Download or read book Integration of International Long Term Interest Rates written by Ming-Shiun Pan and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we re-examine the relationship among interest rates on the long-term government bonds of five industrialized countries. Using both the variance ratio test and fractional cointegration analysis, we find significant evidence that indicates the five government bond rates are fractionally cointegrated. In specific, our results show that the error correction term of the system of the five interest rates follows a mean-reverting, fractionally integrated process.
Download or read book Research Papers on International Integration of Financial Markets and U S Monetary Policy written by Federal Reserve Bank of New York and published by . This book was released on 1987 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Globalization Market Power and the Natural Interest Rate written by Jean-Marc Natal and published by International Monetary Fund. This book was released on 2019-05-06 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We argue that strong globalization forces have been an important determinant of global real interest rates over the last five decades, as they have been key drivers of changes in the natural real interest rate—i.e. the interest rate consistent with output at its potential and constant inflation. An important implication of our analysis is that increased competition in goods and labor market since the 1970s can help explain both the large increase in real interest rates up to the mid-1980s and—as globalization forces mature and may even go into reverse, leading to incrementally rising market power—its subsequent and protracted decline accompanied by lower inflation. The analysis has important implications for monetary policy and the optimal pace of normalization.
Download or read book Does Fiscal Policy Affect Interest Rates Evidence from a Factor Augmented Panel written by Mr.Salvatore Dell'Erba and published by International Monetary Fund. This book was released on 2013-07-03 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reconsiders the effects of fiscal policy on long-term interest rates employing a Factor Augmented Panel (FAP) to control for the presence of common unobservable factors. We construct a real-time dataset of macroeconomic and fiscal variables for a panel of OECD countries for the period 1989-2012. We find that two global factors—the global monetary and fiscal policy stances—explain more than 60 percent of the variance in the long-term interest rates. Compared to the estimates from models which do not account for global factors, we find that the importance of domestic variables in explaining long-term interest rates is weakened. Moreover, the propagation of global fiscal shocks is larger in economies characterized by macroeconomic and institutional weaknesses.
Download or read book Financial Globalization and Monetary Policy written by Steven B. Kamin and published by DIANE Publishing. This book was released on 2011-05 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reviews the available evidence and previous research on potential effects of financial globalization, that is, the international integration of financial markets. Central banks with floating currencies retain the ability to independently determine short-term interest rates and thus influence broader financial conditions and macro-economic performance in their economies. However, domestic financial conditions appear to have become more vulnerable to a wide range of external shocks, complicating the task of making appropriate monetary policy decisions. Moreover, the financial crisis has highlighted the importance of cross-border channels for the transmission of liquidity and credit shocks. Charts and tables. This is a print on demand report.
Download or read book The Relationship Between United States and Foreign Interest Rates written by Anthony Q. Chua and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 1981 with total page 602 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Financial Integration written by Richard C. Marston and published by Cambridge University Press. This book was released on 1997-04-13 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: Currency denomination remains a barrier to full financial integration, however, since both nominal and real returns on financial instruments vary widely by currency, even between currencies tied together by the European Monetary System. This study examines relative returns in the money and bond markets of these countries, investigating whether there are systematic variations in relative returns across currencies.
Download or read book Dynamic Linkages Among Long Term Interest Rates written by Nikiforos T. Laopodis and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the implications from the greater integration of major capital markets using long-term interest rates. The empirical approach is a Vector Autoregression which examines the nature of the monetary spillover mechanism across eight markets namely, Canada, France, Germany, Japan, the Netherlands, Switzerland, the U.K. and the U.S. Proof that globalization has seriously affected the behavior of interest rates and made them more synchronized across countries is provided from the way disturbances in a market transmit to other markets. These are usually fast and persistent and affect the conduct of monetary policy in all involved parties. Further, the empirical results confirm greater convergence among countries in the European Union as Germany still retains its hegemonic status. The implications for monetary policy are that countries may now have to deal with more shocks coming from abroad and these shocks will be diverse, intense and persistent. Thus, global monetary policy, at least among the major capital markets, will have to be played interactively from now on which may suggest that greater financial supervision and regulation might be needed in order to ensure continued world stability and prosperity.
