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http://hdl.handle.net/10419/19719
  

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dc.contributor.authorHoffmann, Mathiasen_US
dc.contributor.authorTillmann, Peteren_US
dc.date.accessioned2009-01-28T16:02:14Z-
dc.date.available2009-01-28T16:02:14Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/19719-
dc.description.abstractHow 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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2008,07en_US
dc.subject.jelF21en_US
dc.subject.jelF36en_US
dc.subject.jelF41en_US
dc.subject.ddc330en_US
dc.subject.keywordInternational financial integrationen_US
dc.subject.keywordexchange rate regimeen_US
dc.subject.keywordnational price levelen_US
dc.subject.keywordPPPen_US
dc.subject.keywordforeign asset positionen_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwMarktintegrationen_US
dc.subject.stwPreisniveauen_US
dc.subject.stwWechselkurssystemen_US
dc.subject.stwKaufkraftparitäten_US
dc.subject.stwAuslandsvermögenen_US
dc.subject.stwTheorieen_US
dc.subject.stwWelten_US
dc.titleIntegration of financial markets and national price levels: the role of exchange rate volatilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn561200246en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:7216-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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