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• Michael Kumhof

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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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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Related research

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

Other versions of this item:

• Article
  • Kumhof, Michael, 2001. "International Capital Mobility in Emerging Markets: New Evidence from Daily Data," Review of International Economics, Blackwell Publishing, vol. 9(4), pages 626-40, November. [Downloadable!] (restricted)

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