Has International Financial Integration Increased

摘要: This paper compares the behavior of real interest rate differentials across major countries under Bretton Woods regime and floating exchanges that replaced it. The primary object is to investigate both extent market integration its changes over time. For all fifteen possible country pairs are mean reverting, in two-thirds these cases indistinguishable from zero statistically. on average for most such individually, moreover, estimated not appreciably different absolute value than we estimate various money-market rates within United States. Additional evidence points a narrowing time an increase speeds convergence.