Is the integration of world asset markets necessarily beneficial in the presence of monetary shocks?

Cédric Tille

No 114, Staff Reports from Federal Reserve Bank of New York

Abstract: This paper evaluates the consequences of the integration of international asset markets when goods markets are characterized by price rigidities. Using an open economy general equilibrium model with volatility in the money markets, we show that such an integration is not universally beneficial. The country with the more volatile shocks will benefit whereas the country where the volatility of shocks is moderate will suffer. The welfare effects reflect changes in the terms of trade that occur because forward looking price setters adjust to the changes in exchange rate volatility brought about by the integration of international asset markets.

Keywords: international risk sharing; terms of trade (search for similar items in EconPapers)
JEL-codes: F33 F36 F41 F42 (search for similar items in EconPapers)
Date: 2000-11-01
Note: For a published version of this report, see Cédric Tille, "The Welfare Effect of International Asset Markets Integration Under Nominal Rigidities," Journal of International Economics 65, no. 1 (January 2005):221-47.
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr114.html (text/html)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr114.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fednsr:114

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Gabriella Bucciarelli ().