The Price Approach to Financial Integration: Decomposing European Money Market Interest Rate Differentials
Year: 1996
Author: Lemmen, Jan J. G., Eijffinger, Sylvester C. W.
Credit and Capital Markets – Kredit und Kapital, Vol. 29 (1996), Iss. 2 : pp. 189–223
Abstract
The present paper deals with a theoretical and empirical analysis of money market integration in the European Community. The paper examines the degree money market integration between ten EC member states and Germany since the start of the European Monetary System in March 1979. Money market integration is defined as the ability and willingness to move money market assets across national borders. The empirical analysis relies on calculations of mean deviations from covered interest parity, ex post uncovered interest parity and ex post real interest parity. The degree of money market integration crucially depends on the devaluation risk as measured by the ex post exchange risk premium. In the case of Portugal and Greece also capital controls matter.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.29.2.189
Credit and Capital Markets – Kredit und Kapital, Vol. 29 (1996), Iss. 2 : pp. 189–223
Published online: 1996-02
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 35
Author Details
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