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International risk-sharing and the transmission of productivity shocks
Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2004
the international transmission of productivity improvements generate the observed degree of risk-sharing: one associated …
Persistent link: https://www.econbiz.de/10009636531
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Growth expectations, capital flows and international risk sharing
Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003
to shocks. We use a stylised two-bloc, two-period model of the global economy, with a simple stochastic productivity … shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will … for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show …
Persistent link: https://www.econbiz.de/10009635970
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Current accounts dynamics in OECD and EU acceding countries
Bussière, Matthieu; Fratzscher, Marcel; Müller, Gernot J. - 2004
The paper extends the standard intertemporal model of the current account to include two important stylised facts: (1) the persistence of current account positions and (2) the relevance of the fiscal balance. Specifically, the paper derives a closed form solution for consumption in the presence...
Persistent link: https://www.econbiz.de/10009636534
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Real exchange rate in an inter-temporal n-country-model with incomplete markets
Mercereau, Benoît - 2003
We develop an N-country model with stock markets in which closed-form solutions for the real exchange rate is derived. Our model allows for a given number of risky-assets, which form an incomplete market. Risky asset prices and allocations of risky assets among countries are determined...
Persistent link: https://www.econbiz.de/10009639862
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Methodological advances in the assessment of equilibrium exchange rates
Bussière, Matthieu; Ca’ Zorzi, Michele; Chudík, … - 2010
This paper reviews three different concepts of equilibrium exchange rates that are widely used in policy analysis and constitute the backbone of the IMF CGER assessment: the Macroeconomic Balance, the External Sustainability and the reduced form approaches. We raise a number of econometric...
Persistent link: https://www.econbiz.de/10009640408
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10009640363
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Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?
Castrén, Olli - 2004
This paper assesses the contemporaneous, leading and lagging indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, short-term portfolio flows and currency options...
Persistent link: https://www.econbiz.de/10009639433
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Current account determinants and external sustainability in periods of structural change
Brissimis, Sophocles N.; Hondroyiannis, George; … - 2010
The aim of this paper is to study the main macroeconomic, financial and structural factors that shaped current account developments in Greece over the period from 1960 to 2007 and discuss these developments in relation to the issue of external sustainability. Concerns over Greece’s external...
Persistent link: https://www.econbiz.de/10009640297
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Reverse causality in global current accounts
Schnabl, Gunther; Freitag, Stephan - 2010
The paper discusses global imbalances under the aspect of an asymmetric world monetary system. It identifies the US and Germany as center countries with rising / high current account deficits (US) and surpluses (Germany). These are matched by current account surpluses of countries stabilizing...
Persistent link: https://www.econbiz.de/10009640332
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Monetary policy shocks and portfolio choice
Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - 2009
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...
Persistent link: https://www.econbiz.de/10009640457