G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10564
DP10564 The Valuation Channel of External Adjustment
Fabio Ghironi; Alessandro Rebucci; Jaewoo Lee
发表日期2015-04-26
出版年2015
语种英语
摘要International financial integration has greatly increased the scope for changes in a country?s net foreign asset position through the ?valuation channel? of external adjustment, namely capital gains and losses on the country?s external assets and liabilities. We examine this valuation channel theoretically in a dynamic equilibrium portfolio model with international trade in equity that encompasses complete and incomplete asset market scenarios. By separating asset prices and quantities in the definition of net foreign assets, we can characterize the first-order dynamics of both valuation effects and net foreign equity holdings. First-order excess returns are unanticipated and i.i.d. in our model, but capital gains and losses on equity positions feature persistent, anticipated dynamics in response to productivity shocks. The separation of prices and quantities in net foreign assets also enables us to characterize fully the role of capital gains and losses versus the current account in the dynamics of macroeconomic aggregates. Specifically, we disentangle the roles of excess returns, capital gains, and portfolio adjustment for consumption risk sharing when financial markets are incomplete, showing how these different channels contribute to dampening (or amplifying) the impact response of the cross-country consumption differential to shocks and to keeping it constant in subsequent periods.
主题International Macroeconomics
关键词Current account Equity Net foreign assets Risk sharing Valuation
URLhttps://cepr.org/publications/dp10564
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/539396
推荐引用方式
GB/T 7714
Fabio Ghironi,Alessandro Rebucci,Jaewoo Lee. DP10564 The Valuation Channel of External Adjustment. 2015.
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