Capital markets integration, volatility and persistence:
This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global capital market. This result is illustrated in a model characterized by gains from a greater division of activities, where shocks are persistent. We show that non-linearities attributed...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
1995
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
5241 |
| Schlagworte: | |
| Zusammenfassung: | This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global capital market. This result is illustrated in a model characterized by gains from a greater division of activities, where shocks are persistent. We show that non-linearities attributed to financial autarky explain the adverse welfare effects of volatility. We identify the parameters determining the magnitude of the loss -- it is proportional to the autocorrelation of shocks, to volatility (as measured by the standard deviation of shocks), and to the degree of product differentiation (as measured by the substitutability among intermediate products).This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global capital market. This result is illustrated in a model characterized by gains from a greater division of activities, where shocks are persistent. We show that non-linearities attributed to financial autarky explain the adverse welfare effects of volatility. We identify the parameters determining the magnitude of the loss -- it is proportional to the autocorrelation of shocks, to volatility (as measured by the standard deviation of shocks), and to the degree of product differentiation (as measured by the substitutability among intermediate product. |
| Beschreibung: | 20 S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 5241 | |
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| id | DE-604.BV010596658 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:55:41Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007066917 |
| oclc_num | 33372991 |
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| owner | DE-19 DE-BY-UBM DE-521 DE-11 |
| owner_facet | DE-19 DE-BY-UBM DE-521 DE-11 |
| physical | 20 S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Aizenman, Joshua 1949- Verfasser (DE-588)124080057 aut Capital markets integration, volatility and persistence Joshau Aizenman Cambridge, Mass. 1995 20 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5241 This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global capital market. This result is illustrated in a model characterized by gains from a greater division of activities, where shocks are persistent. We show that non-linearities attributed to financial autarky explain the adverse welfare effects of volatility. We identify the parameters determining the magnitude of the loss -- it is proportional to the autocorrelation of shocks, to volatility (as measured by the standard deviation of shocks), and to the degree of product differentiation (as measured by the substitutability among intermediate products).This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global capital market. This result is illustrated in a model characterized by gains from a greater division of activities, where shocks are persistent. We show that non-linearities attributed to financial autarky explain the adverse welfare effects of volatility. We identify the parameters determining the magnitude of the loss -- it is proportional to the autocorrelation of shocks, to volatility (as measured by the standard deviation of shocks), and to the degree of product differentiation (as measured by the substitutability among intermediate product. Kapitaalverkeer gtt Omloopsnelheid (geld) gtt Mathematisches Modell Capital market Mathematical models National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 5241 (DE-604)BV002801238 5241 |
| spellingShingle | Aizenman, Joshua 1949- Capital markets integration, volatility and persistence National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Kapitaalverkeer gtt Omloopsnelheid (geld) gtt Mathematisches Modell Capital market Mathematical models |
| title | Capital markets integration, volatility and persistence |
| title_auth | Capital markets integration, volatility and persistence |
| title_exact_search | Capital markets integration, volatility and persistence |
| title_full | Capital markets integration, volatility and persistence Joshau Aizenman |
| title_fullStr | Capital markets integration, volatility and persistence Joshau Aizenman |
| title_full_unstemmed | Capital markets integration, volatility and persistence Joshau Aizenman |
| title_short | Capital markets integration, volatility and persistence |
| title_sort | capital markets integration volatility and persistence |
| topic | Kapitaalverkeer gtt Omloopsnelheid (geld) gtt Mathematisches Modell Capital market Mathematical models |
| topic_facet | Kapitaalverkeer Omloopsnelheid (geld) Mathematisches Modell Capital market Mathematical models |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT aizenmanjoshua capitalmarketsintegrationvolatilityandpersistence |