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dc.contributor.authorGhironi, Fabioen_US
dc.contributor.authorLee, Jaewooen_US
dc.contributor.authorRebucci, Alessandroen_US
dc.date.accessioned2010-01-05en_US
dc.date.accessioned2012-02-23T08:00:41Z-
dc.date.available2012-02-23T08:00:41Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/55579-
dc.description.abstractInternational 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. Firstorder 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.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of Boston Boston, Mass.en_US
dc.relation.ispartofseriesWorking paper series // Federal Reserve Bank of Boston 09-18en_US
dc.subject.jelF32en_US
dc.subject.jelF41en_US
dc.subject.jelG11en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordcurrent accounten_US
dc.subject.keywordequityen_US
dc.subject.keywordnet foreign assetsen_US
dc.subject.keywordrisk sharingen_US
dc.subject.keywordvaluationen_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwIntegrationen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwEntscheidung bei Risikoen_US
dc.subject.stwZahlungsbilanzungleichgewichten_US
dc.subject.stwTransmissionsmechanismusen_US
dc.subject.stwDynamisches Modellen_US
dc.titleThe valuation channel of external adjustmenten_US
dc.typeWorking Paperen_US
dc.identifier.ppn615796990en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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