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Consumption, Income, and International Capital Market Integration

  • Tamim Bayoumi
  • Ronald Macdonald

This paper uses consumption patterns across countries to measure capital market integration. It argues that earlier empirical tests of this type were potentially misspecified and proposes a more robust specification. The results indicate that Japan was the only industrialized country for which national consumption was fully integrated with the rest of the world over the period 1973-92. The main source of failure is excess sensitivity of consumption to home income. Particularly within the European Community, however, there is also evidence that real interest rates are not equalized.

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Article provided by Palgrave Macmillan in its journal International Monetary Fund Staff Papers.

Volume (Year): 42 (1995)
Issue (Month): 3 (September)
Pages: 552-576

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Handle: RePEc:pal:imfstp:v:42:y:1995:i:3:p:552-576
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