Capital Markets Integration, Volatility and Persistence

Joshua Aizenman

No 5241, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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).

JEL-codes: F12 F21 (search for similar items in EconPapers)
Date: 1995-08
Note: ITI
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published as Journal of Macroeconomics, Vol. 19 (1997): 217-236.

Downloads: (external link)
http://www.nber.org/papers/w5241.pdf (application/pdf)

Related works:
Journal Article: Capital Markets Integration, Volatility, and Persistence (1997)
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:nbr:nberwo:5241

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w5241

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().