Download or read book Economic and Monetary Integration and the Aggregate Demand for Money in the EMS written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-03-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study shows that the aggregate demand for M1 in the group of countries participating in the Exchange Rate Mechanism (ERM) of the European Monetary System can be expressed as a stable function of ERM-wide income, inflation, interest rates, and the exchange rate of the European Currency Unit (ECU) vis-à-vis the U.S. dollar. A notable feature of the model is the rapid elimination of monetary disequilibria, in contrast with most single-country estimates which tend to find implausibly slow adjustment. These results are suggestive: if robust, they would indicate that, even at the present stage of economic and monetary integration, a European central bank could, in principle, implement monetary control more effectively than the individual national central banks.
Download or read book Capital Market Integration in the Pacific Basin Region written by Ms.Kate Phylaktis and published by International Monetary Fund. This book was released on 1995-12-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the extent to which financial markets in the Pacific Basin Region have become more integrated, by analyzing the comovements of real interest rates. The paper uses cointegration and error correction models and draws inferences on the degree of capital market integration by looking at the speed of adjustment of real interest rates following a shock. The results show that there has been an increase in capital market integration with both U.S. and Japan during the 1980s. Japan has not, however, overtaken U.S. in dominating the financial markets of these countries, except possibly in the case of Malaysia. Capital market integration is found to be greater in Singapore, Hong Kong and Taiwan Province of China. On the other hand, Japan is the least integrated country with the United States.
Download or read book Elements of the Euro Area written by Mauro Grande and published by Routledge. This book was released on 2018-02-06 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: As time elapses since the introduction of the Euro, it is legitimate to start asking what impact the new currency and the single monetary policy have had on European integration. This book provides the most comprehensive review of financial integration in the euro area. The volume includes an introduction to the institutional features of the euro area and the literature on financial integration. It examines developments in the financial structures at large and moves forward to focus on specific areas pertaining to financial intermediaries, the bond and equity markets, and market-based debt finance. It is particularly suited to researchers and students of developments in the euro area, central banking, money and banking, as well as international relations and international business more generally. While the introductory chapters will help in bringing undergraduates on board, the later chapters will particularly benefit the early graduate student as well as the professional observer.
Download or read book Co Movements in Long Term Interest Rates and the Role of PPP Based Exchange Rate Expectations written by Jan Marc Berk and published by International Monetary Fund. This book was released on 1999-06-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates international co-movement in bond yields by testing for uncovered interest parity (UIP). Existing work is supplemented by focusing on long instead of short-term interest rates and by employing exchange rate expectations derived from purchasing power parity (PPP) instead of actual outcomes. Among the major currencies during 1975-97, the paper does not find a further increase in co-movement beyond that associated with the wave of financial market liberalization in the early 1980s. Given the similarity between PPP-based UIP tests and those employing actual exchange rate outcomes, the value added of the former lies mainly with data availability.
Download or read book Global Capital Markets written by Maurice Obstfeld and published by Cambridge University Press. This book was released on 2004 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an economic survey of international capital mobility from the late nineteenth century to the present.
Download or read book European Financial Integration written by Alberto Giovannini and published by Cambridge University Press. This book was released on 1991 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leading international experts examine the implications of integration for the monetary structure of the European community.
Download or read book The Cointegration of International Interest Rates written by Máiréad Devine and published by . This book was released on 1997 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fractional Cointegration Analysis of Long Term International Interest Rates written by John T. Barkoulas and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: DeGennaro, Kunkel, and Lee (1994) studied the long run dynamics of a system of long term interest rates of five industrialized countries by means of sophisticated cointegration methods. They found little evidence in support of the cointegration hypothesis, thus concluding that a separate set of fundamentals drives the dynamics of each of the individual long term interest rate series. In this study, we extend their analysis by exploring the possibility of very slow mean reverting dynamics (fractional cointegration) in the system of the five long term interest rates. We use the GPH test as our testing methodology for fractional integration and cointegration. Through rigorous investigation of the full system of the five long term interest rate series and its various subsystems, we provide evidence that the error correction term follows a fractionally integrated process with long memory, that is, it is mean reverting, though not covariance stationary. Despite significant persistence in the short run, a shock to the system of long term interest rates eventually dissipates so that an equilibrium relationship prevails in the long run.
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
