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Three Parity Conditions in International Finance

In: Open-Economy Macroeconomics

Author

Listed:
  • Richard C. Marston

    (University of Pennsylvania)

Abstract

International finance often focuses on parity conditions linking financial or goods markets in different countries. The integration between financial markets is often measured by deviations from uncovered interest parity (UIP) as in Cumby and Obstfeld (1984) and Frankel and MacArthur (1988). Similarly, the integration between goods markets is often measured by deviations from purchasing power parity as in Roll (1979) and Adler and Lehmann (1983). This study presents new evidence on both sets of parity conditions using a monthly data set spanning over twenty-five years. This data set is also used to interpret ‘real interest parity’ (RIP), another form of interest parity often cited as evidence of financial market integration.

Suggested Citation

  • Richard C. Marston, 1993. "Three Parity Conditions in International Finance," International Economic Association Series, in: Helmut Frisch & Andreas Wörgötter (ed.), Open-Economy Macroeconomics, chapter 14, pages 257-271, Palgrave Macmillan.
    • Handle: RePEc:pal:intecp:978-1-349-12884-6_14
    DOI: 10.1007/978-1-349-12884-6_14
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    Cited by:

    1. de Brouwer,Gordon, 1999. "Financial Integration in East Asia," Cambridge Books, Cambridge University Press, number 9780521651486.
    2. Soo Khoon Goh & Guay Lim & Nilss Olekalns, 2006. "Deviations from uncovered interest parity in Malaysia," Applied Financial Economics, Taylor & Francis Journals, vol. 16(10), pages 745-759.

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