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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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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
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Monetary and Macro-Prudential Policies: An Integrated Analysis
Otrok, Christopher; Benigno, Gianluca; Chen, Huigang; … - Economics Department, University of Missouri - 2012
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
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News shocks and asset price volatility in general equilibrium
Matsumoto, Akito; Cova, Pietro; Pisani, Massimiliano; … - In: Journal of Economic Dynamics and Control 35 (2011) 12, pp. 2132-2149
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
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Oil Shocks and External Balances
Kilian, Lutz; Rebucci, Alessandro; Spatafora, Nikola - C.E.P.R. Discussion Papers - 2007
current account, which depending on the source of the shock can be large, depends critically on the response of the non …
Persistent link: https://www.econbiz.de/10005124422
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Capital controls or exchange rate policy? A pecuniary externality perspective
Benigno, Gianluca; Chen, Huigang; Otrok, Christopher; … - London School of Economics (LSE) - 2012
In the aftermath of the global financial crisis, a new policy paradigm has emerged in which old-fashioned policies such as capital controls and other government distortions have become part of the standard policy toolkit (the so-called macro-prudential policies). On the wave of this seemingly...
Persistent link: https://www.econbiz.de/10010744815
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Optimal policy for macro-financial stability
Benigno, Gianluca; Chen, Huigang; Otrok, Chris; … - London School of Economics (LSE) - 2012
In this paper we study whether policy makers should wait to intervene until a financial crisis strikes or rather act in a preemptive manner. We study this question in a relatively simple dynamic stochastic general equilibrium model in which crises are endogenous events induced by the presence of...
Persistent link: https://www.econbiz.de/10010746636