المستودع الأكاديمي جامعة المدينة

Integration of financial markets and national price levels: the role of exchange rate volatility

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dc.creator Hoffmann, Mathias
dc.creator Tillmann, Peter
dc.date 2008
dc.date.accessioned 2013-10-16T07:06:29Z
dc.date.available 2013-10-16T07:06:29Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19719
dc.identifier ppn:561200246
dc.identifier RePEc:zbw:bubdp1:7216
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19719
dc.description How does international financial integration affect national price levels? To analyze this question, this paper formulates a two-country open economy sticky-price model under either segmented or complete asset markets. It is shown that the effect of financial integration, i.e. moving from segmented to complete asset markets, is regime-dependent. Under managed exchange rates, financial integration raises the national price level. Under floating exchange rates, however, financial integration lowers national price levels. Thus, the paper proposes a novel argument to rationalize systematic deviations from PPP. Panel evidence for 54 countries supports the main findings. A 10% larger ratio of foreign assets and liabilities to GDP, our measure of international financial integration, increases the national price level by 0.27 percentage points under fixed and intermediate exchange rate regimes and lowers the price level by 0.3 percentage points under floating exchange rates.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2008,07
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject F21
dc.subject F36
dc.subject F41
dc.subject ddc:330
dc.subject International financial integration
dc.subject exchange rate regime
dc.subject national price level
dc.subject PPP
dc.subject foreign asset position
dc.subject Internationaler Finanzmarkt
dc.subject Marktintegration
dc.subject Preisniveau
dc.subject Wechselkurssystem
dc.subject Kaufkraftparität
dc.subject Auslandsvermögen
dc.subject Theorie
dc.subject Welt
dc.title Integration of financial markets and national price levels: the role of exchange rate volatility
dc.type doc-type:workingPaper


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