Short and Long-Run Integration : Do Capital Controls Matter?
The authors study whether capital controls affect the link between domestic and foreign stock market prices and interest rates. To examine the characteristics of international market integration and the effects of capital controls in the short and...
| Main Authors: | , |
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
| Published: |
World Bank, Washington, DC
2014
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| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/en/2001/08/1561500/short-long-run-integration-capital-controls-matter http://hdl.handle.net/10986/19570 |
| id |
okr-10986-19570 |
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| recordtype |
oai_dc |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
AMERICAN DEPOSITORY RECEIPTS ARBITRAGE ASSET MARKETS ASYMMETRIC INFORMATION AUCTIONS AUTHORIZED BANKS AUTONOMOUS MONETARY POLICY AUTONOMY BALANCE OF PAYMENTS BANK DEPOSITS BANKING CRISIS BOND MARKETS BONDS BORROWING CAPITAL ACCOUNT CAPITAL ACCOUNT LIBERALIZATION CAPITAL ADEQUACY CAPITAL CONTROLS CAPITAL FLOWS CAPITAL GAINS CAPITAL INFLOWS CAPITAL MARKETS CAPITAL MOBILITY CAPITAL MOVEMENTS CAPITAL OUTFLOWS CENTRAL BANK CENTRAL BANKS COMMERCIAL BANKS COUNTRY COMPARISONS CURRENT ACCOUNT CYCLICAL BEHAVIOR DEBT DEPOSIT REQUIREMENTS DERIVATIVE MARKETS DESTABILIZING EFFECT DEVELOPING COUNTRIES DIVIDENDS DOMESTIC BANKS DOMESTIC CURRENCIES DOMESTIC CURRENCY DOMESTIC ECONOMY DOMESTIC FINANCIAL INSTITUTIONS DOMESTIC FINANCIAL MARKETS DOMESTIC INTEREST RATES DOMESTIC INVESTORS EMERGING ECONOMIES EMERGING MARKETS EXCHANGE ARRANGEMENTS EXCHANGE CONTROLS EXCHANGE RATE EXCHANGE RATES EXCHANGE RESTRICTIONS EXPECTED RETURNS EXPORTS EXTERNAL BORROWING EXTERNAL DEBT EXTERNAL SHOCKS FINANCE COMPANIES FINANCIAL CONTROLS FINANCIAL CRISES FINANCIAL CYCLES FINANCIAL DEVELOPMENT FINANCIAL INSTABILITY FINANCIAL INSTITUTIONS FINANCIAL INTEGRATION FINANCIAL LIBERALIZATION FINANCIAL LOANS FINANCIAL MARKET FINANCIAL MARKETS FINANCIAL REPRESSION FINANCIAL SUPPORT FINANCIAL SYSTEMS FINANCIAL TRANSACTIONS FIXED INCOME FOREIGN BORROWING FOREIGN CAPITAL FOREIGN CURRENCY FOREIGN CURRENCY BORROWING FOREIGN DEBT FOREIGN DIRECT INVESTMENT FOREIGN EXCHANGE FOREIGN INVESTMENT FOREIGN INVESTORS FOREIGN LOAN FOREIGN LOANS FOREIGN MARKETS FOREIGN SPECULATORS FOREIGN STOCK FREE CAPITAL MOBILITY FUTURE RESEARCH GLOBALIZATION OF CAPITAL MARKETS GOVERNMENT BONDS HOT MONEY INCOME INDUSTRIAL COUNTRIES INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BANKING INTERNATIONAL BANKING FACILITY INTERNATIONAL CAPITAL INTERNATIONAL CAPITAL MARKETS INTERNATIONAL CAPITAL MOBILITY INTERNATIONAL FINANCIAL INTEGRATION INTERNATIONAL MARKETS LEGISLATION LIBERALIZATION EPISODE LOCAL BANKS MACROECONOMICS MATURITIES MONETARY AUTHORITIES MONETARY POLICY MONEY SUPPLY NET WORTH POLICY RESEARCH PORTFOLIO PRICE INDEXES PRIVATE SECTOR PRIVATIZATION RANDOM WALK REPATRIATION OF CAPITAL RESERVE RESERVE REQUIREMENT RESERVE REQUIREMENTS STOCK EXCHANGE STOCK INDEX STOCK MARKET STOCK MARKET CYCLES STOCK MARKET INDEX STOCK MARKET INDEXES STOCK MARKETS STOCK PRICES SWAPS TAXATION TROUGH |
