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Investment Objectives of Sovereign Wealth Funds : A Shifting Paradigm
Petrova, Iva - 2011
While SWF investment objectives to some extent reflect inherent characteristics, notable differences in strategic asset allocation (SAA) exist even amongst SWFs of similar types. Even so, this paper shows that the global crisis may have changed SWF’s asset allocations in ways that may not be...
Persistent link: https://www.econbiz.de/10014403690
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The New Economy and Global Stock Return
Catão, Luis - 2000
This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple factor model, which breaks down stock returns into a global business cycle...
Persistent link: https://www.econbiz.de/10014401448
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Elasticity Optimism
International Monetary Fund - 2009
In most macroeconomic models, the substitutability between domestic and foreign goods is calibrated using aggregated data. This imposes homogeneous elasticities across goods, and the calibration is only valid under this assumption. If elasticities are heterogeneous, the aggregate...
Persistent link: https://www.econbiz.de/10014402215
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Financial Globalization, Portfolio Diversification, and the Pattern of International Trade
Koren, Miklós - 2003
-form solutions for the volume and the structure of trade. Empirical results support the implications of the theory. Trade in …
Persistent link: https://www.econbiz.de/10014403975
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International Currency Portfolios
Kumhof, Michael - 2009
This paper develops a theory of international currency portfolios that holds in general equilibrium, and that is … short (long) position in foreign currency. (4) A fiscal theory of exchange rate determination is compatible with general … equilibrium in a two-country world. (5) Equilibria are determinate when both fiscal and monetary policy are passive …
Persistent link: https://www.econbiz.de/10014403178
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A framework for assessing the costs of pension reform reversals
Baksa, Daniel; Munkacsi, Zsuzsa; Nerlich, Carolin - 2020
Several European countries are currently considering reversing parts of their pension reforms that were adopted previously to improve sustainability. In this paper we present a framework that allows us to quantify the macroeconomic and fiscal costs of such reversals. We thereby integrate the...
Persistent link: https://www.econbiz.de/10012299350
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Demographics, old-age transfers and the current account
Dao, Mai; Jones, Callum - 2018
-run capital flows in both theory and in the data. For this purpose, we develop a two region overlapping generations model where …
Persistent link: https://www.econbiz.de/10011978549
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The Aging of the Population and the Size of the Welfare State
Swagel, Phillip - 2002
Data for the United States and countries in Western Europe indicate a negative correlation between the dependency ratio and both labor tax rates and the generosity of social transfers, after controlling for other factors that influence the size of the welfare state. This is despite the increased...
Persistent link: https://www.econbiz.de/10014399587
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Tracking global demand for advanced economy sovereign debt
Arslanalp, Serkan (contributor); Tsuda, Takahiro (contributor) - 2012
Recent events have shown that sovereigns, just like banks, can be subject to runs, highlighting the importance of the investor base for their liabilities. This paper proposes a methodology for compiling internationally comparable estimates of investor holdings of sovereign debt. Based on this...
Persistent link: https://www.econbiz.de/10009678886
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Risks and vulnerabilities in the U.S. bond mutual fund industry
Bouveret, Antoine; Yu, Jie - 2021
This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of analyses to identify which fund categories are more vulnerable to distress than others, and how sales from funds can impact financial stability. We develop a new measure to identify...
Persistent link: https://www.econbiz.de/10012605013