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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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International transmission of credit shocks in an equilibrium model with production heterogeneity
Imura, Yuko; Thomas, Julia K. - 2015
. This paper investigates the extent to which a credit shock in one country is transmitted to its trade partners. To this end … investment loans. We find that a negative credit shock to one country induces a sharp contraction in that country's economy …. The degree of credit-shock transmission depends on the home bias in international trade and the type of goods countries …
Persistent link: https://www.econbiz.de/10011280030
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Good news is bad news : leverage cycles and sudden stops
Akinci, Ozge; Chahrour, Ryan - 2015
We show that a model with imperfectly forecastable changes in future productivity and an occasionally binding collateral constraint can match a set of stylized facts about "sudden stop" events. "Good" news about future productivity raises leverage during times of expansion, increasing the...
Persistent link: https://www.econbiz.de/10011338832
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Risk Sharing and Real Exchange Rates : The Role of Non-Tradable Sector and Trend Shocks
Akkoyun, Hüseyin - 2017
Most of the international macro models, in contrast to the data, imply a very high level of risk sharing across countries and very low real exchange rate (RER) volatility relative to output. In this paper we show that a standard two-country two-good model augmented with conintegrated TFP...
Persistent link: https://www.econbiz.de/10012962025
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Financial Frictions and the International Transmission of Shocks
Park, Woong Yong - 2019
This study presents a two-good, two-country model with financial frictions, where banks facing a borrowing constraint intermediate funds between households and firms. The endogenous fluctuations of international relative prices increase the business cycle co-movement across countries when...
Persistent link: https://www.econbiz.de/10012858531
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The impacts of credit standards on aggregate fluctuations in a small open economy : the role of monetary policy
Le, Hai - In: Economies : open access journal 9 (2021) 4, pp. 1-26
Empirical evidence demonstrates that credit standards, including lending margins and collateral requirements, move in a countercyclical direction. In this study, we construct a small open economy model with financial frictions to generate the countercyclical movement in credit standards. Our...
Persistent link: https://www.econbiz.de/10012800343
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Optimal monetary policy responses and welfare analysis within the highfrequency New-Keynesian framework
Sacht, Stephen - 2014
amplifies the trade-off of the central bank in case of a cost-push shock. This is caused by the impact of so-called frequency …
Persistent link: https://www.econbiz.de/10010234027
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Una evaluación de la efectividad y el impacto en el bienestar de los controles de capital en Colombia
Poveda, Daniel; Hamann, Franz - UNIVERSIDAD DE LOS ANDES-CEDE - 2013
El objetivo de este trabajo es responder dos preguntas de política relacionadas con el uso de un depósito no remunerado como forma de control de capitales en una economía pequeña y abierta como la colombiana: ¿Son un instrumento efectivo para reducir el endeudamiento externo de los agentes...
Persistent link: https://www.econbiz.de/10010796058
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Productivity and Trade Dynamics in Sudden Stops
Benguria, Felipe - 2020
This paper proposes a framework to jointly study productivity and trade dynamics during financial crises. The persistent output loss caused by crises is driven by lower productivity growth, which is determined by changes in product entry and exit margins in domestic and export markets. We...
Persistent link: https://www.econbiz.de/10012842467
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Terms-of-Trade Shocks are Not all Alike
Di Pace, Federico; Juvenal, Luciana; Petrella, Ivan - 2021
When analyzing terms-of-trade shocks, it is implicitly assumed that the economy responds symmetrically to changes in export and import prices. Using a sample of developing countries our paper shows that this is not the case. We construct export and import price indices using commodity and...
Persistent link: https://www.econbiz.de/10013241963