| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2019 |
| DP2019 Information Aggregation, Strategic Behaviour and Efficiency in Cournot Markets | |
| Xavier Vives | |
| 发表日期 | 1998-11-30 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | In the last few years, the empirical literature has documented that existing correlations between national returns are higher than correlations between the national growth rates of fundamental variables. In this paper we study the ability of intertemporal asset pricing models to explain cross-country correlations of national returns. When capital markets are assumed to be perfectly integrated, an intertemporal general equilibrium model is able to explain the obtained covariability of domestic asset returns but at the expense of generating too little variability in those returns. Results improve considerably if a partial, rather than a general equilibrium version of the fully integrated capital market model is employed and the analysis is continued to the last two decades in which capital flows are more liberalized. Then, both domestic variability and cross-country covariability of returns can be explained by using single international discount-factor of domestic aggregate dividends. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Asset pricing models Cross-country correlations |
| URL | https://cepr.org/publications/dp2019 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531149 |
| 推荐引用方式 GB/T 7714 | Xavier Vives. DP2019 Information Aggregation, Strategic Behaviour and Efficiency in Cournot Markets. 1998. |
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