Lawrence G Goldberg, James R Lothian, John Okunev
ABSTRACT
This paper compares the behavior of real interest rate differentials
across the major countries under the Bretton Woods Regime and the regime
of floating exchanges that replaced it. The primary object is to investigate
both the extent of market integration and how it may have changed through
time. For all fifteen possible country pairs real interest differentials
are mean reverting, and in two-thirds of these cases indistinguishable
from zero statistically. Additional evidence points to a narrowing of differentials
under floating rates over time and an increase in speeds of convergence.
Goldberg: (212) 998-0358 lgoldber@stern.nyu.edu
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