Short- and Long-Run Integration: Do Capital Controls Matter?

Brookings Trade Forum, 2001

Posted: 11 Sep 2001

See all articles by Graciela Kaminsky

Graciela Kaminsky

National Bureau of Economic Research (NBER); George Washington University - Department of Economics

Sergio L. Schmukler

World Bank - Development Research Group (DECRG)

Multiple version iconThere are 3 versions of this paper

Abstract

This paper studies whether capital controls affect the link between domestic and foreign stock market prices and interest rates. To examine the characteristics of international market integration and the effects of capital controls in the short- and long-run, we use band-pass filter techniques. We find that markets seem to be more linked at longer horizons. We also find little evidence that controls effectively segment domestic markets from foreign markets. When they do, the effects seem to be short lived. Moreover, the effects of controls on outflows do not seem to differ from those of controls on inflows.

Keywords: Capital controls, restrictions on capital movement, financial integration, band-pass filter

JEL Classification: F02, F21, F32, F36, G15

Suggested Citation

Kaminsky, Graciela and Schmukler, Sergio, Short- and Long-Run Integration: Do Capital Controls Matter?. Brookings Trade Forum, 2001. Available at SSRN: https://ssrn.com/abstract=274389

Graciela Kaminsky

National Bureau of Economic Research (NBER)

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George Washington University - Department of Economics ( email )

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HOME PAGE: http://www.gracielakaminsky.com/

Sergio Schmukler (Contact Author)

World Bank - Development Research Group (DECRG) ( email )

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Washington, DC 20433
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202-458-4167 (Phone)
202-522-3518 (Fax)

HOME PAGE: http://www.worldbank.org/en/about/people/s/sergio-schmukler

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