Financial integration in emerging market economies

Gurnain Pasricha

MPRA Paper from University Library of Munich, Germany

Abstract: This paper analyzes de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parity in the last 10 years. A price-based measure of de-facto integration provides crucial information for answering policy questions related to impact of capital openness and of effectiveness of controls. 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.

Keywords: Covered Interest Parity; Threshold Autoregression; Financial Integration; Integration Index; Emerging Markets (search for similar items in EconPapers)
JEL-codes: F31 F36 G15 (search for similar items in EconPapers)
Date: 2008-04-10, Revised 2008-04-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/8220/1/MPRA_paper_8220.pdf original version (application/pdf)

Related works:
Working Paper: Financial Integration in Emerging Market Economies (2008)
Working Paper: Financial Integration in Emerging Market Economies (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:8220

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().