A New Test of International Financial Integration with Application to the European Union
Mark Holmes () and
Eric Pentecost
Journal of Economic Integration, 1999, vol. 14, 1-12
Abstract:
In this paper we test for financial integration among the major European Union countries using a new test, due to Snell(1996), which allows us to confirm or reject covered interest rate parity. Indeed, we offer a new distinction between strong or weak financial integrtion depending on whether or not the frist largest principal component based on deviations from covered interest parity is stationary. Despite the turbulence in the ERM during the early 1990s, we find evidence of increased financial inter-dependence of on shore domestic interest rates implying that European monetary polices are in general converging.
Keywords: International; Financial; Integration (search for similar items in EconPapers)
JEL-codes: E43 F36 G15 (search for similar items in EconPapers)
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (5)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0094
Access Statistics for this article
Journal of Economic Integration is currently edited by Seongeun Kim
More articles in Journal of Economic Integration from Center for Economic Integration, Sejong University Contact information at EDIRC.
Bibliographic data for series maintained by Yunhoe Kim ().