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Financial integration and exchange market pressure

In: Handbook of Financial Integration

Author

Listed:
  • Kate Phylaktis
  • Muhammad Aftab

Abstract

This study examines the role of financial integration in exchange market pressure (EMP) across a representative group of 42 advanced and emerging markets over the period 2000–2019, which covers the global financial crisis, which has heightened monetary and economic policy uncertainty. The authors use a novel measure of financial integration, namely the uncovered equity return differential versus the US, which is based on the Uncovered Equity Parity and is available at a monthly frequency. Their analysis is based on panel cointegration and several robustness tests and it shows that indeed financial integration has a significant effect on the EMP of advanced markets as well as emerging markets.

Suggested Citation

  • Kate Phylaktis & Muhammad Aftab, 2024. "Financial integration and exchange market pressure," Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 14, pages 312-339, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:21716_14
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    File URL: https://www.elgaronline.com/doi/10.4337/9781803926377.00022
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    Keywords

    Economics and Finance;

    Statistics

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