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(Asymmetric) Trade Costs, Real Exchange Rate Hedging, and Equity Home Bias in a Multi-Country Model
Pyun, Ju Hyun - 2017
There has been controversy between (two-country) theory and the empirics about whether hedging against real exchange … rate fluctuations in the goods market influences foreign equity holdings. This study reconciles the theory with the … exchange rate fluctuations. Further, our theory calls for a country's covariance-variance ratio to be constructed as the sum of …
Persistent link: https://www.econbiz.de/10012947564
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International risk sharing with endogenously Ssegmented asset markets
Cociuba, Simona E.; Ramanarayanan, Ananth - 2017
Asset price data imply a large degree of international risk sharing, while aggregate consumption data do not. We evaluate whether a model with trade in goods and endogenously segmented asset markets accounts for this puzzling discrepancy. Active households pay a fixed cost to transfer income...
Persistent link: https://www.econbiz.de/10011763742
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Trend shocks, risk sharing and cross-country portfolio holdings
Arslan, Yavuz; Keleș, Gürsu; Kilinc̦, Mustafa - 2012
This paper analyzes the dynamics of risk premia, real exchange rates and portfolio movements in a two-country, two-good, two-bond model. We use an asymmetric set-up in the model, where one of the countries is emerging and the other one is developed and both countries issue bonds in domestic...
Persistent link: https://www.econbiz.de/10009407245
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Trend Shocks, Risk Sharing and Cross-Country Portfolio Holdings
Arslan, Yavuz - 2015
This paper analyzes the dynamics of risk premia, real exchange rates and portfolio movements in a two-country, two-good, two-bond model. We use an asymmetric set-up in the model, where one of the countries is emerging and the other one is developed and both countries issue bonds in domestic...
Persistent link: https://www.econbiz.de/10013036543
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Currency Portfolios and Nominal Exchange Rates in a Dual Currency Search Economy
Craig, Ben R.; Waller, Christopher J. - 2000
We analyze a dual currency search model in which agents are allowed to hold multiple units of both currencies. Hence, agents hold portfolios of currency. We study equilibria in which the two currencies are identical and equilibria in which the two currencies differ according to the magnitude of...
Persistent link: https://www.econbiz.de/10014164181
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International financial market integration, asset compositions and the falling exchange rate pass-through
Enders, Almira; Enders, Zeno; Hoffmann, Mathias - 2014
This paper provides an explanation for the observed decline of the exchange rate pass-through into import prices by modeling the effects of financial market integration on the optimal choice of the pricing currency in the context of rigid nominal goods prices. Contrary to previous literature,...
Persistent link: https://www.econbiz.de/10010396136
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Better more than one : portfolio currency pricing and exchange rate hedging
Sokolova, Maria V. - 2016 - This version: March 2016
This paper examines the relationship between the composition of exporters' currency pricing portfolio - number and value of product sales in different currencies at a destination - and their success in trade as measured by continuing to their exporting activity. Detailed investigation of...
Persistent link: https://www.econbiz.de/10011478552
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International financial market integration, asset compositions, and the falling exchange rate pass-through
Enders, Almira; Enders, Zeno; Hoffmann, Mathias - 2017
This paper provides an explanation for the observed decline of the exchange rate pass-through into import prices by modeling the effects of financial market integration on the optimal choice of the pricing currency in the context of rigid nominal goods prices. Contrary to previous literature, we...
Persistent link: https://www.econbiz.de/10011654742
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Cross-border portfolio diversification under trade linkages
Khalil, Makram - 2017
This study uncovers a cross-border financial diversification motive related to goods and services trade. Using the IMF CPIS panel data set for a broad set of country pairs and for the period 2001-2012, I find empirical evidence that the share of equity in a bilateral portfolio decreases with...
Persistent link: https://www.econbiz.de/10011590598
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Safe Asset Demand, Global Capital Flows and Wealth Concentration
Kim, Taehoon - 2022
The US economy is often referred to as the “banker to the world,” due to its unique role in supplying global reserve assets and funding foreign risky investment. This paper develops a general equilibrium model to analyze and quantify the contribution of this role to rising wealth...
Persistent link: https://www.econbiz.de/10013306735