Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83856
Authors: 
Cheung, Yin-Wong
Chinn, Menzie
Fujii, Eiji
Year of Publication: 
2003
Series/Report no.: 
Working Papers, UC Santa Cruz Economics Department 545
Abstract: 
The status of real and financial integration of China, Hong Kong, and Taiwan is investigated using monthly data on one-month interbank rates, exchange rates, and prices. Specifically, the degree of integration is assessed based on the empirical validity of real interest parity, uncovered interest parity, and relative purchasing power parity. There is evidence these parity conditions tend to hold over longer periods, although they do not hold instantaneously. Overall, the magnitude of deviations from the parity conditions is shrinking over time. In particular, China and Hong Kong appear to have experienced significant increases in integration during the sample period. It is also found that exchange rate variability plays a major role in determining the variability of deviations from these parity conditions.
Subjects: 
uncovered interest parity
real interest parity
purchasing power parity
exchange rates
capital mobility
market integration
Document Type: 
Working Paper

Files in This Item:
File
Size
289.7 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.