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2017 | OriginalPaper | Chapter

Monetary Coordination and Regulation Policies of Spillover Effects on Asset Dynamics

Author : Erdem Kilic

Published in: Global Financial Crisis and Its Ramifications on Capital Markets

Publisher: Springer International Publishing

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Abstract

In this study we propose a model for excessive volatility regulation. The model deals with the control of shocks in capital markets. After describing a transmission mechanism that transfers shocks in a macroeconomic variable, we establish a model how to control the shocks in the framework. Two economies are considered with alternative constellations in coordination of policies. Spillover effects under coordination are less severe, than the spillover effects under Nash equilibrium in the case of comovements of asset volatilities. In other terms, coordination helps to cure the contagious effects, in the case, where two countries are affected by the same spillover effect in the same direction.

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previous chapter Fiscal Sustainability in the G-7 Countries

next chapter Is the Link Between the Real and Financial Sectors Affected by Mechanism of Governance? A Cross-Country Analysis in Asia

Compare Frankel et al. (1990) for implications of policy coordination in capital markets.

See Aït-Sahalia et al. (2015) for a recent modelling of contagion effects in capital markets, and Brunnermeier and Sannikov (2012) for modelling of finacial frictions.

Compare Xie (2009) and Yang and Zhang (2005) for similar asset pricing methodology.

See Laurens and Piedra (1998) and Blinder (1982) for Coordination of Fiscal Policies and Monetary Policies.

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Canzoneri MB, Henderson DW (1991) Monetary policy in interdependent economies: a game-theoretic approach. MIT Press, Cambridge, MA

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Title: Monetary Coordination and Regulation Policies of Spillover Effects on Asset Dynamics
Author: Erdem Kilic
Publisher: Springer International Publishing
Book: Global Financial Crisis and Its Ramifications on Capital Markets
Print ISBN: 978-3-319-47020-7

Electronic ISBN: 978-3-319-47021-4

Copyright Year: 2017
DOI: https://doi.org/10.1007/978-3-319-47021-4_11