This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

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

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Helen Popper
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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.federalreserve.gov/pubs/ifdp/1990/386/default.htm
File Format: text/html
File Function:
Download Restriction: no
File URL: http://www.federalreserve.gov/pubs/ifdp/1990/386/ifdp386.pdf
File Format: application/pdf
File Function:
Download Restriction: no

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

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 1990
Date of revision:
Handle: RePEc:fip:fedgif:386

Contact details of provider:
Postal: 20th Street and Constitution Avenue, NW, Washington, DC 20551
Web page: http://www.federalreserve.gov/
More information through EDIRC

Order Information:
Web: http://www.federalreserve.gov/pubs/ifdp/order.htm

For technical questions regarding this item, or to correct its listing, contact: (Diane Rosenberger).

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

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. 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. [Downloadable!]
    Other versions:
  2. Aleksander Aristovnik, 2005. "Twin Deficits Hypothesis And Horioka-Feldstein Puzzle In Transition Economies," International Finance 0510020, EconWPA. [Downloadable!]
  3. Daniel Levy, 2004. "Is the Feldstein-Horioka Puzzle Really a Puzzle?," International Finance 0402002, EconWPA, revised 12 May 2005. [Downloadable!]
  4. 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. [Downloadable!]
Statistics
Access and download statistics

Did you know? Over 1000 institutions contribute their bibliographic data directly to this service.

This page was last updated on 2009-12-31.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.