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Financial integration, information and communication technology, and macroeconomic volatility: Evidence from ten Asian economies

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  • Ko, Kwan Wai

Abstract

This paper aims to examine the impact of financial integration and information and communication technology (ICT) development on output volatility. It applies a two-country dynamic general equilibrium model, in which ICT is assumed to increase the volume and speed of capital flows. This model predicts that economies with a high ICT development or/and a high degree of financial integration exhibit greater output fluctuations in the face of monetary policy shocks, but lower output fluctuations in the face of fiscal policy shocks. The empirical findings estimated by using the panel vector autoregression approach and impulse response analysis support these predictions.

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Bibliographic Info

Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 22 (2008)
Issue (Month): 2 (June)
Pages: 124-144

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Handle: RePEc:eee:riibaf:v:22:y:2008:i:2:p:124-144

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  1. M. Ayhan Kose & Kenneth Rogoff & Eswar Prasad & Shang-Jin Wei, 2003. "Effects of Financial Globalization on Developing Countries," IMF Occasional Papers 220, International Monetary Fund.
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  7. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
  8. Sutherland, Alan, 1996. " Financial Market Integration and Macroeconomic Volatility," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 521-39, December.
  9. Michael Mussa & Giovanni Dell'Ariccia & Barry J. Eichengreen & Enrica Detragiache, 1998. "Capital Account Liberalization," IMF Occasional Papers 172, International Monetary Fund.
  10. Pierre-Richard Agénor, 2004. "Does globalization hurt the poor?," International Economics and Economic Policy, Springer, vol. 1(1), pages 21-51, 03.
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