A Quantitative Assessment of Real and Financial Integration in China - the Markov Switching Approach

Lau, Chi Keung (2010) A Quantitative Assessment of Real and Financial Integration in China - the Markov Switching Approach. International Research Journal of Finance & Economics, 39. pp. 121-133. ISSN 1450-2887

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Abstract

In this paper, we use the newly developed Markov switching unit root test to examine the status of the real and financial integration of China, Japan, the European Union and the United States based on the empirical validity of real interest parity, uncovered interest parity and relative purchasing power parity. We find strong evidence in favour of those parity conditions and hence conclude that real and financial integration between China and the other four countries is well established.

Item Type: Article
Subjects: L100 Economics
Department: Faculties > Business and Law > Newcastle Business School > Business and Management
Related URLs:
Depositing User: Chi Keung Lau
Date Deposited: 30 Sep 2013 10:19
Last Modified: 04 Dec 2015 13:10
URI: http://nrl.northumbria.ac.uk/id/eprint/13588

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