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The two-sided effect of financial globalization on output volatility

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  • Meller, Barbara
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    Abstract

    This paper provides evidence for a significant relation between international financial markets' integration and output volatility. In the framework of a threshold model, it is shown empirically that this relation depends on country's financial risk. Financial risk indicates a country's ability to pay its official, commercial and trade debts. In countries with low financial risk, financial openness decreases output volatility, while, in countries with high financial risk, financial openness increases output volatility. Extensive robustness checks confirm this result. --

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    Bibliographic Info

    Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 2: Banking and Financial Studies with number 2011,07.

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    Date of creation: 2011
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    Handle: RePEc:zbw:bubdp2:201107

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    Keywords: output volatility; financial openness; financial risk;

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