A quantitative assessment of real and financial integration in China - the Markov switching approach

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Abstract

In this paper, we use the newly developed Markov switching unit root test to examine the status of the real and financial integration of China, Japan, the European Union and the United States based on the empirical validity of real interest parity, uncovered interest parity and relative purchasing power parity. We find strong evidence in favour of those parity conditions and hence conclude that real and financial integration between China and the other four countries is well established.

Original languageEnglish
Pages (from-to)121-133
Number of pages13
JournalInternational Research Journal of Finance and Economics
Volume39
Publication statusPublished - 1 May 2010
Externally publishedYes

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