Download or read book International Finance Puzzles with Market Frictions written by Sylvain Leduc and published by . This book was released on 1999 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Limited Stock Market Participation and Goods Market Frictions written by Nam Jong Kim and published by . This book was released on 2016 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The popular assumption based on complete markets that the log of real exchange rate growth equals the difference between the logs of home and foreign IMRSs imposes a tight restriction on explaining the joint behavior of asset prices, exchange rates, and international risk sharing. We study asset prices, exchange rates, and consumption dynamics in a general equilibrium two-country macro-finance model that features both asset-market and goods-market frictions. For the asset-market friction, we consider limited stock market participation a la Guvenen (2009). In addition, we follow Corsetti, Dedola, and Leduc (2008) to model frictions to international trade such as non-traded goods and distribution cost. We provide analysis of the model linearized to the second order, by implementing the method proposed by Devereux and Sutherland (2010) to overcome the indeterminacy issues with portfolio choice. The model generates a high price of risk, smooth exchange rates, and makes substantial progress towards explaining the empirically observed low consumption growth correlation between countries. We find that distribution cost plays a central role for reducing international consumption co-movement while also amplifying risk premia.
Download or read book Puzzles in International Financial Markets written by Karen K. Lewis and published by . This book was released on 1994 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a survey of two basic puzzles in international finance. The first puzzle is the `predictable excess return puzzle.' The returns on foreign currency deposits relative to domestic currency deposits should be equalized based upon uncovered interest parity. However, not only do researchers find that deviations from uncovered interest parity are predictable ex ante, but their variance exceeds the variance in expected exchange rate changes. In the paper, I describe different explanations of this phenomenon including the view that excess returns are driven by a foreign exchange risk premium, peso problems or learning, and market inefficiencies. While the research to date has been able to better define the `predictable excess return puzzle' and to suggest the most likely directions for future progress, no one explanation has provided a full answer to the puzzle. The second puzzle is the `home bias puzzle.' Empirical evidence shows that domestic residents do not diversify sufficiently into foreign stocks. This evidence is clear whether looking at models based on portfolio holdings or outcomes of consumption realizations across countries. In this paper, I examine several possible explanations including non-traded goods and market inefficiencies, although even after considering these possibilities, the puzzle remains.
Download or read book Accounting for Global Dispersion of Current Accounts written by Yongsung Chang and published by International Monetary Fund. This book was released on 2009-12-01 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We undertake a quantitative analysis of the dispersion of current accounts in an open economy version of incomplete insurance model, incorporating important market frictions in trade and financial flows. Calibrated with conventional parameter values, the stochastic stationary equilibrium of the model with limited borrowing can account for about two-thirds of the global dispersion of current accounts. The easing of financial frictions can explain nearly all changes in the current account dispersion in the past four decades whereas the easing of trade frictions has almost no impact on the current account dispersion.
Download or read book Advances in Macroeconomic Theory written by J. Drèze and published by Springer. This book was released on 2001-08-02 with total page 377 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leading world scholars analyze a range of specific departures from general equilibrium theory which have significant implications for the macroeconomic analysis of both developed and developing economies. Jacques Drèze considers uncertainty and incomplete markets and Nobel Laureate Robert Solow relates growth theory to the macroeconomic framework. Other issues examined are the implications for macro-policy of new research, including Joseph Stiglitz's warning on the misplaced zeal for financial market liberalization which partly engendered the East Asian and Russian crises.
Download or read book Nber Macroeconomics Annual 2000 written by Ben S. Bernanke and published by MIT Press. This book was released on 2001 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Finance written by H. Kent Baker and published by Oxford University Press. This book was released on 2013-01-17 with total page 701 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the current state of affairs and tools available in the study of international finance is increasingly important as few areas in finance can be divorced completely from international issues. International Finance reflects the new diversity of interest in international finance by bringing together a set of chapters that summarizes and synthesizes developments to date in the many and varied areas that are now viewed as having international content. The book attempts to differentiate between what is known, what is believed, and what is still being debated about international finance. The survey nature of this book involves tradeoffs that inevitably had to be made in the process given the vast footprint that constitutes international finance. No single book can cover everything. This book, however, tries to maintain a balance between the micro and macro aspects of international finance. Although each chapter is self-contained, the chapters form a logical whole that follows a logical sequence. The book is organized into five broad categories of interest: (1) exchange rates and risk management, (2) international financial markets and institutions, (3) international investing, (4) international financial management, and (5) special topics. The chapters cover market integration, financial crisis, and the links between financial markets and development in some detail as they relate to these areas. In each instance, the contributors to this book discuss developments in the field to date and explain the importance of each area to finance as a field of study. Consequently, the strategic focus of the book is both broad and narrow, depending on the reader's needs. The entire book provides a broad picture of the current state of international finance, but a reader with more focused interests will find individual chapters illuminating on specific topics.
