Showing 1 - 10 of 165
International financial integration has greatly increased the scope for changes in a country's net foreign asset position through the "valuation channel" of external adjustment, namely capital gains and losses on the country's external assets and liabilities. We examine this valuation channel...
Persistent link: https://www.econbiz.de/10008461352
Ongoing international financial integration has greatly increased foreign asset holdings across countries, enhancing the scope for a "valuation channel" of external adjustment (i.e., the changes in a country's net foreign asset position due to exchange rate and asset price changes). We examine...
Persistent link: https://www.econbiz.de/10005710332
International financial integration has greatly increased the scope for changes in a country’s net foreign asset position through the “valuation channel” of external adjustment, namely capital gains and losses on the country’s external assets and liabilities. We examine this valuation...
Persistent link: https://www.econbiz.de/10011266533
We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. 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/10012782671
This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have … Latin American economies shows that the long-term impact of a China GDP shock on the typical Latin American economy has … increased by three times since the mid-1990s, while the longterm impact of a US GDP shock has halved, while the transmission of …
Persistent link: https://www.econbiz.de/10010762706
This paper studies monetary and macro-prudential policies in a simple model with both a nominal rigidity and a financial friction that give rise to price and financial stability objectives. We find that lowering the degree of nominal rigidity or increasing the strength of the interest rate...
Persistent link: https://www.econbiz.de/10011147365
This paper investigates the existence of spillovers from stock prices onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real...
Persistent link: https://www.econbiz.de/10010658702
house price shock over the entire sample, with the effect being stronger post financial liberalization. On the other hand, a … positive delayed response of nominal interest rate followed a house price shock, with the effect being weaker post financial …
Persistent link: https://www.econbiz.de/10010552942
We study equity price volatility in general equilibrium with news shocks about future productivity and monetary policy. As West (1988) shows, in a partial equilibrium present discounted value model, news about the future cash flow reduces asset price volatility. We show that introducing news...
Persistent link: https://www.econbiz.de/10010574005
eight OECD countries in a six-variable structural vector autoregressive model (SVAR). A housing demand shock is identified … latter allows a housing demand shock to be identified by imposing sign restrictions on the impulse responses of consumer … shock in Canada, France, Japan, Spain and, the UK. A significant positive delayed response of nominal interest rates follows …
Persistent link: https://www.econbiz.de/10010639468