Consumption, income, and international capital market integration

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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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
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

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