Download or read book Handbook of International Economics written by G.M. Grossman and published by Elsevier. This book was released on 1997-10-24 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of International Economics
Download or read book On Domestic Financial Market Frictions Unrestricted International Capital Flows and Crises in Small Open Economies written by Gaetano Antinolfi and published by . This book was released on 1998 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book NBER Macroeconomics Annual 2000 written by Ben Bernanke and published by Mit Press. This book was released on 2001-02-19 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual presents, extends, and applies pioneering work in macroeconomics and stimulates work by macroeconomists on important policy issues. Each paper in the Annual is followed by comments and discussion.
Download or read book Exchange Rate Dynamics written by Martin D. D. Evans and published by Princeton University Press. This book was released on 2011-03-14 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and in-depth look at exchange-rate dynamics Variations in the foreign exchange market influence all aspects of the world economy, and understanding these dynamics is one of the great challenges of international economics. This book provides a new, comprehensive, and in-depth examination of the standard theories and latest research in exchange-rate economics. Covering a vast swath of theoretical and empirical work, the book explores established theories of exchange-rate determination using macroeconomic fundamentals, and presents unique microbased approaches that combine the insights of microstructure models with the macroeconomic forces driving currency trading. Macroeconomic models have long assumed that agents—households, firms, financial institutions, and central banks—all have the same information about the structure of the economy and therefore hold the same expectations and uncertainties regarding foreign currency returns. Microbased models, however, look at how heterogeneous information influences the trading decisions of agents and becomes embedded in exchange rates. Replicating key features of actual currency markets, these microbased models generate a rich array of empirical predictions concerning trading patterns and exchange-rate dynamics that are strongly supported by data. The models also show how changing macroeconomic conditions exert an influence on short-term exchange-rate dynamics via their impact on currency trading. Designed for graduate courses in international macroeconomics, international finance, and finance, and as a go-to reference for researchers in international economics, Exchange-Rate Dynamics guides readers through a range of literature on exchange-rate determination, offering fresh insights for further reading and research. Comprehensive and in-depth examination of the latest research in exchange-rate economics Outlines theoretical and empirical research across the spectrum of modeling approaches Presents new results on the importance of currency trading in exchange-rate determination Provides new perspectives on long-standing puzzles in exchange-rate economics End-of-chapter questions cement key ideas
Download or read book Handbook of International Economics written by Ronald Winthrop Jones and published by Elsevier. This book was released on 1984 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This Handbook adopts a traditional definition of the subject, and focuses primarily on the explanation of international transactions in goods, services, and assets, and on the main domestic effects of those transactions. The first volume deals with the "real side" of international economics. It is concerned with the explanation of trade and factor flows, with their main effects on goods and factor prices, on the allocation of resources and income distribution and on economic welfare, and also with the effects on national policies designed explicitly to influence trade and factor flows. In other words, it deals chiefly with microeconomic issues and methods. The second volume deals with the "monetary side" of the subject. It is concerned with the balance of payments adjustment process under fixed exchange rates, with exchange rate determination under flexible exchange rates, and with the domestic ramifications of these phenomena. Accordingly, it deals mainly with economic issues, although microeconomic methods are frequently utilized, especially in work on expectations, asset markets, and exchange rate behavior."--Publisher's information
Download or read book International Finance Discussion Papers written by and published by . This book was released on 2004 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Capital Markets written by Maurice Obstfeld and published by Cambridge University Press. This book was released on 2004-02-19 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
Download or read book The Changing Environment of International Financial Markets written by Dilip K. Ghosh and published by Springer. This book was released on 2016-01-01 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection examines the emerging issues arising from increasingly globalized financial markets. Topics covered include: the exchange of rate market, equilibrium and efficiency, inflation and interest rates, capital movements, the balance of payments and international reserves, foreign debt, country risk analysis, currency market arbitrage and speculative designs under market imperfection, international tax issues and trade liberalization and offshore banking.
