Assessing Macro-Financial Linkages: A Model Comparison Exercise

Assessing Linkages between Micro and Macro Level Issues Meeting

A Heuristic Macro Model of a Financial Market

A macro model of a financial market is presented in which the actors are portfolio investors and the securities are a share and a one-period bond. Each investor makes periodic portfolio and consumption decisions on the basis of the share? s price and expected return, and other relevant variables. The decisions of the investors are independent of each other, but price and expected return adjust ...

Assessing financial integration: a comparison between Europe and East Asia

Two parallel analyses are carried out in order to assess the degree of integration of financial markets within Europe, within East Asia, between these two regions, and with the external financial community. The investigation is based on cointegration and Granger causality techniques, to detect the presence of short-run and long-run cross-country relationships in equity and bond markets. The emp...

A Macro-Financial Approach to Derivative Volumes

This paper presents a model, where infinitely lived agents face incomplete markets for both aggregate and idiosyncratic risks. In this economy, agents trade derivative assets to diversify the aggregate risk they face. We are able to characterize analytically the general equilibrium, which allows us to explain the informational content of the derivative volumes in the business cycle, from a macr...

China’s Financial Linkages with Asia and the Global Financial Crisis

This paper discusses recent steps China has taken to open its capital account and presents empirical evidence on asset market linkages between China and Asia. We find only weak crosscountry linkages in longer-term interest rates, but much stronger linkages in equity markets. Moreover, we find that the strength of the correlation of equity prices changes between China and other Asia countries in...