TY - JOUR
T1 - A quantitative assessment of real and financial integration in China - the Markov switching approach
AU - Lau, Chi Keung Marco
N1 - Copyright:
Copyright 2010 Elsevier B.V., All rights reserved.
PY - 2010/5/12
Y1 - 2010/5/12
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=77952470682&partnerID=8YFLogxK
UR - https://www.internationalresearchjournaloffinanceandeconomics.com/irjfe_issues.htm
M3 - Article
AN - SCOPUS:77952470682
SN - 1450-2887
VL - 39
SP - 121
EP - 133
JO - International Research Journal of Finance and Economics
JF - International Research Journal of Finance and Economics
ER -