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Growth expectations, capital flows and international risk sharing

Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003

international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response … 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

Designing targeting rules for international monetary policy cooperation

Benigno, Gianluca; Benigno, Pierpaolo - 2003

This study analyzes international monetary policy cooperation in a twocountry dynamic general equilibrium model with nominal rigidities, monopolistic competition and producer currency pricing. A quadratic approximation to the utility of the consumers is derived and assumed as the policy...

Persistent link: https://www.econbiz.de/10009635898

Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - 2003

To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10009635914

Maintaining price stability under free-floating

Detken, Carsten; Gaspar, Vítor - 2003

The behaviour of the exchange rate under a floating exchange rate regime for a small open economy with perfect capital mobility may appear like a managed float or even a firmer peg. We present a canonical new neo-classical synthesis open economy model where the central bank follows a strategy...

Persistent link: https://www.econbiz.de/10009635960

International risk-sharing and the transmission of productivity shocks

Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2004

effcient risk-sharing, negatively correlated with cross-country consumption ratios. This paper shows that incomplete asset … the international transmission of productivity improvements generate the observed degree of risk-sharing: one associated … transmission pattern, questioning the presumption that terms-of-trade movements foster international risk-pooling. …

Persistent link: https://www.econbiz.de/10009636531

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

Exchange rate risks and asset prices in a small open economy

Derviz, Alexis - 2004

-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be … model is put in the state space form. The unobserved variables span the macroeconomic risk factors with an impact on the … comparison of models allowing for an independent OF risk factor with a restricted one, where the forex order flow plays no role …

Persistent link: https://www.econbiz.de/10009636537

Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...

Persistent link: https://www.econbiz.de/10009636551

Ramsey monetary policy and international relative prices

Faia, Ester; Monacelli, Tommaso - 2004

We analyze welfare maximizing monetary policy in a dynamic two-country model with price stickiness and imperfect competition. In this context, a typical terms of trade externality affects policy interaction between independent monetary authorities. Unlike the existing literature, we remain...

Persistent link: https://www.econbiz.de/10009639398

Production interdependence and welfare

Huang, Kevin X. D.; Liu, Zheng - 2004

The international welfare effects of a country's monetary policy shocks have been controversial in the new open economy macro (i.e., NOEM) literature. While a unilateral monetary expansion increases the production efficiency in each country, it affects the terms of trade in favor of one country...

Persistent link: https://www.econbiz.de/10009639409

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