Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets

Matteo Burzoni, Frank Riedel and H. Mete Soner
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Matteo Burzoni: ETH Zurich
H. Mete Soner: ETH Zurich

No 17-48, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. In a general framework, we discuss the absence of arbitrage, its relation to economic viability, and the existence of suitable nonlinear pricing expectations. Classical financial markets under risk and no ambiguity are contained as special cases, including various forms of the Efficient Market Hypothesis. For Knightian uncertainty, our approach unifies recent versions of the Fundamental Theorem of Asset Pricing under a common framework.

Keywords: Robust Finance; No Arbitrage; Viability; Knightian Uncertainty (search for similar items in EconPapers)
JEL-codes: D53 G10 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2017-12
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1748

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