IDEAS home Printed from https://ideas.repec.org/a/pal/imfstp/v42y1995i3p552-576.html
   My bibliography  Save this article

Consumption, Income, and International Capital Market Integration

Author

Listed:
  • Tamim Bayoumi
  • Ronald Macdonald

Abstract

This paper uses consumption patterns across countries to measure capital market integration. It argues that earlier empirical tests of this type were potentially misspecified and proposes a more robust specification. The results indicate that Japan was the only industrialized country for which national consumption was fully integrated with the rest of the world over the period 1973-92. The main source of failure is excess sensitivity of consumption to home income. Particularly within the European Community, however, there is also evidence that real interest rates are not equalized.

Suggested Citation

  • Tamim Bayoumi & Ronald Macdonald, 1995. "Consumption, Income, and International Capital Market Integration," IMF Staff Papers, Palgrave Macmillan, vol. 42(3), pages 552-576, September.
    • Handle: RePEc:pal:imfstp:v:42:y:1995:i:3:p:552-576
    as

    Download full text from publisher

    File URL: http://www.palgrave-journals.com/imfsp/journal/v42/n3/pdf/imfsp199525a.pdf
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: http://www.palgrave-journals.com/imfsp/journal/v42/n3/full/imfsp199525a.html
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zsolt Darvas & György Szapáry, 2008. "Business Cycle Synchronization in the Enlarged EU," Open Economies Review, Springer, vol. 19(1), pages 1-19, February.
    2. Lemmen, J.J.G. & Eijffinger, S.C.W., 1995. "Financial integration in Europe : Evidence from Euler equation tests," Other publications TiSEM edaab7e2-3771-4007-bbd2-9, Tilburg University, School of Economics and Management.
    3. Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
    4. João Sousa Andrade, 2006. "Mobilidade do Capital e Sustentabilidade Externa: uma aplicação da tese de F-H a Portugal (1910-2004)," GEMF Working Papers 2006-04, GEMF, Faculty of Economics, University of Coimbra.
    5. Sarantis, Nicholas & Stewart, Chris, 2003. "Liquidity constraints, precautionary saving and aggregate consumption: an international comparison," Economic Modelling, Elsevier, vol. 20(6), pages 1151-1173, December.
    6. Tamim Bayoumi & Michael W. Klein, 1995. "A Provincial View of Capital Mobility," NBER Working Papers 5115, National Bureau of Economic Research, Inc.
    7. Chan, Tze-Haw & Baharumshah, Ahmad Zubaidi, 2003. "Measuring Capital Mobility in the Asia Pacific Rim," MPRA Paper 2208, University Library of Munich, Germany, revised 2004.
    8. Furstenberg, George M. von, 2006. "Consumption smoothing across states and time: International insurance versus foreign loans," Journal of Policy Modeling, Elsevier, vol. 28(1), pages 1-23, January.
    9. Tomas Havranek & Anna Sokolova, 2016. "Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 130 Studies Say "Probably Not"," Working Papers 2016/08, Czech National Bank.
    10. B Bhaskara Rao, 2005. "Testing Permanent Income Hypothesis for Fiji," Macroeconomics 0511013, University Library of Munich, Germany.
    11. Mete Feridun, 2006. "An Investigation of the German Dominance Hypothesis in the Context of Eastern Enlargement of the EU," Prague Economic Papers, Prague University of Economics and Business, vol. 2006(2), pages 172-182.
    12. Herrmann, Sabine & Jochem, Axel, 2005. "Determinants of current account developments in the central and east European EU member states - consequences for the enlargement of the euro area," Discussion Paper Series 1: Economic Studies 2005,32, Deutsche Bundesbank.
    13. Heinemann, Friedrich & Schüler, Martin, 2002. "How integrated are the European retail financial markets? A cointegration analysis," ZEW Discussion Papers 02-22, ZEW - Leibniz Centre for European Economic Research.
    14. Hess, Gregory D. & Shin, Kwanho, 1998. "Intranational business cycles in the United States," Journal of International Economics, Elsevier, vol. 44(2), pages 289-313, April.
    15. João Sousa Andrade, 2007. "L’Intégration Européenne et la Soutenabilité Externe de l’Union Européenne: une application de la thèse de Feldstein-Horioka," GEMF Working Papers 2007-05, GEMF, Faculty of Economics, University of Coimbra.
    16. Colin Allitt & Imad Moosa, 1998. "Consumption patterns as a measure of capital mobility: evidence from some APEC countries," Applied Economics, Taylor & Francis Journals, vol. 30(7), pages 885-891.
    17. de Brouwer,Gordon, 1999. "Financial Integration in East Asia," Cambridge Books, Cambridge University Press, number 9780521651486, October.
    18. A. Scorcu, 1997. "Contiguita' territoriale e shock sul consumo nelle regioni italiane," Working Papers 277, Dipartimento Scienze Economiche, Universita' di Bologna.
    19. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Integration der Geldmärkte in den mittel- und osteuropäischen Beitrittsländern: Abweichungen von der gedeckten Zinsparität, Kapitalverkehrskontrollen und Ineffizienzen des Finanzsek," Discussion Paper Series 1: Economic Studies 2003,07, Deutsche Bundesbank.
    20. Egil Matsen & Øystein Thøgersen, 2000. "Financial Integration and Consumption Comovements in the Nordic Countries," Working Paper Series 1502, Department of Economics, Norwegian University of Science and Technology.
    21. Danqing Young & David A. Guenther, 2003. "Financial Reporting Environments and International Capital Mobility," Journal of Accounting Research, Wiley Blackwell, vol. 41(3), pages 553-579, June.
    22. Rao, B. Bhaskara & Sharma, Kanhaiya Lal, 2007. "Testing the permanent income hypothesis in the developing and developed countries: A comparison between Fiji and Australia," MPRA Paper 2725, University Library of Munich, Germany.
    23. Kim, H. Youn, 2014. "International financial integration and risk sharing among countries: A production-based approach," Journal of the Japanese and International Economies, Elsevier, vol. 31(C), pages 16-35.
    24. Adolfo Sachsida & Mário Jorge Cardoso de Mendonça, 2006. "Domestic Saving and Investment Revised: Can the Feldstein-Horioka Equation be Used for Policy Analysis?," Discussion Papers 1158, Instituto de Pesquisa Econômica Aplicada - IPEA.

    More about this item

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:imfstp:v:42:y:1995:i:3:p:552-576. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.