| spellingShingle |
AMERICAN DEPOSITORY RECEIPTS ARBITRAGE ASSET MARKETS ASYMMETRIC INFORMATION AUCTIONS AUTHORIZED BANKS AUTONOMOUS MONETARY POLICY AUTONOMY BALANCE OF PAYMENTS BANK DEPOSITS BANKING CRISIS BOND MARKETS BONDS BORROWING CAPITAL ACCOUNT CAPITAL ACCOUNT LIBERALIZATION CAPITAL ADEQUACY CAPITAL CONTROLS CAPITAL FLOWS CAPITAL GAINS CAPITAL INFLOWS CAPITAL MARKETS CAPITAL MOBILITY CAPITAL MOVEMENTS CAPITAL OUTFLOWS CENTRAL BANK CENTRAL BANKS COMMERCIAL BANKS COUNTRY COMPARISONS CURRENT ACCOUNT CYCLICAL BEHAVIOR DEBT DEPOSIT REQUIREMENTS DERIVATIVE MARKETS DESTABILIZING EFFECT DEVELOPING COUNTRIES DIVIDENDS DOMESTIC BANKS DOMESTIC CURRENCIES DOMESTIC CURRENCY DOMESTIC ECONOMY DOMESTIC FINANCIAL INSTITUTIONS DOMESTIC FINANCIAL MARKETS DOMESTIC INTEREST RATES DOMESTIC INVESTORS EMERGING ECONOMIES EMERGING MARKETS EXCHANGE ARRANGEMENTS EXCHANGE CONTROLS EXCHANGE RATE EXCHANGE RATES EXCHANGE RESTRICTIONS EXPECTED RETURNS EXPORTS EXTERNAL BORROWING EXTERNAL DEBT EXTERNAL SHOCKS FINANCE COMPANIES FINANCIAL CONTROLS FINANCIAL CRISES FINANCIAL CYCLES FINANCIAL DEVELOPMENT FINANCIAL INSTABILITY FINANCIAL INSTITUTIONS FINANCIAL INTEGRATION FINANCIAL LIBERALIZATION FINANCIAL LOANS FINANCIAL MARKET FINANCIAL MARKETS FINANCIAL REPRESSION FINANCIAL SUPPORT FINANCIAL SYSTEMS FINANCIAL TRANSACTIONS FIXED INCOME FOREIGN BORROWING FOREIGN CAPITAL FOREIGN CURRENCY FOREIGN CURRENCY BORROWING FOREIGN DEBT FOREIGN DIRECT INVESTMENT FOREIGN EXCHANGE FOREIGN INVESTMENT FOREIGN INVESTORS FOREIGN LOAN FOREIGN LOANS FOREIGN MARKETS FOREIGN SPECULATORS FOREIGN STOCK FREE CAPITAL MOBILITY FUTURE RESEARCH GLOBALIZATION OF CAPITAL MARKETS GOVERNMENT BONDS HOT MONEY INCOME INDUSTRIAL COUNTRIES INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BANKING INTERNATIONAL BANKING FACILITY INTERNATIONAL CAPITAL INTERNATIONAL CAPITAL MARKETS INTERNATIONAL CAPITAL MOBILITY INTERNATIONAL FINANCIAL INTEGRATION INTERNATIONAL MARKETS LEGISLATION LIBERALIZATION EPISODE LOCAL BANKS MACROECONOMICS MATURITIES MONETARY AUTHORITIES MONETARY POLICY MONEY SUPPLY NET WORTH POLICY RESEARCH PORTFOLIO PRICE INDEXES PRIVATE SECTOR PRIVATIZATION RANDOM WALK REPATRIATION OF CAPITAL RESERVE RESERVE REQUIREMENT RESERVE REQUIREMENTS STOCK EXCHANGE STOCK INDEX STOCK MARKET STOCK MARKET CYCLES STOCK MARKET INDEX STOCK MARKET INDEXES STOCK MARKETS STOCK PRICES SWAPS TAXATION TROUGH Kaminsky, Graciela Schmukler, Sergio L. Short and Long-Run Integration : Do Capital Controls Matter? |
| geographic_facet |
East Asia and Pacific Latin America & Caribbean Latin America |
| relation |
Policy Research Working Paper;No. 2660 |
| description |
The authors study whether capital
controls affect the link between domestic and foreign stock
market prices and interest rates. To examine the
characteristics of international market integration and the
effects of capital controls in the short and long run, they
apply band-pass filter techniques to data from six emerging
economics during the 1990s. They find that markets seem to
be linked more at longer horizons. Equity prices seem to be
