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Bilateral portfolio dynamics during the global financial crisis
Galstyan, Vahagn; Lane, Philip R. - In: European Economic Review 57 (2013) C, pp. 63-74
There has been considerable bilateral variation in the pattern of portfolio capital flows during the global financial crisis: for a given destination, investors from different countries adjusted their holdings to different degrees. We show that the size of the initial bilateral holding,...
Persistent link: https://www.econbiz.de/10010608235
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The Valuation Channel of External Adjustment
Ghironi, Fabio; Lee, Jaewoo; Rebucci, Alessandro - Department of Economics, Boston College - 2009
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
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The Valuation Channel of External Adjustment
Ghironi, Fabio; Lee, Jaewoo; Rebucci, Alessandro - National Bureau of Economic Research (NBER) - 2007
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
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The Valuation Channel of International Adjustment
Ghironi, Fabio; Lee, Jaewoo; Rebucci, Alessandro - C.E.P.R. Discussion Papers - 2015
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
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Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Ciccarelli, Matteo - 2006
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
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International Financial Integration and the External Positions of Euro Area Countries
Lane, Philip R. - Economics Department, Organisation de Coopération et … - 2010
the euro represented a fundamental financial shock, whose effects then coincided with a reshaping of the international …
Persistent link: https://www.econbiz.de/10008765119
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The International Financial Integration of China and India
Lane, Philip R.; Schmukler, Sergio - C.E.P.R. Discussion Papers - 2006
Three main features characterize the international financial integration of China and India. First, while only having a small global share of privately-held external assets and liabilities (with the exception of China’s FDI liabilities), these countries are large holders of official reserves....
Persistent link: https://www.econbiz.de/10005662395
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Capital Flows in the Euro Area
Lane, Philip R. - C.E.P.R. Discussion Papers - 2013
We investigate the behaviour of gross capital flows and net capital flows for euro area member countries. We highlight the extraordinary boom-bust cycles in both gross flows and net flows since 2003. We also show that the reversal in net capital flows during the crisis has been very costly in...
Persistent link: https://www.econbiz.de/10011084164
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Where Did All The Borrowing Go? A Forensic Analysis of the U.S. External Position
Lane, Philip R.; Milesi-Ferretti, Gian Maria - C.E.P.R. Discussion Papers - 2008
The deterioration in the U.S. net external position in recent years has been much smaller than the extensive net borrowing associated with large current account deficits would have suggested. This paper examines the sources of discrepancies between net borrowing and accumulation of net...
Persistent link: https://www.econbiz.de/10005656142
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China's Emergence in the World Economy and Business Cycles in Latin America
Rebucci, Alessandro; Cesa-Bianchi, Ambrogio; Pesaran, … - In: ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN … (2012)
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