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

Engel, Charles M. - 2007

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/10012777400

Tariffs and Saving in a Model with New Families

Engel, Charles M.; Kletzer, Kenneth M. - 2021

The paper explores how a tariff may affect saving through intergenerational redistribution of income that is caused by changes in factor prices and by the distribution of tariff revenue. The model is a Blanchard-type overlapping generations model. Two types of revenue distribution schemes are...

Persistent link: https://www.econbiz.de/10013313634

Tariffs, Saving and the Current Account

Engel, Charles M. - 2010

We investigate the effects of higher tariffs on the current account.Tariffs may increase or decrease investment depending on the capital intensity of the sector protected. We find that ther esponse of saving to tariffs issensitive to the modelling of saving behavior. In a model in which...

Persistent link: https://www.econbiz.de/10012763430

Factor Model Forecasts of Exchange Rates

Engel, Charles M. - 2012

We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate...

Persistent link: https://www.econbiz.de/10013100676

International Trade in Durable Goods : Understanding Volatility, Cyclicality, and Elasticities

Engel, Charles M. - 2008

measures of consumption and prices to assess risk-sharing opportunities, as in the empirical work on the Backus-Smith puzzle …

Persistent link: https://www.econbiz.de/10012772731

Tests of International CAPM with Time-Varying Covariances

Engel, Charles M. - 2008

We perform maximum likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The quot;betasquot; in our CAPM vary over time from two sources -- the supplies of the assets (government...

Persistent link: https://www.econbiz.de/10012774612

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

Engel, Charles M. - 2008

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/10012774818

Expectations and Exchange Rate Policy

Devereux, Michael B. - 2006

Both empirical evidence and theoretical discussion have long emphasized the impact of %u201Cnews%u201D on exchange rates. In most exchange rate models, the exchange rate acts as an asset price, and as such responds to news about future returns on assets. But the exchange rate also plays a role...

Persistent link: https://www.econbiz.de/10012780131

Exchange Rates and Fundamentals

Engel, Charles M. - 2004

We show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well known puzzle that fundamental...

Persistent link: https://www.econbiz.de/10012785468

Liquidity and Exchange Rates : An Empirical Investigation

Engel, Charles M. - 2018

sovereign default risk and currency swap market frictions.Institutional subscribers to the NBER working paper series, and …

Persistent link: https://www.econbiz.de/10012906303