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Financial integration in emerging market economies

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  • Pasricha, Gurnain

Abstract

This paper analyzes de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parity in the last 10 years. A price-based measure of de-facto integration provides crucial information for answering policy questions related to impact of capital openness and of effectiveness of controls. An Asymmetric Self Exciting Threshold Autoregressive model is used to estimate bands of speculative inaction. The estimated bands follow the pattern expected, and reveal a rational market in the sense that deviations from parity are self correcting. The paper uses information from the estimated models to construct a new index of de-facto integration.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 8220.

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Date of creation: 10 Apr 2008
Date of revision: 10 Apr 2008
Handle: RePEc:pra:mprapa:8220

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Keywords: Covered Interest Parity; Threshold Autoregression; Financial Integration; Integration Index; Emerging Markets;

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References

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Citations

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Cited by:
  1. Pasricha, Gurnain Kaur, 2008. "Imperfect Competition in Financial Markets and Capital Controls: A Model and a Test," MPRA Paper 12125, University Library of Munich, Germany.
  2. Pasricha, Gurnain, 2009. "Bank Competition and International Financial Integration: Evidence using a new Index," MPRA Paper 16767, University Library of Munich, Germany.
  3. Hutchison, Michael & Kendall, Jake & Pasricha, Gurnain & Singh, Nirvikar, 2009. "Indian capital control liberalization: Evidence from NDF markets," Working Papers, National Institute of Public Finance and Policy 09/60, National Institute of Public Finance and Policy.
  4. Olesia Kozlova, 2013. "Forward-Rate Bias, Imperfect Knowledge, and Risk: Evidence from Developed and Developing Countries," 2013 Papers, Job Market Papers pko627, Job Market Papers.
  5. Michael M Hutchison & Gurnain Kaur Pasricha & Nirvikar Singh, 2012. "Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market," IMF Economic Review, Palgrave Macmillan, Palgrave Macmillan, vol. 60(3), pages 395-438, September.
  6. A. Prasad & Charles Frederick Kramer & Hélène Poirson, 2008. "Challenges to Monetary Policy From Financial Globalization," IMF Working Papers 08/131, International Monetary Fund.

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