| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4801
|
| DP4801 The Hazard Rate of Foreign Direct Investment in Transition Countries: A Direct Estimation of a Real Option Model |
| Enrico Pennings
|
| 发表日期 | 2004-12-23
|
| 出版年 | 2004
|
| 语种 | 英语
|
| 摘要 | A central puzzle in international finance is that real exchange rates are volatile and, in stark contradiction to efficient risk sharing, negatively correlated with cross-country consumption ratios. This Paper shows that a standard international business cycle model with incomplete asset markets augmented with distribution services can account quantitatively for these properties of real exchange rates. Distribution services, intensive in local inputs, drive a wedge between producer and consumer prices, thus lowering the impact of terms-of-trade changes on optimal agents? decisions. This reduces the price elasticity of tradables separately from assumptions on preferences. Two very different patterns of the international transmission of positive technology shocks generate the observed degree of risk sharing: one associated with improving, the other with deteriorating terms of trade and real exchange rate. In both cases, large equilibrium swings in international relative prices magnify consumption risk due to country-specific shock, running counter to risk sharing. Suggestive evidence on the effect of productivity changes in US manufacturing is found in support of the fist transmission pattern, questioning the presumption that terms-of-trade movements in response to supply shocks invariably foster international risk pooling. |
| 主题 | International Macroeconomics
|
| 关键词 | Incomplete asset markets
Distribution cost
Consumption-real exchange rate correlation puzzle
|
| URL | https://cepr.org/publications/dp4801
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533712
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推荐引用方式
GB/T 7714 |
Enrico Pennings. DP4801 The Hazard Rate of Foreign Direct Investment in Transition Countries: A Direct Estimation of a Real Option Model. 2004.
|
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