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How Integrated are World Capital Markets? Some New Tests
7 references·16 citing·50 second hop
How Integrated are World Capital Markets? Some New Tests (1986)How Integrated are World Capital Markets?…Consumption and Liquidity Constraints: An Empirical Investigation (1989)Consumption and Liquidity Con…Econometric issues in the analysis of equilibrium business cycle models (1988)Econometric issues in the ana…Is it Risk? Explaining Deviations from Uncovered Interest Parity (1987)Is it Risk? Explaining Deviat…On time varying risk premia in the foreign exchange market: An econometric analysis (1985)On time varying risk premia i…Forward and spot exchange rates (1984)Forward and spot exchange rat…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …A model of international asset pricing (1981)A model of international asse…Understanding the Backus–Smith puzzle: It's the (nominal) exchange rate, stupid (2009)Understanding the Backus–Smit…A regime switching approach to the Feldstein–Horioka puzzle: Evidence from some European countries (2007)A regime switching approach t…Feldstein–Horioka meets a time trend (2004)Feldstein–Horioka meets a tim…Net Foreign Assets and Imperfect Pass-through: The Consumption Real Exchange Rate Anomaly (2003)Net Foreign Assets and Imperf…Investment–Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series (2000)Investment–Saving Comovement …Capital mobility in the world economy: an alternative test (1998)Capital mobility in the world…Saving-investment correlations and capital mobility: The experience of developing countries (1997)Saving-investment correlation…The quantity approach to financial integration: The Feldstein-Horioka criterion revisited (1995)The quantity approach to fina…Cross-Holdings: Estimation Issues, Biases, and Distortions (1994)Cross-Holdings: Estimation Is…The Integration of World Capital Markets (1993)The Integration of World Capi…Saving, Investment and the Current Account (1992)Saving, Investment and the Cu…Investigating the correlation of unobserved expectations (1992)Investigating the correlation…Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration (1989)Predictable Stock Returns in …International risk sharing and capital mobility (1989)International risk sharing an…The international transmission of asset price volatility (1988)The international transmissio…Savings, investment and foreign capital flows: Have capital markets become more integrated? (1988)Savings, investment and forei…Floating Exchange Rates: Experience and Prospects (1985)Accounting for Forward Rates in Markets for Foreign Currency (1993)Chapter 37 Puzzles in international financial markets (1995)Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Asset Prices in an Exchange Economy (1978)Trends and random walks in macroeconmic time series (1982)Some tests of international equity integration (1988)Trends and random walks in macroeconomic time series (1988)A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)Credit Rationing in Markets with Imperfect Information (1981)Golden Eggs and Hyperbolic Discounting (1997)The analysis of household surveys (1997)Econometric Analysis of Cross Section and Panel Data (2001)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Time Series Regression with a Unit Root (1987)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Another Piece in the Feldstein — Horioka Puzzle (2003)The Feldstein–Horioka puzzle across EU members: Evidence from the ARDL bounds approach and panel data (2006)Does R&D element flow promote the spatial convergence of regional carbon efficiency? (2022)Time to Build and Aggregate Fluctuations (1982)Increasing Returns and Long-Run Growth (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Real Business Cycle Models (1988)A Survey of Some Recent Econometric Methods (1989)Why You Should Never Use the Hodrick-Prescott Filter (2017)Domestic Saving and International Capital Flows (1980)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988 (1991)Openness, Welfare Spending, and Inequality in the Developing World (2004)The Great Shift: Macroeconomic Projections for the World Economy at the 2050 Horizon (2012)Modelling the world economy at the 2050 horizon (2013)An Intertemporal Capital Asset Pricing Model (1973)On estimating the expected return on the market (1980)Predicting returns in the stock and bond markets (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Chapter 18 A survey of behavioral finance (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)Are Government Bonds Net Wealth? 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this work references cited by second hop

References

  • 1984Forward and spot exchange rates2,167 cited
  • 1989Consumption and Liquidity Constraints: An Empirical Investigation1,933 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1981A model of international asset pricing807 cited
  • 1985On time varying risk premia in the foreign exchange market: An econometric analysis164 cited
  • 1987Is it Risk? Explaining Deviations from Uncovered Interest Parity151 cited
  • 1988Econometric issues in the analysis of equilibrium business cycle models145 cited

Cited by

  • 1997Saving-investment correlations and capital mobility: The experience of developing countries72 cited
  • 1998Capital mobility in the world economy: an alternative test63 cited
  • 1993The Integration of World Capital Markets57 cited
  • 1994Cross-Holdings: Estimation Issues, Biases, and Distortions48 cited
  • 1989Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration47 cited
  • 2007A regime switching approach to the Feldstein–Horioka puzzle: Evidence from some European countries45 cited
  • 2004Feldstein–Horioka meets a time trend42 cited
  • 2000

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Investment–Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series
41 cited
  • 1995The quantity approach to financial integration: The Feldstein-Horioka criterion revisited35 cited
  • 1988Savings, investment and foreign capital flows: Have capital markets become more integrated?34 cited
  • 2003Net Foreign Assets and Imperfect Pass-through: The Consumption Real Exchange Rate Anomaly34 cited
  • 1989International risk sharing and capital mobility33 cited
  • 1988The international transmission of asset price volatility32 cited
  • 2009Understanding the Backus–Smith puzzle: It's the (nominal) exchange rate, stupid27 cited
  • 1992Investigating the correlation of unobserved expectations27 cited
  • 1992Saving, Investment and the Current Account27 cited