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International Capital Mobility in Emerging Markets: New Evidence from Daily Data

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  • Michael Kumhof

Abstract

August 2000 This paper analyzes daily covered interbank interest differentials for three emerging markets before and after the 1997/8 financial crises, and compares them to those of four developed economies. It examines descriptive statistics of covered differentials and the long-run equilibrium (cointegrating) relationship between their interest rate and forward discount components, Mean differentials and their volatility were moderate before crises, but increased dramatically during crises. The main reasons are temporarily effective capital controls, large bank default risk premia, and capital market imperfections. The evidence for a cointegrating vector consistent with covered interest parity is strong, implying that despite large short term deviations covered interest parity does hold as an equilibrium relationship. Keywords: intellectual property rights, copyright, sui generis protection of expressive material, economics of information-goods, open science, "fair use," scientific databases. JEL Classification: H4, K39, O31, O34 -->

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Bibliographic Info

Paper provided by Stanford University, Department of Economics in its series Working Papers with number 00021.

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Date of creation: Aug 2000
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Handle: RePEc:wop:stanec:00021

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Keywords: intellectual property rights; copyright; sui generis protection of expressive material; economics of information-goods; open science;

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Cited by:
  1. Cheung, Yin-Wong & Chinn, Menzie & Fujii, Eiji, 2003. "China, Hong Kong, and Taiwan: A Quantitative Assessment of Real and Financial Integration," Santa Cruz Department of Economics, Working Paper Series qt01g0h0q2, Department of Economics, UC Santa Cruz.
  2. Sergio L. Schmukler & Luis Serven, 2002. "Pricing Currency Risk: Facts and Puzzles from Currency Boards," NBER Working Papers 9047, National Bureau of Economic Research, Inc.
  3. Juan Sole, 2004. "Interest Rate Defenses of Currency Pegs," IMF Working Papers 04/85, International Monetary Fund.
  4. Kevin X.D. Huang & Thaneepanichskul Suchada, 2003. "Sources of Exchange Rate Fluctuations: The Cases of Mexico and Thailand in the Aftermaths of their Recent Currency Crises," Annals of Economics and Finance, Society for AEF, vol. 4(2), pages 375-400, November.
  5. Tang, Kin-Boon, 2011. "The precise form of uncovered interest parity: A heterogeneous panel application in ASEAN-5 countries," Economic Modelling, Elsevier, vol. 28(1-2), pages 568-573, January.
  6. Orlov, Alexei G., 2006. "Capital controls and stock market volatility in frequency domain," Economics Letters, Elsevier, vol. 91(2), pages 222-228, May.
  7. Doukas, John A. & Zhang, Hao, 2013. "The performance of NDF carry trades," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 172-190.

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