Real interest rate equalization and the integration of international financial markets

Goodwin, Barry K.; Grennes, Thomas

doi:10.1016/0261-5606(94)90027-2

Cited by 110 publications

(88 citation statements)

References 32 publications

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“…See Bordo (2000), Goldberg, Lothian and Okunev (2001) and Goodwin and Grennes (1993), Jackson and Lothian (1993), Johnson (1992) Lothian (2000) and Obstfeld and Taylor (2002) for various empirical approaches to the questions of financial integration and real-interest equalization. 12 For this equation to hold, rates of inflation and the rate of change of the exchange rate have to be defined in terms of logarithmic derivatives; for discrete data it will only hold as a first approximation.…”

Section: Empirical Measures Of Financial Integrationmentioning

confidence: 99%

The internationalization of money and finance and the globalization of financial markets

Lothian

2002

Journal of International Money and Finance

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Abstract:In this paper I combine long multi-country time series data for interest rates and stock returns with the institutional evidence for much earlier centuries amassed by economic historians to study the question of financial globalization and how it has altered since the late classical era. At their longest, for Dutch and English short-term interest rates, the quantitative data that I use extend back slightly more than three centuries. The institutional history provides information on an additional millennium's worth of experience. The conclusion that I reach is that the internationalization of money and finance and the globalization of financial markets are not new phenomena. They are part of an evolutionary process that began much earlier and that has continued, albeit with periodic interruptions and reversals, for many centuries. What we see today is simply the latest and most advanced manifestation of this process. JEL: F30, N20, F33, G15, 1

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Section: Empirical Measures Of Financial Integrationmentioning

confidence: 99%

The internationalization of money and finance and the globalization of financial markets

Lothian

2002

Journal of International Money and Finance

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“…Frenkel 1976, Frankel 1979, Mussa 1982 its validity is also important for our understanding of exchange rate movements and the authorities' ability to manage them. 2 See Evans et al (1994), Goodwin and Grennes (1994), Chinn and Frankel (1995), Frankel and Okongwu (1995), Jorion (1996), Moosa and Bhatti (1996), Alexakis et al (1997), Awad and Goodwin (1998). Phylaktis (1999) and Fujii and Chinn (2000).…”

Section: Introductionmentioning

confidence: 99%

Do real interest rates converge? Evidence from the European union

Arghyrou

Gregoriou

Kontonikas

2009

Journal of International Financial Markets, Institutions and Mo

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Andros GregoriouBrunel Business School Alexandros Kontonikas University of Glasgow, Department of Economics AbstractWe test for real interest parity (RIP) in the EU25 area. Our contribution is two-fold: First, we account for the previously overlooked effects of structural breaks on real interest rate differentials. Second, we test for RIP against the EMU average. For the majority of our sample countries we obtain evidence of real interest rate convergence towards the latter. Convergence, however, is a gradual process subject to structural breaks, typically falling close to the launch of the euro. Our findings have important implications relating to the single monetary policy and the progress new EU members have achieved towards joining the euro.

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“…Early attempts in studies such as Mishkin (1984) and Cumby and Mishkin (1986) use OLS regressions and find evidence against a long-run relationship. In later studies, the methodology for investigating RIP has included unit root testing [Meese and Rogoff (1988), Edison and Pauls (1993), among others] and cointegration testing with the allied concept of error correction modelling [Goodwin and Grennes, (1994), Moosa and Bhatti (1996), among others]. In the majority of cases, these studies find evidence against RIP.…”

Section: Theoretical Background and Literature Reviewmentioning

confidence: 99%

Are Real Interest Rates of EU Accession Countries Characterized by Non-Linear Convergence?

Holmes

Wang²

2009

RAE

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In this study, we concurrently test for nonlinearity (threshold) effects and non-stationarity (unit roots) in real interest rate differentials. Using data for the ten accession countries that joined the EU in 2004, we find evidence of strong nonlinear effects. Long-run real interest rate parity has held for some of the sample, but subject to two different stationary regimes. Other countries are characterized with partial unit root behaviour insofar as differentials switch between alternative regimes of stationary and non-stationary behaviour.

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Real interest rate equalization and the integration of international financial markets

Cited by 110 publications

References 32 publications

The internationalization of money and finance and the globalization of financial markets

The internationalization of money and finance and the globalization of financial markets

Do real interest rates converge? Evidence from the European union

Are Real Interest Rates of EU Accession Countries Characterized by Non-Linear Convergence?

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