Has International Financial Integration Increased?

Lawrence G. Goldberg, James Lothian and John Okunev

New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business-

Abstract: This paper compares the behavior of real interest rate differentials across the major countries under the Bretton Woods Regime and the regime of floating exchanges that replaced it. The primary object is to investigate both the extent of market integration and how it may have changed through time. For all fifteen possible country pairs real interest differentials are mean reverting, and in two-thirds of these cases indistinguishable from zero statistically. Additional evidence points to a narrowing of differentials under floating rates over time and an increase in speeds of convergence.

Date: 1997-09
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Journal Article: Has International Financial Integration Increased? (2003)
Working Paper: Has International Financial Integration Increased? (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:nystfi:98-040

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