Has International Financial Integration Increased?

31 Pages Posted: 7 Nov 2008

See all articles by Lawrence G. Goldberg

Lawrence G. Goldberg

University of Miami - Department of Finance

James R. Lothian

Gabelli School of Business, Fordahm University; National Bureau of Economic Research (NBER)

John Okunev

Bond University Business School

Multiple version iconThere are 2 versions of this paper

Date Written: September 1997

Abstract

This paper compares the behavior of real interest rate differentials across the major countries under the Bretton Woods Regime and the regime of floating exchanges that replaced it. The primary object is to investigate both the extent of market integration and how it may have changed through time. For all fifteen possible country pairs real interest differentials are mean reverting, and in two-thirds of these cases indistinguishable from zero statistically. Additional evidence points to a narrowing of differentials under floating rates over time and an increase in speeds of convergence.

Suggested Citation

Goldberg, Lawrence G. and Lothian, James R. and Okunev, John, Has International Financial Integration Increased? (September 1997). NYU Working Paper No. FIN-98-040, Available at SSRN: https://ssrn.com/abstract=1297108

Lawrence G. Goldberg (Contact Author)

University of Miami - Department of Finance

P.O. Box 248094
Coral Gables, FL 33124-6552
United States

James R. Lothian

Gabelli School of Business, Fordahm University ( email )

113 West 60th Street
New York, NY 10023
United States
212-636-6147 (Phone)
212-765-5573 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

John Okunev

Bond University Business School ( email )

Gold Coast
Australia

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