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markets with that of Market C (Benchmark Market), where capital movements are known
to be free from restrictions.
By calculating a size of a band around the interest rate parity for each of the market
for A, B, and C, denoting each by TCa, TCb, and TCc, respectively, we could compare
each with the other two. Such comparisons will allow us to answer the three questions in
quantity terms and discuss related issues by identifying changes in capital control
measures and other factors that may have influenced changes in transaction costs.
III. Empirical Results
1: Deviations from Covered Interest Parity Condition: A Comparison
This section presents the empirical results of estimating transaction costs in three
markets, Market A, B, and C, by making use of the left hand side of equation (2) in the
previous section. The period for the empirical study is Q4 1999 through Q4 2004, which
was dictated by the availability of data for Market A, B, and C. For each market, sample
data are based on daily observation of the relevant spot exchange rate, the 3-month
forward exchange rate, the interest rate on 3-month local currency-denominated assets
and the interest rate on 3-month foreign currency-denominated assets. 10
The results of deviation from the interest rate parit
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markets with that of Market C (Benchmark Market), where capital movements are known
to be free from restrictions.
By calculating a size of a band around the interest rate parity for each of the market
for A, B, and C, denoting each by TCa, TCb, and TCc, respectively, we could compare
each with the other two. Such comparisons will allow us to answer the three questions in
quantity terms and discuss related issues by identifying changes in capital control
measures and other factors that may have influenced changes in transaction costs.
III. Empirical Results
1: Deviations from Covered Interest Parity Condition: A Comparison
This section presents the empirical results of estimating transaction costs in three
markets, Market A, B, and C, by making use of the left hand side of equation (2) in the
previous section. The period for the empirical study is Q4 1999 through Q4 2004, which
was dictated by the availability of data for Market A, B, and C. For each market, sample
data are based on daily observation of the relevant spot exchange rate, the 3-month
forward exchange rate, the interest rate on 3-month local currency-denominated assets
and the interest rate on 3-month foreign currency-denominated assets. 10
The results of deviation from the interest rate parit
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