Short and Long-Run Integration : Do Capital Controls Matter?

Kaminsky, Graciela ; Schmukler, Sergio

World Bank, Washington, DC

关键词: AMERICAN DEPOSITORY RECEIPTS;    ARBITRAGE;    ASSET MARKETS;    ASYMMETRIC INFORMATION;    AUCTIONS;   

DOI  :  10.1596/1813-9450-2660
RP-ID  :  WPS2660

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The authors study whether capitalcontrols affect the link between domestic and foreign stockmarket prices and interest rates. To examine thecharacteristics of international market integration and theeffects of capital controls in the short and long run, theyapply band-pass filter techniques to data from six emergingeconomics during the 1990s. They find that markets seem tobe linked more at longer horizons. Equity prices seem to bemore connected internationally than interest rates. Theyalso find little evidence that controls effectively segmentdomestic markets from foreign markets. And when they do, theeffects seem to be short-lived. Moreover, the effects ofcontrols on outflows do not seem to differ from those ofcontrols on inflows. For example, controls on outflows inVenezuela during the 1994 crisis, and unremunerated reserverequirements in Chile and Colombia during a capital-inflowepisode, seem to have shielded domestic markets at the mostat very high frequencies. The degree of financialsophistication does not seem to affect the authors'conclusion on the insulation provided by capital controls.True, more developed financial markets, such as those inBrazil, are more closely linked to international marketsthan those in Colombia and Venezuela, which are far moreilliquid. But capital controls do not seem to provide anextra cushion against international spillovers even in lessdeveloped markets.