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Financial Market Integration and Macroeconomic Volatility

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  • Sutherland, Alan

Abstract

The process of financial market integration is modeled in an intertemporal general equilibrium framework as the elimination of trading frictions between financial markets in different countries. Goods markets are assumed to be imperfectly competitive and goods prices are subject to sluggish adjustment. Simulation experiments show that increasing financial market integration increases the volatility of a number of variables when shocks originate from the money market but decreases the volatility of most variables when shocks originate from real demand or supply. Copyright 1996 by The editors of the Scandinavian Journal of Economics.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Scandinavian Journal of Economics.

Volume (Year): 98 (1996)
Issue (Month): 4 (December)
Pages: 521-39

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Handle: RePEc:bla:scandj:v:98:y:1996:i:4:p:521-39

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Web page: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9442

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