| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8080 |
| DP8080 Asset Prices, News Shocks and the Current Account | |
| Marcel Fratzscher; Roland Straub | |
| 发表日期 | 2010-10-24 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We analyze the relationship between asset prices and current account positions estimating a Bayesian VAR for a broad set of 42 industrialized and emerging market countries. To derive model-based identifying restrictions, we model asset price shocks as news shocks about future productivity in a two-country DSGE model. Such shocks are found to exert sizeable effects on the current account positions of countries. Moreover, the effects are highly heterogeneous across countries, for instance following a 10 percent shock to domestic equity prices relative to the rest of the world the US trade balance will worsen by 1.0 percentage points, but much less so for most other economies. We find that this heterogeneity appears to be linked to the financial market depth and equity home bias of countries. Moreover, the channels via wealth effects and via the real exchange rate are important for understanding the heterogeneity in the transmission. |
| 主题 | International Macroeconomics |
| 关键词 | Asset prices Bayesian var Current account Financial markets Home bias Identification News shocks Wealth effects |
| URL | https://cepr.org/publications/dp8080 |
| 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/536917 |
| 推荐引用方式 GB/T 7714 | Marcel Fratzscher,Roland Straub. DP8080 Asset Prices, News Shocks and the Current Account. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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