Download or read book Essays on the Puzzles in International Finance written by Seojin Lee and published by . This book was released on 2015 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The overall theme of this dissertation is the explanation of puzzles in international finance. Empirically, exchange rates seem to be disconnected to the economic fundamentals, and it is referred to as the exchange rate disconnect puzzle. Another puzzling feature in foreign exchange market is that high interest rate currency tends to appreciate, and it is called as ``uncovered interest rate parity puzzle.'' Chapter 1 and 3 of this dissertation examine the exchange rate disconnect puzzle, while chapter 2 investigates the explanation for the UIP puzzle. The first chapter, ``Imperfect Proxies for Market Expectations and the Exchange Rate Disconnect Puzzle'', develop an econometric framework which can capture the relation between exchange rate and economic variables. Conventional empirical studies assume the linear relation between exchange rate and its determinants implied by the theory. I show that this linear modeling strategy leads to the spurious instance of the exchange rate disconnect puzzle and propose the new model which allows imperfectness of the macro variables as a predictor for market expectation. The proposed model provides empirical evidence that the domestic currency appreciates in response to an unanticipated increase in domestic output growth or inflation. Furthermore, results for out-of-sample predictability tests suggest that the proposed model outperforms the random walk model over various horizons less than two years, for most of the countries under investigation. The second chapter of my dissertation, ``Is It Risk or Expectational Error? Explaining Deviation from Uncovered Interest Parity'' explores the behavior of ex-ante excess return to explain the UIP puzzle. Implementing empirical models of ex-ante excess return has proven to be very difficult and previous attempts have not been successful in explaining what makes ex-ante excess return. In this chapter, I propose the new framework which estimates the ex-ante excess return more efficiently by incorporating information in economic variables. The extracted series show that high inflation or output in the foreign country raises the ex-ante excess return for holding foreign currency, while high inflation or high output in home country lowers it. Moreover, using the survey-based forecast of exchange rate data, I find that ex-ante excess return is strongly connected with the market's systematic forecast error instead of with the implied risk premium. These empirical findings suggest that the market's expectation is not fully rational, and this systematic expectational error results in the UIP puzzle. Lastly, the third chapter, ``Commodity Currency Predictions: the Role of Expectations'', examines the dynamic linkage between commodity prices and exchange rate. Even though exchange rates and commodity prices are highly correlated contemporaneously, commodity prices are not shown to have predictive power for exchange rates. With several time-series techniques and alternative data, such as survey-based forecast of exchange rate and foreign exchange option prices, I show that commodity price is linked to the future exchange rate through the market expectation: markets consider aggregate commodity prices when they form expectations of the exchange rates. These empirical findings suggest that commodity price movements are incorporated into the nominal exchange rate with lasting impact beyond one quarter.
Download or read book Handbook of International Economics written by Gita Gopinath and published by Elsevier. This book was released on 2014-02-22 with total page 773 pages. Available in PDF, EPUB and Kindle. Book excerpt: What conclusions can be drawn from recent advances in international trade and international macroeconomics? New datasets, theoretical models, and empirical studies have resulted in fresh questions about the world trade and payment system. These chapters--six on trade and six on international macroeconomics--reveal the richness that researchers have uncovered in recent years. The chapters on foreign trade present, among other subjects, new integrated multisector analytical frameworks, the use of gravity equations for the estimation of trade flows, the role of domestic institutions in shaping comparative advantage, and international trade agreements. On international macroeconomics, chapters explore the relation between exchange rates and other macroeconomic variables; risk sharing, allocation of capital across countries, and current account dynamics; and sovereign debt and financial crises. By addressing new issues while enabling deeper and sharper analyses of old issues, this volume makes a significant contribution to our understanding of the global economy. - Systematically illuminates and interprets recent developments in research on international trade and international macroeconomics - Focuses on newly developing questions and opportunities for future research - Presents multiple perspectives on ways to understand the global economy
