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International interest rate convergence: a survey of the issues and evidence

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  • Charles Pigott
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    Abstract

    World financial markets have become substantially integrated over the last two decades. Contrary to widespread expectations, however, this integration has not led to any greater convergence of interest rates across countries. This article examines why convergence has not occurred and more generally what financial integration does—and does not—mean for international interest rate relations.

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    File URL: http://www.newyorkfed.org/research/quarterly_review/1993v18/v18n4article2.pdf
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    Bibliographic Info

    Article provided by Federal Reserve Bank of New York in its journal Quarterly Review.

    Volume (Year): (1993)
    Issue (Month): Win ()
    Pages: 24-37

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    Handle: RePEc:fip:fednqr:y:1993:i:win:p:24-37:n:v.18no.4

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    Keywords: Interest rates ; International finance;

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    Cited by:
    1. Eijffinger, S.C.W. & Lemmen, J.J.G., 1994. "The catching up of European money markets: The degree vs. the speed of integration," Discussion Paper 1994-66, Tilburg University, Center for Economic Research.
    2. Berk, Jan Marc & Knot, Klaas H. W., 2001. "Testing for long horizon UIP using PPP-based exchange rate expectations," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 377-391, February.
    3. J.M. Berk & K.H.W. Knot, 1999. "Co-Movements in Long-Term Interest Rates and the Role of PPP-BasedExchange Rate Expectations," DNB Staff Reports (discontinued) 37, Netherlands Central Bank.
    4. Bouveret, Antoine, 2010. "Politiques économiques, dynamique et équilibre de long terme du taux de change," Open Access publications from Sciences Po info:hdl:2441/53r60a8s3ku, Sciences Po.
    5. Antoine Bouveret & Bruno Ducoudré, 2007. "On the contingency of equilibrium exchange rates with time- consistent economic policies," Documents de Travail de l'OFCE 2007-08, Observatoire Francais des Conjonctures Economiques (OFCE).
    6. Kazemi, Hossein B. & Warotamasikkhadit, Dolly & Nageswaran, V. Anantha, 1997. "International convergence of short-term and long-term interest rates: Theory and empirical tests," Global Finance Journal, Elsevier, vol. 8(2), pages 239-256.
    7. Fujihara, Roger A. & Mougoue, Mbodja, 1996. "International linkages between short-term real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(4), pages 451-473.

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