Abstract
This paper provides a method for measuring capital mobility through the analysis of causality direction between the exchange rate and the interest rate. Empirical evidence is provided for Belgium. Cointegration and Granger causality tests show that the direction of causality between both variables reverses in 1979 when an increase in the degree of European financial integration took place.
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Pi-Anguita, J.V. A cointegration approach to capital mobility: Evidence for Belgium. Atlantic Economic Journal 27, 53–58 (1999). https://doi.org/10.1007/BF02299177
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DOI: https://doi.org/10.1007/BF02299177