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Has International Financial Integration Increased?

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Author Info

  • Lawrence G. Goldberg
  • James R. Lothian
  • John Okunev

Abstract

This paper compares the behavior of real interest rate differentials across the major countries under the Bretton Woods Regime and the regime of floating exchanges that replaced it. The primary object is to investigate both the extent of market integration and how it may have changed through time. For all fifteen possible country pairs real interest differentials are mean reverting, and in two-thirds of these cases indistinguishable from zero statistically. Additional evidence points to a narrowing of differentials under floating rates over time and an increase in speeds of convergence.

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Bibliographic Info

Paper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number 98-040.

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Date of creation: Sep 1997
Date of revision:
Handle: RePEc:fth:nystfi:98-040

Contact details of provider:
Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126
Phone: (212) 998-0100
Web page: http://w4.stern.nyu.edu/finance/
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