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Portfolio Choice in a Monetary Open-Economy DSGE Model

Engel, Charles - 2006

this risk is hedged through nominal assets rather than through equities …

Persistent link: https://www.econbiz.de/10012466454

The Constrained Asset Share Estimation (CASE) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles - 1993

reasonably the price of risk, and, in some cases, the MVE model is valuable in explaining expected equity returns. Unlike with …

Persistent link: https://www.econbiz.de/10012474666

Monetary Policy in the Open Economy Revisited : Price Setting and Exchange Rate Flexibility

Devereux, Michael B. - 2000

This paper develops a welfare-based model of monetary policy in an open economy. We focus on the extent to which monetary policy should be employed in maintaining the exchange rate. The traditional approach maintains that exchange rate flexibility is desirable in the presence of real...

Persistent link: https://www.econbiz.de/10012471102

Exchange Rate Pass-Through and the Welfare Effects of the Euro

Devereux, Michael B. - 1999

This paper explores the implications of the European single currency within a simple sticky price intertemporal model. The main issue we focus on is how the euro may alter the responsiveness of consumer prices to exchange rate changes. Our central conjectures is that the acceptance of the euro...

Persistent link: https://www.econbiz.de/10012471402

On the Foreign-Exchange Risk Premium in Sticky-Price General Equilibrium Models

Engel, Charles - 1999

This paper investigates the behavior of the foreign exchange risk premium in two recent two-country intertemporal … risk premium in any general equilibrium model arises from the correlation of the exchange rate with consumption. In … arises endogenously because monetary shocks cause output and consumption to change. The size of the risk premium depends on …

Persistent link: https://www.econbiz.de/10012471729

The Optimal Choice of Exchange-Rate Regime : Price-Setting Rules and Internationalized Production

Devereux, Michael B. - 1999

risk averse. On the other hand, floating exchange rates are always preferred when prices are set in consumers' currencies …

Persistent link: https://www.econbiz.de/10012471808

Saving and Investment in an Open Economy with Non-Traded Goods

Engel, Charles - 1987

We examine a model of a small open economy in which there is free international mobility of financial capital, investment in capital goods and a non-traded good. Such an environment is rich enough to explain several phenomena that are inexplicable in more barren models. We suggest an explanation...

Persistent link: https://www.econbiz.de/10012476928

The Real Effects of Foreign Inflation in the Presence of Currency Substitution

Engel, Charles - 1987

The paper explores optimizing models of small open economies that hold foreign money balances. Particular attention is paid to the impact of foreign inflation on the real exchange rate and other real variables. At first, an environment in which foreign money is the only traded asset is explored....

Persistent link: https://www.econbiz.de/10012476929

A Test of International CAPM

Engel, Charles - 1986

We propose and implement a Wald test of the international capital asset pricing model. Ex post asset returns are regressed on asset supplies. CAPM requires that the matrix of coefficients from a regression of n rates of return on n asset supply shares be proportional to the covariance matrix of...

Persistent link: https://www.econbiz.de/10012477015

International Borrowing to Finance Investment

Engel, Charles - 1986

The motives of a small country for borrowing to purchase capital equipment on international markets are studied. The country produces tradable capital and a nontradable consumption good and borrows or lends capital to achieve higher levels of welfare. A shift in time-preference favoring future...

Persistent link: https://www.econbiz.de/10012477211