Author(s):
Menzie D. Chinn, Hiro Ito
Date:
July 2023
Abstract:
We assess market mediated financial integration over the last fifty years. We first systematically lay out several definitions of financial integration, and then review the evidence regarding whether covered interest parity, uncovered interest parity, and real interest parity hold across industrial and non-industrial countries. Finally we examine what the determinants of real interest differentials are.
Link:
NBER Working Paper, No 31505 – Measuring Financial Integration: More Data, More Countries, More Expectations