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The Effects of Goods and Financial Market Integration on Macroeconomic Volatility
Author(s) -
Senay Özge
Publication year - 1998
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/1467-9957.66.s.3
Subject(s) - economics , volatility (finance) , financial integration , financial market , monetary economics , goods and services , macroeconomics , financial economics , finance , market economy
The aim of this work is to determine whether increasing goods and financial market integration raises or lowers macroeconomic volatility. Shocks to money, government expenditure, and labour supply are analysed under different degrees of goods and financial market integration in a dynamic general equilibrium framework. Simulations show that the effects of the different shocks on economic volatility change significantly depending on the presence of incompletely integrated goods and/or financial markets. However, the results suggest that the effect of integration in one market is largely independent of the extent of integration in the other market.