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Growth expectations, capital flows and international risk sharing
Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003
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/10009635970
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Financial remoteness and the net external position
Schmitz, Martin - 2011
This paper shows that, controlling for standard determinants of net external positions, financially-remote countries exhibit more positive net external positions. This finding is found to be stronger for less advanced countries, hinting at external funding problems for more remote countries....
Persistent link: https://www.econbiz.de/10009640769
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Measuring contagion with a Bayesian, time-varying coefficient model
Ciccarelli, Matteo; Rebucci, Alessandro - 2003
To measure contagion empirically, we propose using a Bayesian time-varying coefficient model estimated with Markov ChainMonte Carlo methods. 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/10009635914
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Exchange rate risks and asset prices in a small open economy
Derviz, Alexis - 2004
-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be … model is put in the state space form. The unobserved variables span the macroeconomic risk factors with an impact on the … comparison of models allowing for an independent OF risk factor with a restricted one, where the forex order flow plays no role …
Persistent link: https://www.econbiz.de/10009636537
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Financial openness and growth
Fratzscher, Marcel; Bussiere, Matthieu - 2004
No empirical evidence has yet emerged for the existence of a robust positive relationship between financial openness and economic growth. This paper argues that a key reason for the elusive evidence is the presence of a time-varying relationship between openness and growth over time: countries...
Persistent link: https://www.econbiz.de/10009639402
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Currency mismatch, uncertainty and debt maturity structure
Bussière, Matthieu; Fratzscher, Marcel; Koeniger, Winfried - 2004
The academic literature has so far little to say about the underlying causes of the large structural asset and liability imbalances of emerging markets that frequently contributed to financial crises. The aim of the paper is to contribute to filling this gap by proposing a theoretical model that...
Persistent link: https://www.econbiz.de/10009639469
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Cross-border banking and the international transmission of financial distress during the crisis of 2007 - 2008
Popov, Alexander; Udell, Gregory F. - 2010
domestic banks. The observed decline in credit is greater among high-risk firms and firms with fewer tangible assets. …
Persistent link: https://www.econbiz.de/10009640337
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Designing targeting rules for international monetary policy cooperation
Benigno, Gianluca; Benigno, Pierpaolo - 2003
This study analyzes international monetary policy cooperation in a twocountry dynamic general equilibrium model with nominal rigidities, monopolistic competition and producer currency pricing. A quadratic approximation to the utility of the consumers is derived and assumed as the policy...
Persistent link: https://www.econbiz.de/10009635898
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Maintaining price stability under free-floating
Detken, Carsten; Gaspar, Vítor - 2003
The behaviour of the exchange rate under a floating exchange rate regime for a small open economy with perfect capital mobility may appear like a managed float or even a firmer peg. We present a canonical new neo-classical synthesis open economy model where the central bank follows a strategy...
Persistent link: https://www.econbiz.de/10009635960
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International risk-sharing and the transmission of productivity shocks
Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2004
effcient risk-sharing, negatively correlated with cross-country consumption ratios. This paper shows that incomplete asset … the international transmission of productivity improvements generate the observed degree of risk-sharing: one associated … transmission pattern, questioning the presumption that terms-of-trade movements foster international risk-pooling. …
Persistent link: https://www.econbiz.de/10009636531