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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
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Crash Risk in Currency Markets
Farhi, Emmanuel - 2009
expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is … priced in currency markets. To study the price of disaster risk, we propose a simple structural model that includes both … Gaussian and disaster risk and can be estimated even in samples that do not contain disasters. Estimating the model over the …
Persistent link: https://www.econbiz.de/10012463588
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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
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Speculative growth : hints from the US economy
Caballero, Ricardo J. (contributor);  … - 2004 - [Elektronische Ressource]. - Rev
Persistent link: https://www.econbiz.de/10002111075
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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
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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
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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
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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
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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
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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