more connected internationally than interest rates. They
also find little evidence that controls effectively segment
domestic markets from foreign markets. And when they do, the
effects seem to be short-lived. Moreover, the effects of
controls on outflows do not seem to differ from those of
controls on inflows. For example, controls on outflows in
Venezuela during the 1994 crisis, and unremunerated reserve
requirements in Chile and Colombia during a capital-inflow
episode, seem to have shielded domestic markets at the most
at very high frequencies. The degree of financial
sophistication does not seem to affect the authors'
conclusion on the insulation provided by capital controls.
True, more developed financial markets, such as those in
Brazil, are more closely linked to international markets
than those in Colombia and Venezuela, which are far more
illiquid. But capital controls do not seem to provide an
extra cushion against international spillovers even in less
developed markets. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Kaminsky, Graciela Schmukler, Sergio L. |
| author_facet |
Kaminsky, Graciela Schmukler, Sergio L. |
| author_sort |
Kaminsky, Graciela |
| title |
Short and Long-Run Integration : Do Capital Controls Matter? |
| title_short |
Short and Long-Run Integration : Do Capital Controls Matter? |
| title_full |
Short and Long-Run Integration : Do Capital Controls Matter? |
| title_fullStr |
Short and Long-Run Integration : Do Capital Controls Matter? |
| title_full_unstemmed |
Short and Long-Run Integration : Do Capital Controls Matter? |
| title_sort |
short and long-run integration : do capital controls matter? |
| publisher |
World Bank, Washington, DC |
| publishDate |
2014 |
| url |
http://documents.worldbank.org/curated/en/2001/08/1561500/short-long-run-integration-capital-controls-matter http://hdl.handle.net/10986/19570 |
| _version_ |
1764440038738755584 |
| spelling |
okr-10986-195702021-04-23T14:03:43Z Short and Long-Run Integration : Do Capital Controls Matter? Kaminsky, Graciela Schmukler, Sergio L. AMERICAN DEPOSITORY RECEIPTS ARBITRAGE ASSET MARKETS ASYMMETRIC INFORMATION AUCTIONS AUTHORIZED BANKS AUTONOMOUS MONETARY POLICY AUTONOMY BALANCE OF PAYMENTS BANK DEPOSITS BANKING CRISIS BOND MARKETS BONDS BORROWING CAPITAL ACCOUNT CAPITAL ACCOUNT LIBERALIZATION CAPITAL ADEQUACY CAPITAL CONTROLS CAPITAL FLOWS CAPITAL GAINS CAPITAL INFLOWS CAPITAL MARKETS CAPITAL MOBILITY CAPITAL MOVEMENTS CAPITAL OUTFLOWS CENTRAL BANK CENTRAL BANKS COMMERCIAL BANKS COUNTRY COMPARISONS CURRENT ACCOUNT CYCLICAL BEHAVIOR DEBT DEPOSIT REQUIREMENTS DERIVATIVE MARKETS DESTABILIZING EFFECT DEVELOPING COUNTRIES DIVIDENDS DOMESTIC BANKS DOMESTIC CURRENCIES DOMESTIC CURRENCY DOMESTIC ECONOMY DOMESTIC FINANCIAL INSTITUTIONS DOMESTIC FINANCIAL MARKETS DOMESTIC INTEREST RATES DOMESTIC INVESTORS EMERGING ECONOMIES EMERGING MARKETS EXCHANGE ARRANGEMENTS EXCHANGE CONTROLS EXCHANGE RATE EXCHANGE RATES EXCHANGE RESTRICTIONS EXPECTED RETURNS EXPORTS EXTERNAL BORROWING EXTERNAL DEBT EXTERNAL SHOCKS FINANCE COMPANIES FINANCIAL CONTROLS FINANCIAL CRISES FINANCIAL CYCLES