Explaining International Comovements Of Output And Asset Returns
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Explaining International Comovements Of Output And Asset Returns
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Author : Robert Miguel W. K. Kollman
language : en
Publisher: International Monetary Fund
Release Date : 1999-06-01
Explaining International Comovements Of Output And Asset Returns written by Robert Miguel W. K. Kollman and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-06-01 with Business & Economics categories.
Empirically, output and asset returns are highly positively correlated across the United States and the other major industrialized countries. Standard business cycle models that assume flexible prices and wages, in the Real Business Cycle tradition, have great difficulties explaining this fact. This paper presents a dynamic-optimizing stochastic general equilibrium model of a two-country world with sticky nominal prices and wages and a flexible exchange rate. The structure here predicts positive international transmission of country-specific monetary policy and technology shocks, and it generates sizable cross-country correlations of output and of asset returns.
Explaining International Comovements Of Output And Asset Returns
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Author : Robert Kollmann
language : en
Publisher:
Release Date : 2001
Explaining International Comovements Of Output And Asset Returns written by Robert Kollmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Output and asset returns are highly positively correlated across the U.S. and the remaining major industrialized countries. Standard business cycle models that assume flexible prices and wages, in the Real Business Cycle (RBC) tradition, have great difficulties explaining this fact. This paper presents a dynamic-optimizing stochastic general equilibrium model of a two-country world with sticky nominal prices and wages. In RBC models, money supply shocks have a negligible effect on real variables. This changes when nominal rigidities are assumed. The nominal rigidities model here predicts that an exogenous money supply increase, in a given country, induces a sizable rise in that country's output, consumption and investment, a fall in itsinterest rate, as well as a nominal and real depreciation of its currency. Foreign output, consumption and investment are likewise predicted to rise. Nominal rigidities influence also the response of the economy to productivity shocks: in the nominal rigidities structure here, these shocks induce output responses that aremuch more strongly positively correlated across countries, than predicted responses to productivity shocks generated by standardRBC models. The structure here generates thus cross-country correlations of output (and of aset returns) that are markedly higher, and hence closer to the data, than the correlations that obtain under flexible prices and wages.
Explaining International Comovements Of Output And Asset Returns And The Variability Of Exchange Rates
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Author : Robert Miguel W. K. Kollmann
language : en
Publisher:
Release Date : 1998
Explaining International Comovements Of Output And Asset Returns And The Variability Of Exchange Rates written by Robert Miguel W. K. Kollmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Trade Finance Specialization And Synchronization
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Author : Mr.Jean Imbs
language : en
Publisher: International Monetary Fund
Release Date : 2003-04-01
Trade Finance Specialization And Synchronization written by Mr.Jean Imbs and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-01 with Business & Economics categories.
The paper investigates the determinants of business cycles synchronization across regions. It uses both international and intranational data to evaluate the linkages between trade in goods, trade in financial assets, specialization and business cycles synchronization using a system of simultaneous equations. The results are as follows: (i) Simultaneity is important, as both trade and financial openness have a direct and an indirect effect on cycle synchronization. (ii) A variety of alternative measures of financial integration suggest that regions with strong financial links are significantly more synchronized, though they are also more specialized. (iii) Specialization patterns have a sizable effect on business cycles, beyond their reflection of intra-industry trade, and of openness to goods and assets trade. (iv) The estimated role of trade is in line with existing models once intra-industry trade is controlled for. The results relate to a recent strand of international business cycle models with incomplete markets and transport costs, and, on the empirical side, point to an important omission in the usual criteria defining an optimal currency area, namely specialization patterns.
Essays In Honour Of Fabio Canova
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Author : Juan J. Dolado
language : en
Publisher: Emerald Group Publishing
Release Date : 2022-09-21
Essays In Honour Of Fabio Canova written by Juan J. Dolado and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-09-21 with Business & Economics categories.
Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
The Monetary Transmission Process
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Author : D. Bundesbank
language : en
Publisher: Springer
Release Date : 2001-01-29
The Monetary Transmission Process written by D. Bundesbank and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-01-29 with Business & Economics categories.
The start of the European monetary union gave additional impetus to the lively debate on the effects of monetary policy and the appropriate strategy for central banks. This book collects papers and comments by leading academics and central bankers such as O.Issing, M.King, B.McCallum, A.Meltzer, L.Svensson and H.Tietmeyer. The volume examines methodological questions, the actual role played by the financial sectors and labour markets in implementing monetary policy in Europe, and the likely future developments in these areas.
International Investment Patterns
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Author : Mr.Gian Milesi-Ferretti
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2004-07-01
International Investment Patterns written by Mr.Gian Milesi-Ferretti and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-07-01 with Business & Economics categories.
The paper provides a systematic analysis of bilateral, source and host factors driving portfolio equity investment across countries, using newly-released data on international equity holdings at the end of 2001. It develops a model that links bilateral equity holdings to bilateral trade in goods and services and finds that the data strongly support such a correlation. Larger bilateral positions are also associated with proxies for informational proximity. It further documents that the scale of aggregate foreign equity asset and liability holdings is larger for richer countries and countries with more developed stock markets.
Ibss Economics 2001
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Author : Compiled by the British Library of Political and Economic Science
language : en
Publisher: Psychology Press
Release Date : 2002-12
Ibss Economics 2001 written by Compiled by the British Library of Political and Economic Science and has been published by Psychology Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-12 with Economics categories.
IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
The Internationalization Of Equity Markets
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Author : Jeffrey A. Frankel
language : en
Publisher: University of Chicago Press
Release Date : 2008-04-15
The Internationalization Of Equity Markets written by Jeffrey A. Frankel and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-15 with Business & Economics categories.
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Understanding Global Liquidity
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Author : Sandra Eickmeier
language : en
Publisher:
Release Date : 2013
Understanding Global Liquidity written by Sandra Eickmeier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with International finance categories.