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International interest rate convergence: a survey of the issues and evidence

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  • Charles Pigott

Abstract

World financial markets have become substantially integrated over the last two decades. Contrary to widespread expectations, however, this integration has not led to any greater convergence of interest rates across countries. This article examines why convergence has not occurred and more generally what financial integration doesand does notmean for international interest rate relations.

Suggested Citation

  • Charles Pigott, 1993. "International interest rate convergence: a survey of the issues and evidence," Quarterly Review, Federal Reserve Bank of New York, vol. 18(Win), pages 24-37.
    • Handle: RePEc:fip:fednqr:y:1993:i:win:p:24-37:n:v.18no.4
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    References listed on IDEAS

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    1. Richard M. Levich & Lee R. Thomas, 1993. "Internationally Diversified Bond Portfolios: The Merits of Active Currency Risk Management," NBER Working Papers 4340, National Bureau of Economic Research, Inc.
    2. Sweeney, Richard J, 1986. "Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-182, March.
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    1. repec:spo:wpecon:info:hdl:2441/6125 is not listed on IDEAS
    2. repec:spo:wpmain:info:hdl:2441/6125 is not listed on IDEAS
    3. H. Van Gemert & N. Gruijters, 1994. "Patterns of financial change in the OECD area," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 47(190), pages 271-294.
    4. repec:hal:spmain:info:hdl:2441/5221 is not listed on IDEAS
    5. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2014. "Testing for a break in the persistence in yield spreads of EMU government bonds," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 109-118.
    6. Antoine Bouveret & Bruno Ducoudre, 2007. "On the Contingency of Equilibrium Exchange Rates with Time - Consistent Economic Policies," Working Papers hal-01066080, HAL.
    7. Khalid Kisswani & Salah Nusair, 2014. "Nonlinear convergence in Asian interest and inflation rates: evidence from Asian countries," Economic Change and Restructuring, Springer, vol. 47(3), pages 155-186, August.
    8. Antoine Bouveret, 2010. "Economic policies, long run equilibrium and exchange rate dynamics [Politiques économiques, dynamique et équilibre de long terme du taux de change]," SciencePo Working papers Main tel-04097866, HAL.
    9. repec:spo:wpecon:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    10. repec:hal:spmain:info:hdl:2441/6125 is not listed on IDEAS
    11. repec:hal:wpspec:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    12. Kazemi, Hossein B. & Warotamasikkhadit, Dolly & Nageswaran, V. Anantha, 1997. "International convergence of short-term and long-term interest rates: Theory and empirical tests," Global Finance Journal, Elsevier, vol. 8(2), pages 239-256.
    13. Berk, Jan Marc & Knot, Klaas H. W., 2001. "Testing for long horizon UIP using PPP-based exchange rate expectations," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 377-391, February.
    14. repec:spo:wpmain:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    15. repec:hal:wpspec:info:hdl:2441/6125 is not listed on IDEAS
    16. Fujihara, Roger A. & Mougoue, Mbodja, 1996. "International linkages between short-term real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(4), pages 451-473.
    17. repec:spo:wpmain:info:hdl:2441/5221 is not listed on IDEAS
    18. repec:hal:spmain:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
    19. H. Van Gemert & N. Gruijters, 1994. "Patterns of financial change in the OECD area," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 47(190), pages 271-294.
    20. Sanjay Kumar Rout & Hrushikesh Mallick, 2020. "Transmission of International Financial Shocks: A Cross Country Analysis," Asian Development Policy Review, Asian Economic and Social Society, vol. 8(4), pages 236-259, December.

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    Keywords

    Interest rates; International finance;

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