TY - JOUR
T1 - A quantitative assessment of real and financial integration in China - the Markov switching approach
AU - Lau Chi-Keung, Marco
PY - 2010/5/1
Y1 - 2010/5/1
N2 - 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.
AB - 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.
KW - Capital mobility
KW - Exchange rates
KW - Market integration
KW - Monte carlo simulation
KW - Purchasing power parity
KW - Real interest parity
KW - Regime switch
KW - Uncovered interest parity
KW - Unit root test
UR - http://www.scopus.com/inward/record.url?scp=77952470682&partnerID=8YFLogxK
UR - https://www.internationalresearchjournaloffinanceandeconomics.com/irjfe_issues.htm
M3 - Article
AN - SCOPUS:77952470682
VL - 39
SP - 121
EP - 133
JO - International Research Journal of Finance and Economics
JF - International Research Journal of Finance and Economics
SN - 1450-2887
ER -