Showing 1 - 10 of 71
What is the relationship between interest rates and the exchange rate? The empirical literature in this area has been inconclusive. We use an optimizing model of a small open economy to rationalize the mixed empirical findings. The model has three key margins. First, higher domestic interest...
Persistent link: https://www.econbiz.de/10012724886
Why do investors trade a lot in foreign assets and hold so little of them in their portfolios? This paper shows that both observations can arise naturally in the presence of nondiversifiable nontraded consumption risk when each country specializes in production, preferences exhibit consumption...
Persistent link: https://www.econbiz.de/10012723160
This paper contains supplemental material for Gao, Hnatkovska, and Marmer (2013) "Limited Participation in International Business Cycle Models: A Formal Evaluation".
Persistent link: https://www.econbiz.de/10011184477
Models of risk-sharing predict that relative consumption growth rates across locations should be positively related to real exchange rate growth rates across the same areas. We investigate this hypothesis using a new multi-country and multi-regional data set. Within countries, we find evidence...
Persistent link: https://www.econbiz.de/10011186034
International capital flows have increased dramatically since the 1980s, with much of the increase being due to trade in equity and bond markets. Such developments are often attributed to the increased integration of world financial markets. We present a model that allows us to examine how...
Persistent link: https://www.econbiz.de/10010738192
International capital flows have increased dramatically since the 1980s, with much of the increase being due to trade in equity and debt markets. Such developments are often attributed to the increased integration of world financial markets. We present a model that allows us to examine how...
Persistent link: https://www.econbiz.de/10005778410
This paper studies the effects of financial integration on macroeconomic volatility and welfare. We examine a two-sector(tradable and nontradable), two-country world economy with production in which both stocks and bonds are traded internationally, but markets are incomplete. The effects of...
Persistent link: https://www.econbiz.de/10005549609
What is the relationship between interest rates and the exchange rate? The empirical literature in this area has been inconclusive. We use an optimizing model of a small open economy to rationalize the mixed empirical findings. The model has three key margins. First, higher domestic interest...
Persistent link: https://www.econbiz.de/10005714852
This paper presents a new numerical method for solving general equilibrium models with many assets. The method can be applied to models where there are heterogeneous agents, time-varying investment opportunity sets, and incomplete markets. It also can be used to study models where the...
Persistent link: https://www.econbiz.de/10005248974
This paper documents some previously neglected features of sectoral shares at business cycle frequencies in OECD economies. In particular, we find that the nontraded sector share of output is as volatile as aggregate GDP, and that for most countries, the nontraded sector is distinctly...
Persistent link: https://www.econbiz.de/10009220635