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. / vii, 67 leaves ; 29 cm
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:ALU.w.uleth.ca/dspace#10133/2605 |
| Date | January 2010 |
| Creators | Sun, Yueming (Roy), University of Lethbridge. Faculty of Management |
| Contributors | Los, Cornelis A |
| Publisher | Lethbridge, Alta. : University of Lethbridge, Faculty of Management, 2010, Management |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | en_US |
| Detected Language | English |
| Type | Thesis |
| Relation | Thesis (University of Lethbridge. Faculty of Management) |
Page generated in 0.0017 seconds