| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12937 |
| 来源ID | Working Paper 12937 |
| The Valuation Channel of External Adjustment | |
| Fabio Ghironi; Jaewoo Lee; Alessandro Rebucci | |
| 发表日期 | 2007-02-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Ongoing international financial integration has greatly increased foreign asset holdings across countries, enhancing the scope for a "valuation channel" of external adjustment (i.e., the changes in a country's net foreign asset position due to exchange rate and asset price changes). We examine this channel of adjustment in a dynamic stochastic general equilibrium model with international equity trading in incomplete asset markets. We show that the risk-sharing properties of international equity trading are tied to the distribution of income between labor income and profits when equities are defined as claims to firm profits in a production economy. For a given level of international financial integration (measured by the size of gross foreign asset positions), the quantitative importance of the valuation channel of external adjustment depends on features of the international transmission mechanism such as the size of financial frictions, substitutability across goods, and the persistence of shocks. Finally, moving from less to more international financial integration, risk sharing through asset markets increases, and valuation changes are larger, but their relative importance in net foreign asset dynamics is smaller. |
| 主题 | International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w12937 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570603 |
| 推荐引用方式 GB/T 7714 | Fabio Ghironi,Jaewoo Lee,Alessandro Rebucci. The Valuation Channel of External Adjustment. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12937.pdf（456KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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