The Valuation Channel Of External Adjustment

Author : Mr.Fabio Ghironi
Publisher : International Monetary Fund
ISBN 13 : 1451874200
Total Pages : 46 pages
Book Rating : 4.04/5 ( download)

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Download or read book The Valuation Channel of External Adjustment written by Mr.Fabio Ghironi and published by International Monetary Fund. This book was released on 2009-12-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: International financial integration has greatly increased the scope for changes in a country's net foreign asset position through the valuation channel, namely capital gains and losses on external assets and liabilities. We examine this valuation channel in a dynamic equilibrium portfolio model with international trade in equity. By separating asset prices and quantities, we can characterize the first-order dynamics of valuation effects and the current account in macroeconomic dynamics. Specifically, we disentangle the roles of excess returns, capital gains, and portfolio adjustment for consumption risk sharing when financial markets are incomplete.

Author : Jaewoo Lee
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.29/5 ( download)

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Download or read book The Valuation Channel of External Adjustment written by Jaewoo Lee and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: International financial integration has greatly increased the scope for changes in a country''s net foreign asset position through the valuation channel, namely capital gains and losses on external assets and liabilities. We examine this valuation channel in a dynamic equilibrium portfolio model with international trade in equity. By separating asset prices and quantities, we can characterize the first-order dynamics of valuation effects and the current account in macroeconomic dynamics. Specifically, we disentangle the roles of excess returns, capital gains, and portfolio adjustment for consumption risk sharing when financial markets are incomplete.

Author : Fabio Ghironi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.66/5 ( download)

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Download or read book The Valuation Channel of International Adjustment written by Fabio Ghironi and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Anna Pavlova
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.11/5 ( download)

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Download or read book An Asset-pricing View of External Adjustment written by Anna Pavlova and published by . This book was released on 2007 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent evidence on the importance of cross-border equity flows calls for a rethinking of the standard theory of external adjustment. We introduce equity holdings and portfolio choice into an otherwise conventional open-economy dynamic equilibrium model. Our model is simple and admits a closed-form solution regardless of whether financial markets are complete or incomplete. We find that the excessive emphasis put in the literature on solving models with incomplete markets for the sole purpose of obtaining nontrivial implications for the current account is misplaced. We revisit the current debate on the relative importance of the standard vs. the capital-gains-based (or "valuation'') channels of the external adjustment and establish that in our framework they are congruent. Our model's implications are consistent with a number of intriguing stylized facts documented in the recent empirical literature.

Author : Juan Carlos Aquino
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.93/5 ( download)

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Download or read book The Valuation Channel of External Adjustment in Small Open Economies written by Juan Carlos Aquino and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Maurice Obstfeld
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.53/5 ( download)

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Download or read book External Adjustment written by Maurice Obstfeld and published by . This book was released on 2004 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Gross stocks of foreign assets have increased rapidly relative to national outputs since 1990, and the short-run capital gains and losses on those assets can amount to significant fractions of GDP. These fluctuations in asset values render the national income and product account measure of the current account balance increasingly inadequate as a summary of the change in a country's net foreign assets. Nonetheless, unusually large current account imbalances, especially deficits, should remain high on policymakers' list of concerns, even for the richer and less credit-constrained countries. Extreme imbalances signal the need for large and perhaps abrupt real exchange rate changes in the future, changes that might have undesired political and financial consequences given the incompleteness of domestic and international asset markets. Furthermore, of the two sources of the change in net foreign assets -- the current account and the capital gain on the net foreign asset position -- the former is better understood and more amenable to policy influence. Systematic government attempts to manipulate international asset values in order to change the net foreign asset position could have a destabilizing effect on market expectations"--NBER website

Author : Huiran Pan
Publisher :
ISBN 13 :
Total Pages : 182 pages
Book Rating : 4.21/5 ( download)

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Download or read book External Adjustment and Exchange Rate Forecasting written by Huiran Pan and published by . This book was released on 2007 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Pierre-Olivier Gourinchas
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.03/5 ( download)

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Download or read book International Financial Adjustment written by Pierre-Olivier Gourinchas and published by . This book was released on 2005 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The paper proposes a unified framework to study the dynamics of net foreign assets and exchange rate movements. We show that deteriorations in a country's net exports or net foreign asset position have to be matched either by future net export growth (trade adjustment channel) or by future increases in the returns of the net foreign asset portfolio (hitherto unexplored financial adjustment channel). Using a newly constructed data set on US gross foreign positions, we find that stabilizing valuation effects contribute as much as 31% of the external adjustment. Our theory also has asset pricing implications. Deviations from trend of the ratio of net exports to net foreign assets predict net foreign asset portfolio returns one quarter to two years ahead and net exports at longer horizons. The exchange rate affects the trade balance and the valuation of net foreign assets. It is forecastable in and out of sample at one quarter and beyond. A one standard deviation decrease of the ratio of net exports to net foreign assets predicts an annualized 4% depreciation of the exchange rate over the next quarter"--NBER website

Author : Ha Minh Nguyen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.20/5 ( download)

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Download or read book Valuation Effects and External Adjustment written by Ha Minh Nguyen and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Pierre-Olivier Gourinchas
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.35/5 ( download)

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Download or read book Valuation Effects and External Adjustment written by Pierre-Olivier Gourinchas and published by . This book was released on 2007 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: