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Growth Expectations, Capital Flows and International Risk Sharing

Castren, Olli; Stiegert, Roger; Miller, Marcus H. - 2021

international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response … shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will … for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show …

Persistent link: https://www.econbiz.de/10013319734

Chapter 9. Assessing International Efficiency

Heathcote, Jonathan; Perri, Fabrizio - In: Handbook of international economics : Volume 4, (pp. 523-584). 2014

This chapter is structured in three parts. The first part outlines the methodological steps, involving both theoretical and empirical work, for assessing whether an observed allocation of resources across countries is efficient. The second part applies the methodology to the long-run allocation...

Persistent link: https://www.econbiz.de/10014025377

Growth expectations, capital flows and international risk sharing

Castrén, Olli (contributor); Miller, Marcus (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001792730

Growth expectations, capital flows and international risk sharing

Castrén, Olli - 2003

Persistent link: https://www.econbiz.de/10013434573

Financial Globalization and Stock Market Risk

Esqueda, Omar A. - 2012

This paper examines stock market volatility measured by either “beta-volatility” or by the standard deviation of stock returns over 1995-2007. In our dynamic panel data framework, after controlling for size, turnover, and real output growth, we find some support to increases in financial...

Persistent link: https://www.econbiz.de/10013104028

Endogenous Global Risk

Huang, Ji; Hu, Hao - 2022

The U.S. could be the source of the global financial risk because it longs risky assets and shorts safe assets in the … international capital market. This paper builds a stylized two-country model to highlight that when the developed country's risk …-bearing capacity improves, it holds more foreign risky assets and issue more risk-free debt. The foreign country's risk …

Persistent link: https://www.econbiz.de/10013306985

Emerging from the war : gold standard mentality, current accounts and the international business cycle 1885 - 1939

Hoffmann, Mathias; Woitek, Ulrich - 2011 - This version: December 2011

We study international business cycles and capital flows in the UK, the United States and the Emerging Periphery in the period 1885-1939. Based on the same set of parameters, our model explains current account dynamics under both the Classical Gold Standard and during the Interwar period. We...

Persistent link: https://www.econbiz.de/10009741030

International Risk Sharing and Low Cross-Country Consumption Correlations : Are They Really Inconsistent?

Pakko, Michael R. - 1998

In dynamic equilibrium trade models, the common assumption that asset markets are complete implies that correlations of consumption across countries should be quite high. In contrast, measured consumption correlations tend to be rather low. While some suggest this implies that asset market...

Persistent link: https://www.econbiz.de/10014077155

Corporate Basis and the International Role of The U.S. Dollar

Shi, Zhan; Viswanath-Natraj, Ganesh - 2022

The corporate basis measures the pricing difference between dollar and foreign currency bonds issued by the same corporate entity. In this paper, we decompose the basis into a risky asset yield spread, a safe asset convenience yield, and FX hedging costs with the covered interest rate parity...

Persistent link: https://www.econbiz.de/10013406185

Uncertainty about the fundamentals and the occurrence of sudden stops of capital flows : theory and empirics

Köhler-Geib, Fritzi - 2006

We analyse the effect of the uncertainty about the fundamentals on the probability of sudden stops of capital flows from a theoretical and empirical perspective. Our model predicts that the probability of crises increases with the uncertainty, ie. the dispersion of private signals about the true...

Persistent link: https://www.econbiz.de/10009746213

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