| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7784 |
| DP7784 Deep Financial Integration and Volatility | |
| Bent E Sørensen; Sebnem Kalemli-Ozcan; Vadym Volosovych | |
| 发表日期 | 2010-04-19 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We investigate the relationship between financial integration and output volatility at micro and macro levels. Using a very large firm-level dataset (AMADEUS) from 16 European countries, we construct a measure of ``deep'' financial integration at the regional level based on observations of foreign ownership at the firm level. We find a significant positive effect of foreign ownership on the volatility of firms' outcomes in static as well as dynamic empirical frameworks. This effect survives aggregation and carries over to regional output, leading to a positive association between deep international financial integration and aggregate fluctuations. To identify the causal effect of integration on volatility we exploit variation in the transposition dates of the European Union-wide legislative acts from the Financial Services Action Plan (FSAP). We find that high trust regions located in countries who harmonized their capital markets sooner have higher levels of financial integration and higher volatility. |
| 主题 | International Macroeconomics |
| 关键词 | Firm volatility Foreign ownership Macro volatility Regional integration Social capital |
| URL | https://cepr.org/publications/dp7784 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536620 |
| 推荐引用方式 GB/T 7714 | Bent E Sørensen,Sebnem Kalemli-Ozcan,Vadym Volosovych. DP7784 Deep Financial Integration and Volatility. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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