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This paper examines the impact of international financial integration on macroeconomic volatility. Economic theory does … not provide a clear guide to the effects of financial integration on volatility, implying that this is essentially an … empirical question. We provide a comprehensive examination of changes in macroeconomic volatility in a large group of industrial …
Persistent link: https://www.econbiz.de/10014084811
We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship … country-specific capital flow volatility and that the impact of these variables has become even more important since the 2008 …
Persistent link: https://www.econbiz.de/10011929696
, one potentially adverse effect of globalization is the possibility that business cycle volatility might increase. Rapid … to unstable international capital flows. At the same time, business cycle volatility in OECD countries seems to have been …
Persistent link: https://www.econbiz.de/10001680906
, one potentially adverse effect of globalization is the possibility that business cycle volatility might increase. Rapid … to unstable international capital flows. At the same time, business cycle volatility in OECD countries seems to have been …
Persistent link: https://www.econbiz.de/10011474806
implies that business cycle volatility is higher the more integrated the capital markets of the member countries of the …
Persistent link: https://www.econbiz.de/10001682813
implies that business cycle volatility is higher the more integrated the capital markets of the member countries of the …
Persistent link: https://www.econbiz.de/10011475042
Conventional wisdom suggests that financial liberalization can help countries insure against idiosyncratic risk. There is little evidence, however, that countries have increased risk sharing despite recent widespread financial liberalization. This work shows that the key to understanding this...
Persistent link: https://www.econbiz.de/10013153048
frictions for business cycle volatility. In our empirical analysis, we demonstrate that stylised facts suggest that countries … with more developed financial systems have lower business cycle volatility. Financial openness has no strong impact on … business cycle volatility, in contrast. In our theoretical analysis, we use a dynamic general equilibrium model to study the …
Persistent link: https://www.econbiz.de/10014072512
This paper examines the impact of international financial integration on macroeconomic volatility in a large group of … industrial and developing economies over the period 1960-99. We report two major results: First, while the volatility of output … volatility of consumption growth relative to that of income growth has increased for more financially integrated developing …
Persistent link: https://www.econbiz.de/10014404001
volatility. In the framework of a threshold model, it is shown empirically that this relation depends on country’s financial risk … risk, financial openness decreases output volatility, while, in countries with high financial risk, financial openness … increases output volatility. Extensive robustness checks confirm this result. -- Output volatility ; financial openness …
Persistent link: https://www.econbiz.de/10009006765