FINANCIAL DEVELOPMENT FINANCIAL INSTABILITY FINANCIAL INSTITUTIONS FINANCIAL INTEGRATION FINANCIAL LIBERALIZATION FINANCIAL LOANS FINANCIAL MARKET FINANCIAL MARKETS FINANCIAL REPRESSION FINANCIAL SUPPORT FINANCIAL SYSTEMS FINANCIAL TRANSACTIONS FIXED INCOME FOREIGN BORROWING FOREIGN CAPITAL FOREIGN CURRENCY FOREIGN CURRENCY BORROWING FOREIGN DEBT FOREIGN DIRECT INVESTMENT FOREIGN EXCHANGE FOREIGN INVESTMENT FOREIGN INVESTORS FOREIGN LOAN FOREIGN LOANS FOREIGN MARKETS FOREIGN SPECULATORS FOREIGN STOCK FREE CAPITAL MOBILITY FUTURE RESEARCH GLOBALIZATION OF CAPITAL MARKETS GOVERNMENT BONDS HOT MONEY INCOME INDUSTRIAL COUNTRIES INTEREST PAYMENTS INTEREST RATE INTEREST RATES INTERNATIONAL BANKING INTERNATIONAL BANKING FACILITY INTERNATIONAL CAPITAL INTERNATIONAL CAPITAL MARKETS INTERNATIONAL CAPITAL MOBILITY INTERNATIONAL FINANCIAL INTEGRATION INTERNATIONAL MARKETS LEGISLATION LIBERALIZATION EPISODE LOCAL BANKS MACROECONOMICS MATURITIES MONETARY AUTHORITIES MONETARY POLICY MONEY SUPPLY NET WORTH POLICY RESEARCH PORTFOLIO PRICE INDEXES PRIVATE SECTOR PRIVATIZATION RANDOM WALK REPATRIATION OF CAPITAL RESERVE RESERVE REQUIREMENT RESERVE REQUIREMENTS STOCK EXCHANGE STOCK INDEX STOCK MARKET STOCK MARKET CYCLES STOCK MARKET INDEX STOCK MARKET INDEXES STOCK MARKETS STOCK PRICES SWAPS TAXATION TROUGH The authors study whether capital controls affect the link between domestic and foreign stock market prices and interest rates. To examine the characteristics of international market integration and the effects of capital controls in the short and long run, they apply band-pass filter techniques to data from six emerging economics during the 1990s. They find that markets seem to be linked more at longer horizons. Equity prices seem to be more connected internationally than interest rates. They also find little evidence that controls effectively segment domestic markets from foreign markets. And when they do, the effects seem to be short-lived. Moreover, the effects of controls on outflows do not seem to differ from those of controls on inflows. For example, controls on outflows in Venezuela during the 1994 crisis, and unremunerated reserve requirements in Chile and Colombia during a capital-inflow episode, seem to have shielded domestic markets at the most at very high frequencies. The degree of financial sophistication does not seem to affect the authors' conclusion on the insulation provided by capital controls. True, more developed financial markets, such as those in Brazil, are more closely linked to international markets than those in Colombia and Venezuela, which are far more illiquid. But capital controls do not seem to provide an extra cushion against international spillovers even in less developed markets. 2014-08-21T18:00:26Z 2014-08-21T18:00:26Z 2001-08 http://documents.worldbank.org/curated/en/2001/08/1561500/short-long-run-integration-capital-controls-matter http://hdl.handle.net/10986/19570 English en_US Policy Research Working Paper;No. 2660 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research East Asia and Pacific Latin America & Caribbean Latin America |