Financial market integration and macroeconomic volatility

Article Abstract:

A two-country intertemporal general equilibrium model with imperfect competition in the goods market and nominal inertia generated by single period contracts is modified to examine financial market integration and nominal inertia more thoroughly. The process of financial market integration is modelled as the elimination of trading barriers between financial markets in different countries. An increase in financial market integration is found to lead to an increase in the volatility of several variables when shocks originate from the money market. However, it leads to a decrease in the volatility of most variables when shocks stem from real demand or supply.

Macroeconomics

---

Monetary integration in Europe: implications for real interest rates and stock markets

Article Abstract:

A simple general equilibrium model was used to examine the implications of financial market integration on real interest rates and equity prices in the UK, Germany, Italy and France, taking into account a flexible exchange rate regime, a hard European Monetary System and a common currency. A minimal impact of these regime changes on real interest rates was found. However, the effect on equity prices is potentially sizable. The choice of central bank operating procedures is also deemed crucial for real interest rates.

Economic aspects, Interest rates, Monetary policy, European Monetary System

---

Intrinsic bubbles and mean-reverting fundamentals

Article Abstract:

A simple asset pricing model is used to examine intrinsic bubbles. The model's fundamentals follow an Ornstein-Uhlenbeck process. These bubbles are shown to suggest an explosive path for the expectation of the asset price. The conditional variance of the asset price is shown to diverge in finite time. Therefore, intrinsic bubbles point to highly nonstationary behavior for the asset price despite a stationary underlying fundamental.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Exchanges, Assets (Accounting)

Similar abstracts:

• Abstracts: Exchange rate regime, volatility and international correlations on bond and stock markets. Are there rational bubbles in foreign exchange markets? Evidence from an alternative test
• Abstracts: Legislative behaviour and party competition in the european parliament: an application of nominate to the EU. Parties at the European level and the legitimacy of EU socio-economic policy
• Abstracts: Institutional economics and the evolutionary metaphor. Patterned variation: the role of psychological dispositions in social and institutional evolution
• Abstracts: Keynesian involuntary unemployment and sticky nominal wages. Nominal rigidities in wage setting by rational trade unions
• Abstracts: Price premia to name brands: an empirical analysis. Third-degree price discrimination with interdependent demands

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.