Regional Financial Integration in the Caribbean : : Evidence From Financial and Macroeconomic Data / / Goohoon Kwon, Raphael Espinoza

• Record Nr.: UNINA9910788332103321
• Autore: Kwon Goohoon
• Pubbl/distr/stampa: Washington, D.C. : , : International Monetary Fund, , 2009
• ISBN: 1-4623-9209-1; 1-4527-2686-8; 1-4518-7286-0; 1-282-84353-2; 9786612843532
• Descrizione fisica: 1 online resource (37 p.)
• Collana: IMF Working Papers
• Altri autori (Persone): EspinozaRaphael
• Soggetti: Finance - Caribbean Area; Macroeconomics; Exports and Imports; Finance: General; Investments: Stocks; Current Account Adjustment; Short-term Capital Movements; Financial Aspects of Economic Integration; International Financial Markets; General Financial Markets: General (includes Measurement and Data); Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors; Finance; International economics; Investment & securities; Financial integration; Stock markets; Stocks; Current account; Regional integration; Financial markets; Financial institutions; Balance of payments; Economic integration; International finance; Stock exchanges; International economic integration; Caribbean Area Economic policy; Trinidad and Tobago
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: "July 2009".
• Nota di bibliografia: Includes bibliographic references.
• Nota di contenuto: Contents; I. Introduction; II. Background; III. Stock Price Convergence; A. Data; B. AR results; C. Threshold Auto-Regression (TAR) estimator; IV. Current Account Convergence and Regional Trade Balance; A. Theory; B. Estimation framework; C. Global Financial Integration; D. Intra-regional trade and regional financial integration; V. Conclusion; References; Appendix A; Tables; 1. Balance of Payments; 2. UNCTAD FDI Inward Stock (In millions U.S. dollars, 2001; 3. UNCTAD FDI Outward Stock (In millions of U.S. dollars, 2001); 4. Regional Exports, as a Share of GDP; 5. Interest Rates: Principal Component Analysis, 1980m1-2005m126. Interest Comovements; 7. Cross-Listed Stocks; 8. Cross-Market Premium; 9. (G) ARCH-AR Model; 10. (G) ARCH-TAR Model; 11. β Coefficient from 1975-2005; 12. β Coefficient from 1975-90; 13. β Coefficient from 1991-2005; 14. Regional Financial Integration 1975-2005; 15. 1975-90 Estimates of Regional Financial Integration; 16. 1991-2005 Estimates of Regional Financial Integration; Figures; 1. Interest Rates in the CARICOM and Sigma-Convergence (3 month T-Bills); 2. Cross-Listed Stocks; 3. Convergence Speed vs. Foreign Liabilities
• Sommario/riassunto: This paper assesses the extent of regional financial integration in the Caribbean Community (CARICOM) by analyzing equity prices in the region and rigidity of external financing constraints. The results are presented in a cross-regional perspective. The Caribbean stock markets are not as well integrated as one would expect from the extent of cross-listing and importance of regional banking groups: price differentials of cross-listed stocks reach an average of 5 percent. Auto-Regressive models suggest that these price differentials are only slowly arbitraged away, with half-lives exceeding 7 worked days, even when looking only at large arbitrage opportunities (using a Threshold Auto-Regressive model). A speculative methodology using macroeconomic data seems to confirm these findings. A strong mean reversion of the current account (respectively regional trade imbalances) is interpreted, following Obstfeld and Taylor (2004), as a lack of ways to finance current account deficits, i.e. a lack of global (respectively regional) financial integration. The region appears to be much less integrated than the EU15 or the ASEAN+3 groups, although it fares well compared to other LDCs.