A Quantitative Assessment of Real and Financial Integration in China- Markov Switching Approach

摘要：

In this paper we use the new developed Markov Switching Unit Root test to examine the status of 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 found strong evidence in favour of those parity conditions and hence concluded that real and financial integration between China and other four countries was well established.

关键词： unit root test regime switch uncovered interest parity real interest parity purchasing power parity exchange rates capital mobility and market integration Monte Carlo Simulation

作者: Lau Chi-Keung

作者单位: Hong Kong Polytechnic University Hang Seng School of Commerce

会议类型: 国际会议

会议名称: 2009年中国金融国际年会

会议地点: 广州

会议语种:英文

页码: 1-24

在线出版日期: 2009-07-07（万方平台首次上网日期，不代表论文的发表时间）