Financial integration of NAFTA : measurement and analysis of the North American financial markets convergence / Yueming (Roy) Sun
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Date
2010
Authors
Sun, Yueming (Roy)
University of Lethbridge. Faculty of Management
Journal Title
Journal ISSN
Volume Title
Publisher
Lethbridge, Alta. : University of Lethbridge, Faculty of Management, 2010
Abstract
Applying market arbitrage theory on daily data, we measure the empirical financial market convergence of NAFTA’s financial markets since 1994. Radar diagram and wavelet multi-resolution analysis (MRA) scalogram movies of the statistical moments of the term interest rate differentials visualize the multidimensional convergence. From the radar movies, we find: 1) a uniform disappearance of the average forward premia; 2) a non-uniform decline of bilateral financial market risk; 3) variation of bilateral financial market pressure measured by skewness; and 4) emergence of uniform market microstructures as measured by vanishing excess-kurtosis. From the MRA movies, we find that the national term structures of interest rates converge, since the stochastic resonance coefficients of the interest rate differentials lose significance: market energy at all frequencies dissipates into “white noise.” Testing Obrimah, Prakash and Rangan’s (2009) Lemma, we find that, after 2002, higher financial flow pressure is a necessary condition for lower financial market risk.
Description
vii, 67 leaves ; 29 cm
Keywords
Canada. Treaties, etc. 1992 Oct. 7 , Free trade -- North America , North America -- Economic integration , Dissertations, Academic