06505oam 22012614 450 991078833210332120230721045737.01-4623-9209-11-4527-2686-81-4518-7286-01-282-84353-29786612843532(CKB)3170000000055294(EBL)1608350(SSID)ssj0000943045(PQKBManifestationID)11967159(PQKBTitleCode)TC0000943045(PQKBWorkID)10974943(PQKB)10407329(OCoLC)712987742(MiAaPQ)EBC1608350(IMF)WPIEE2009139(EXLCZ)99317000000005529420020129d2009 uf 0engur|n|---|||||txtccrRegional Financial Integration in the Caribbean : Evidence From Financial and Macroeconomic Data /Goohoon Kwon, Raphael EspinozaWashington, D.C. :International Monetary Fund,2009.1 online resource (37 p.)IMF Working Papers"July 2009".1-4519-1715-5 Includes bibliographic references.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 GDP5. 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 LiabilitiesThis 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.IMF Working Papers; Working Paper ;No. 2009/139FinanceCaribbean AreaMacroeconomicsExports and ImportsimfFinance: GeneralimfInvestments: StocksimfCurrent Account AdjustmentimfShort-term Capital MovementsimfFinancial Aspects of Economic IntegrationimfInternational Financial MarketsimfGeneral Financial Markets: General (includes Measurement and Data)imfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfFinanceimfInternational economicsimfInvestment & securitiesimfFinancial integrationimfStock marketsimfStocksimfCurrent accountimfRegional integrationimfFinancial marketsimfFinancial institutionsimfBalance of paymentsimfEconomic integrationimfInternational financeimfStock exchangesimfInternational economic integrationimfCaribbean AreaEconomic policyTrinidad and TobagoimfFinanceMacroeconomics.Exports and ImportsFinance: GeneralInvestments: StocksCurrent Account AdjustmentShort-term Capital MovementsFinancial Aspects of Economic IntegrationInternational Financial MarketsGeneral Financial Markets: General (includes Measurement and Data)Pension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsFinanceInternational economicsInvestment & securitiesFinancial integrationStock marketsStocksCurrent accountRegional integrationFinancial marketsFinancial institutionsBalance of paymentsEconomic integrationInternational financeStock exchangesInternational economic integrationKwon Goohoon1462101Espinoza Raphael1143129International Monetary Fund.Middle East and Central Asia Dept.DcWaIMFBOOK9910788332103321Regional Financial Integration in the Caribbean3685526UNINA