IDEAS home Printed from https://ideas.repec.org/p/cii/cepidt/2006-25.html
   My bibliography  Save this paper

Taux d’intérêt et marchés boursiers : une analyse empirique de l’intégration financière internationale

Author

Listed:
  • vladimir Borgy
  • Valérie Mignon

Abstract

[eng] The authors study the dynamics of financial integration between the United States and the euro zone. We focus on price-based indicators and two types of variables : short-and long-term interest rates and stock prices. Our results show the long-term validity of uncovered interest parity for nominal short-term rates. They also indicate a growing interdependence between stock markets. Our findings corroborate the trend toward closer financial integration between the U.S. and the euro zone. [fre] L’objet de ce papier consiste en l’étude empirique de la dynamique de l’intégration financière entre les États-Unis et la zone euro. Nous nous centrons sur les indicateurs basés sur les prix et analysons le comportement de deux types de variables : les taux d'intérêt à court et long termes et les prix des actifs. Nos résultats montrent que la parité non couverte des taux d’intérêt nominaux tend à être validée et que l’interdépendance entre les marchés boursiers est grandissante. Ces résultats vont dans le sens d'une tendance croissante à l’intégration financière entre États-Unis et zone euro.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • vladimir Borgy & Valérie Mignon, 2006. "Taux d’intérêt et marchés boursiers : une analyse empirique de l’intégration financière internationale," Working Papers 2006-25, CEPII research center.
  • Handle: RePEc:cii:cepidt:2006-25
    as

    Download full text from publisher

    File URL: http://www.cepii.fr/PDF_PUB/wp/2006/wp2006-25.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Maurice Obstfeld & Alan M. Taylor, 2003. "Globalization and Capital Markets," NBER Chapters,in: Globalization in Historical Perspective, pages 121-188 National Bureau of Economic Research, Inc.
    2. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
    3. G. Andrew Karolyi, 2004. "Does International Financial Contagion Really Exist?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 16(2-3), pages 136-146.
    4. Robert P. Flood & Andrew K. Rose, 2002. "Uncovered Interest Parity in Crisis," IMF Staff Papers, Palgrave Macmillan, vol. 49(2), pages 1-6.
    5. Cumby, Robert E & Obstfeld, Maurice, 1981. "A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis," Journal of Finance, American Finance Association, vol. 36(3), pages 697-703, June.
    6. Lothian, James R., 2002. "The internationalization of money and finance and the globalization of financial markets," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 699-724, November.
    7. Johnson, David R., 1992. "International interest rate linkages and the exchange rate regime," Journal of International Money and Finance, Elsevier, vol. 11(4), pages 340-365, August.
    8. Juan Ayuso & Roberto Blanco, 1999. "Has Financial Market Integration Increased during the Nineties?," Working Papers 9923, Banco de España;Working Papers Homepage.
    9. Adler, Michael & Dumas, Bernard, 1983. " International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-984, June.
    10. Suk-Joong Kim & Fari Moshirian & Eliza Wu, 2018. "Evolution of International Stock and Bond Market Integration: Influence of the European Monetary Union," World Scientific Book Chapters,in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 12, pages 391-428 World Scientific Publishing Co. Pte. Ltd..
    11. Taylor, Mark P & Tonks, Ian, 1989. "The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 332-336, May.
    12. Manuela CROCI, 2004. "Country pair-correlations as a measure of financial integration: the case of the Euro equity markets," Working Papers 201, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    13. Johnson, David R, 1993. "International Interest Rate Linkages in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 755-770, November.
    14. Taylor, Alan M., 2002. "A century of current account dynamics," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 725-748, November.
    15. Lieven Baele & Annalisa Ferrando & Peter Hördahl & Elizaveta Krylova & Cyril Monnet, 2004. "Measuring financial integration in the euro area," Occasional Paper Series 14, European Central Bank.
    16. MacDonald, Ronald & Taylor, Mark P, 1989. "Interest Rate Parity: Some New Evidence," Bulletin of Economic Research, Wiley Blackwell, vol. 41(4), pages 255-274, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Boubakri, Salem & Guillaumin, Cyriac, 2011. "Financial integration and currency risk premium in CEECs: Evidence from the ICAPM," Emerging Markets Review, Elsevier, vol. 12(4), pages 460-484.
    2. Jérôme Sgard, 2006. "On Legal Origins and Brankruptcy Laws: the European Experience (1808-1914)," Working Papers hal-01065660, HAL.
    3. Jean-Baptiste Gossé & Cyriac Guillaumin, 2010. "L'impact des chocs externes sur et dans la zone euro : un modèle VAR structurel," CEPN Working Papers hal-00493384, HAL.
    4. Jean-Baptiste Gossé & Cyriac Guillaumin, 2011. "The impact of external shocks on the eurozone: a structural VAR model," CEPN Working Papers hal-00610024, HAL.
    5. Jérôme Sgard, 2006. "On Legal Origins and Brankruptcy Laws: the European Experience (1808-1914)," Sciences Po publications 2006-26, Sciences Po.
    6. Bennaceur, Fatma & Bendob, Ali, 2013. "اختبار العلاقة بين يوريبور وأسعار الأسهم في البورصات الناشئة دراسة قياسية خلال الفترة 1999- 2010
      [Testing the relationship between EURIBOR and share prices in emerging stock markets Econometric stu
      ," MPRA Paper 76077, University Library of Munich, Germany, revised Feb 2014.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cii:cepidt:2006-25. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/cepiifr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.