Bayoumi, T. and MacDonald, R. (1995) Consumption, income, and international capital market integration. IMF Staff Papers, 42(3), pp. 552-576. (doi: 10.2307/3867532)
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Publisher's URL: http://www.jstor.org/stable/3867532
Abstract
This paper uses consumption patterns across countries to measure capital market integration. It argues that earlier empirical tests of this type were potentially misspecified and proposes a more robust specification. The results indicate that Japan was the only industrialized country for which national consumption was fully integrated with the rest of the world over the period 1973-92. The main source of failure is excess sensitivity of consumption to home income. Particularly within the European Community, however, there is also evidence that real interest rates are not equalized.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | MacDonald, Professor Ronald |
| Authors: | Bayoumi, T., and MacDonald, R. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | IMF Staff Papers |
| Publisher: | International Monetary Fund |
| ISSN: | 1020-7635 |
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