc.contributor.authorPasricha, Gurnain Kauren
dc.date.accessioned2010-03-22-
dc.date.accessioned2012-09-28T12:42:04Z-
dc.date.available2012-09-28T12:42:04Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aUniversity of California, Economics Department |cSanta Cruz, CAen
dc.relation.ispartofseries|aWorking Paper |x641en
dc.subject.jelF3en
dc.subject.jelG1en
dc.subject.ddc330en
dc.subject.keywordCovered Interest Parityen
dc.subject.keywordThreshold Autoregressionen
dc.subject.keywordFinancial Integration Indexen
dc.subject.keywordEmerging Marketsen
dc.subject.keywordDe-Facto Opennessen
dc.subject.stwFinanzmarkten
dc.subject.stwAufstrebende Märkteen
dc.subject.stwMarktintegrationen
dc.subject.stwZinsparitäten
dc.subject.stwKapitalmobilitäten
dc.subject.stwTransaktionskostenen
dc.subject.stwSchwellenländeren
dc.titleFinancial integration in emerging market economies-
dc.typeWorking Paperen
dc.identifier.ppn587692936en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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