BKK the EZ Way : International Long-Run Growth News and Capital Flows

We study the response of international investment flows to short- and long-run growth news. Among developed G7 countries, positive long-run news for domestic productivity induces a net outflow of investments, in contrast to the effects of short-run growth shocks. We document that a standard Backus, Kehoe, and Kydland (1994) (BKK) model fails to reproduce this novel empirical evidence. We augment this model with Epstein and Zin (1989) preferences (EZ-BKK) and characterize the resulting recursive risk-sharing scheme. The response of international capital flows in the EZ-BKK model is consistent with the data

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Year of publication:	2017
Authors:	Colacito, Ric
Other Persons:	Croce, Mariano (Max) Massimiliano (contributor) ; Ho, Steven Wei (contributor) ; Howard, Philip (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Auslandsinvestition \| Foreign investment \| Kapitalmobilität \| Capital mobility \| Produktivitätsentwicklung \| Productivity change \| Konjunktur \| Business cycle
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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Extent:	1 Online-Ressource (60 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 5, 2017 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2177231 [DOI]
Classification:	C62 - Existence and Stability Conditions of Equilibrium ; F31 - Foreign Exchange ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012974821