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Interest Rate Linkages And Capital Market Integration: Evidence From The Americas, Bharat Bhalla, Anand Shetty
Interest Rate Linkages And Capital Market Integration: Evidence From The Americas, Bharat Bhalla, Anand Shetty
CRIF Seminar series
In this paper, we study the long-run co-movement among the real interest rates of the U.S., Canada, and a select group of Latin American countries to assess the extent of financial market integration between these countries during a period of high capital mobility. The findings of the study support a long-run relationship between the short-term U.S. real interest rate and those of the Latin American countries, while it fails to support such a relationship between the U.S. and Canadian real interest rates.