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Kumhof, Michael - 2009

This paper develops a theory of international currency portfolios that holds in general equilibrium, and that is … short (long) position in foreign currency. (4) A fiscal theory of exchange rate determination is compatible with general … equilibrium in a two-country world. (5) Equilibria are determinate when both fiscal and monetary policy are passive …

Persistent link: https://www.econbiz.de/10014403178

International Diversification Gains and Home Bias in Banking

García-Herrero, Alicia - 2007

This paper assembles a bank-level dataset covering the operations of 38 international banks from eight industrial countries and their subsidiaries overseas during 1995-2004, and studies the extent of diversification gains from their local operations abroad. The paper finds that international...

Persistent link: https://www.econbiz.de/10014401066

Benchmark-driven investments in emerging market bond markets : taking stock

Arslanalp, Serkan; Drakopoulos, Dimitris; Goel, Rohit; … - 2020

This paper reviews the role of benchmark-driven investments in EM local bond markets. We provide an overview of how key EM bond benchmark indices are constructed, how they affect the behavior of investment funds, and what are the likely implications for capital flows and policy-making. Several...

Persistent link: https://www.econbiz.de/10012391578

Portfolio Choice in a Monetary Open-Economy DSGE Model

Matsumoto, Akito - 2005

This paper develops a two-country monetary DSGE (dynamic stochastic general equilibrium) model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some goods prices are set without full information of the state. Home and foreign...

Persistent link: https://www.econbiz.de/10014401498

Currency Hedging for International Portfolios

Schmittmann, Jochen M. - 2010

This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially...

Persistent link: https://www.econbiz.de/10014402714

Legal protection : liability and immunity arrangements of central banks and financial supervisors

Khan, Ashraf - 2018

financial supervisors (if the supervisor is part of the central bank), focusing on liability, immunity, and indemnification …

Persistent link: https://www.econbiz.de/10011905876

Elasticity Optimism

International Monetary Fund - 2009

In most macroeconomic models, the substitutability between domestic and foreign goods is calibrated using aggregated data. This imposes homogeneous elasticities across goods, and the calibration is only valid under this assumption. If elasticities are heterogeneous, the aggregate...

Persistent link: https://www.econbiz.de/10014402215

International Financial Integration

Lane, Philip R. - 2003

In recent decades, the foreign assets and liabilities of advanced economies have grown rapidly relative to GDP, with the increase in gross cross-holdings far exceeding changes in the size of net positions. Moreover, the portfolio equity and FDI categories have grown in importance relative to...

Persistent link: https://www.econbiz.de/10014403839

Financial Globalization, Portfolio Diversification, and the Pattern of International Trade

Koren, Miklós - 2003

-form solutions for the volume and the structure of trade. Empirical results support the implications of the theory. Trade in …

Persistent link: https://www.econbiz.de/10014403975

International Risk Sharing : Through Equity Diversification or Exchange Rate Hedging?

Matsumoto, Akito - 2009

Well-known empirical puzzles in international macroeconomics concern the large divergence of equilibrium outcomes for consumption across countries from the predictions of models with full risk sharing. It is commonly believed that these risk-sharing puzzles are related to another empirical...

Persistent link: https://www.econbiz.de/10014404288

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