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International financial market integration and linkages of national interest rates

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  • Adrian W. Throop

Abstract

This article finds that even in the 1980's, when barriers to international capital mobility had been largely eliminated, there was no measurable tendency for real interest rates between the U.S. and the major industrial countries to converge. Moreover, the estimated short-run responses of both short-term and long-term interest rates to one another have been exceedingly weak. As a consequence, it appears that U.S. and foreign central banks have been able to influence their domestic interest rates quite independently from the influence of interest rates abroad, despite a high degree of international capital mobility.

Suggested Citation

  • Adrian W. Throop, 1994. "International financial market integration and linkages of national interest rates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-18.
    • Handle: RePEc:fip:fedfer:y:1994:p:3-18:n:3
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    References listed on IDEAS

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    12. Adrian W. Throop, 1993. "A generalized uncovered interest parity model of exchange rates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-16.
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    Cited by:

    1. Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2005. "The Long Memory Story Of Real Interest Rates. Can It Be Supported?," Working Papers. Serie AD 2005-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    2. repec:spo:wpecon:info:hdl:2441/6125 is not listed on IDEAS
    3. Ioannis A. Venetis & Agustin Duarte & Ivan Paya, 2004. "The long memory story of ex post real interest rates. Can it be supported?," Econometrics 0404004, University Library of Munich, Germany.
    4. repec:spo:wpmain:info:hdl:2441/6125 is not listed on IDEAS
    5. Berk, Jan Marc & Knot, Klaas H. W., 2001. "Testing for long horizon UIP using PPP-based exchange rate expectations," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 377-391, February.
    6. repec:bla:scandj:v:103:y:2001:i:1:p:127-45 is not listed on IDEAS
    7. Antoine Bouveret & Bruno Ducoudre, 2007. "On the Contingency of Equilibrium Exchange Rates with Time - Consistent Economic Policies," SciencePo Working papers Main hal-01066080, HAL.
    8. Angelos Kanas & Georgios Tsiotas, 2005. "Real interest rates linkages between the USA and the UK in the postwar period," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 251-262.
    9. Denise Côté & Christopher Graham, 2004. "Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization," Staff Working Papers 04-23, Bank of Canada.
    10. repec:hal:spmain:info:hdl:2441/5221 is not listed on IDEAS
    11. repec:hal:wpspec:info:hdl:2441/6125 is not listed on IDEAS
    12. Fujihara, Roger A. & Mougoue, Mbodja, 1996. "International linkages between short-term real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(4), pages 451-473.
    13. Al Awad, Mouawiya & Goodwin, Barry K., 1998. "Dynamic linkages among real interest rates in international capital markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 881-907, December.
    14. Ciner, Cetin, 2007. "Dynamic linkages between international bond markets," Journal of Multinational Financial Management, Elsevier, vol. 17(4), pages 290-303, October.
    15. Han‐Min Hsing, 2008. "International Capital Mobility in the Short Run and the Long Run: A Daily Data Study for Japan, Singapore and Taiwan," Asian Economic Journal, East Asian Economic Association, vol. 22(1), pages 67-82, March.
    16. repec:spo:wpmain:info:hdl:2441/5221 is not listed on IDEAS
    17. Nikiforos Laopodis, 2001. "International Interest-Rate Transmission and the “German Dominance Hypothesis” Within EMS," Open Economies Review, Springer, vol. 12(4), pages 347-377, October.
    18. Al-Awad, Mouawiya & Grennes, Thomas J., 2002. "Real interest parity and transaction costs for the group of 10 countries," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 363-372.
    19. Heejoon Kang, 1999. "The Applied Cointegration Analysis for the Open Economy: A Critical Review," Open Economies Review, Springer, vol. 10(3), pages 325-346, July.
    20. repec:hal:spmain:info:hdl:2441/6125 is not listed on IDEAS
    21. Hafer, R. W. & Kutan, Ali M. & Su Zhou, 1997. "Linkage in EMS term structures: evidence from common trend and transitory components," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 595-607, August.

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