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

  • Ko, Kwan Wai

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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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. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian, 2006. "Growth volatility and financial liberalization," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 370-403, April.
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  7. Buch, Claudia M. & Doepke, Joerg & Pierdzioch, Christian, 2005. "Financial openness and business cycle volatility," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 744-765, September.
  8. Sutherland, Alan, 1996. " Financial Market Integration and Macroeconomic Volatility," Scandinavian Journal of Economics, Wiley Blackwell, vol. 98(4), pages 521-39, December.
  9. M. Ayhan Kose & Kenneth Rogoff & Eswar Prasad & Shang-Jin Wei, 2003. "Effects of Financial Globalization on Developing Countries: Some Empirical Evidence," IMF Occasional Papers 220, International Monetary Fund.
  10. Michael Mussa & Giovanni Dell'Ariccia & Barry J. Eichengreen & Enrica Detragiache, 1998. "Capital Account Liberalization: Theoretical and Practical Aspects," IMF Occasional Papers 172, International Monetary Fund.
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