Growth volatility and financial liberalization
By: Geert Bekaert, Campbell R. Harvey, Christian Lundblad.
Contributors: Harvey, Campbell R.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10560; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10560.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Capital -- Accounting.; Deregulation.
Description: "We examine the effects of both equity market liberalization and capital account openness on real consumption growth variability.  We show that financial liberalization is mostly associated with lower consumption growth volatility.  Our results are robust, surviving controls for business-cycle effects, economic and financial development, the quality of institutions, and other variables.  Countries that have more open capital accounts experience a greater reduction in consumption growth volatility after equity market openings.  The results hold for both total and idiosyncratic consumption growth volatility.  We also find that financial liberalizations are associated with declines in the ratio of consumption growth volatility to GDP growth volatility, suggesting improved risk sharing.  Our results are weaker for liberalizing emerging markets but we never observe an increase in real volatility.  Moreover, we demonstrate significant differences in the volatility response depending on the size of the banking and government sectors and certain institutional factors"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/26/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.