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Taux d’intérêt et marchés boursiers : une analyse empirique de l’intégration financière internationale

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  • vladimir Borgy
  • Valérie Mignon

Abstract

[eng] The authors study the dynamics of financial integration between the United States and the euro zone. We focus on price-based indicators and two types of variables : short-and long-term interest rates and stock prices. Our results show the long-term validity of uncovered interest parity for nominal short-term rates. They also indicate a growing interdependence between stock markets. Our findings corroborate the trend toward closer financial integration between the U.S. and the euro zone. [fre] L’objet de ce papier consiste en l’étude empirique de la dynamique de l’intégration financière entre les États-Unis et la zone euro. Nous nous centrons sur les indicateurs basés sur les prix et analysons le comportement de deux types de variables : les taux d'intérêt à court et long termes et les prix des actifs. Nos résultats montrent que la parité non couverte des taux d’intérêt nominaux tend à être validée et que l’interdépendance entre les marchés boursiers est grandissante. Ces résultats vont dans le sens d'une tendance croissante à l’intégration financière entre États-Unis et zone euro.

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Paper provided by CEPII research center in its series Working Papers with number 2006-25.

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Date of creation: Dec 2006
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Handle: RePEc:cii:cepidt:2006-25

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  1. Juan Ayuso & Roberto Blanco, 1999. "Has Financial Market Integration Increased during the Nineties?," Banco de Espa�a Working Papers, Banco de Espa�a 9923, Banco de Espa�a.
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  13. Juan Ayuso & Roberto Blanco, 1999. "Has Financial Market Integration Increased during the Nineties?," Banco de Espa�a Working Papers, Banco de Espa�a 9923, Banco de Espa�a.
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Cited by:
  1. Boubakri, Salem & Guillaumin, Cyriac, 2011. "Financial integration and currency risk premium in CEECs: Evidence from the ICAPM," Emerging Markets Review, Elsevier, Elsevier, vol. 12(4), pages 460-484.
  2. Jérôme Sgard, 2006. "On Legal Origins and Brankruptcy Laws: the European Experience (1808-1914)," Sciences Po publications 2006-26, Sciences Po.
  3. Jean-Baptiste Gossé & Cyriac Guillaumin, 2011. "The impact of external shocks on the eurozone: a structural VAR model," CEPN Working Papers, HAL hal-00610024, HAL.
  4. Jean-Baptiste Gossé & Cyriac Guillaumin, 2010. "L'impact des chocs externes sur et dans la zone euro : un modèle VAR structurel," CEPN Working Papers, HAL hal-00493384, HAL.

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