{"id":{"repo_id":"lethbridge","oai_identifier":"oai:opus.uleth.ca:10133/2605"},"canonical_url":"https://search.dev.ndltd.org/etd/lethbridge/oai:opus.uleth.ca:10133/2605","repository":{"repo_id":"lethbridge","name":"University of Lethbridge","base_url":"https://opus.uleth.ca/server/oai/request"},"display":{"title":"Financial integration of NAFTA : measurement and analysis of the North American financial markets convergence / Yueming (Roy) Sun","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.","abstract_html":"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.","abstract_has_math":false,"creators":["Sun, Yueming (Roy)","University of Lethbridge. Faculty of Management"],"institution":null,"degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2010,"date_issued":"2010","date_published":"2010","updated_at":"2026-07-27T20:02:23Z","subjects":["Canada. Treaties, etc. 1992 Oct. 7","Free trade -- North America","North America -- Economic integration","Dissertations, Academic"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["hdl:10133/2605"],"render_values":[{"text":"hdl:10133/2605","href":null,"code":true}]}]},"links":{"outbound_url":null,"outbound_label":null,"outbound_source":null},"metadata_groups":[{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.issued","label":"Date","values":["2010"]},{"key":"dc:type","label":"Dc Type","values":["Thesis"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Canada. Treaties, etc. 1992 Oct. 7","Free trade -- North America","North America -- Economic integration","Dissertations, Academic"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["hdl:10133/2605"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.other","label":"Dc Description Other","values":["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."]},{"key":"dc:title","label":"Title","values":["Financial integration of NAFTA : measurement and analysis of the North American financial markets convergence / Yueming (Roy) Sun"]}]}],"canonical_facts":{"dc:date.issued":["2010"],"dc:description.other":["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."],"dc:identifier":["hdl:10133/2605"],"dc:subject":["Canada. Treaties, etc. 1992 Oct. 7","Free trade -- North America","North America -- Economic integration","Dissertations, Academic"],"dc:title":["Financial integration of NAFTA : measurement and analysis of the North American financial markets convergence / Yueming (Roy) Sun"],"dc:type":["Thesis"]},"updated_at":"2026-07-27T20:02:23Z"}