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International capital mobility: direct evidence from long-term currency swaps

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  • Helen Popper
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    Abstract

    This paper provides direct measures of the international mobility of long-term financial capital using interest arbitrage conditions previously applied only to short-term assets. Long-term arbitrage conditions are constructed using a now well-developed mechanism for hedging long-term currency positions, the currency swap. Asset returns are compared in the Euromarkets and in the onshore markets of Canada, Japan, Germany, Switzerland, the United Kingdom, and the United States. The evidence, discussed below, indicates that long-term financial capital is as mobile across these markets as is short-term capital. This appears to be the case both within the Euromarkets and across political jurisdictions.

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    File URL: http://www.federalreserve.gov/pubs/ifdp/1990/386/default.htm
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1990/386/ifdp386.pdf
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    Bibliographic Info

    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 386.

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    Date of creation: 1990
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    Handle: RePEc:fip:fedgif:386

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    Related research

    Keywords: Capital ; International economic relations ; Swaps (Finance);

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    Cited by:
    1. 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.
    2. 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.
    3. Aleksander Aristovnik, 2005. "Twin Deficits Hypothesis And Horioka-Feldstein Puzzle In Transition Economies," International Finance 0510020, EconWPA.
    4. Daniel Levy, 2004. "Is the Feldstein-Horioka Puzzle Really a Puzzle?," International Finance 0402002, EconWPA, revised 12 May 2005.
    5. Adrian W. Throop, 1994. "International financial market integration and linkages of national interest rates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-18.

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