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Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets

Author

Listed:
  • Matteo Burzoni

    (ETH Zurich)

  • Frank Riedel

    (Bielefeld University)

  • H. Mete Soner

    (ETH Zurich)

Abstract

We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. In a general framework, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing expectations. Classical financial markets under risk and no ambiguity are contained as special cases, including various forms of the Efficient Market Hypothesis. For Knightian uncertainty, our approach unifies recent versions of the Fundamental Theorem of Asset Pricing under a common framework.

Suggested Citation

  • Matteo Burzoni & Frank Riedel & H. Mete Soner, 2017. "Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets," Swiss Finance Institute Research Paper Series 17-48, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1748
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    Keywords

    Robust Finance; No Arbitrage; Viability; Knightian Uncertainty;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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