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dc.contributor.authorGhironi, Fabioen
dc.contributor.authorLee, Jaewooen
dc.contributor.authorRebucci, Alessandroen
dc.date.accessioned2010-01-05-
dc.date.accessioned2012-02-23T08:00:41Z-
dc.date.available2012-02-23T08:00:41Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of Boston |cBoston, MAen
dc.relation.ispartofseries|aWorking Papers |x09-18en
dc.subject.jelF32en
dc.subject.jelF41en
dc.subject.jelG11en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordcurrent accounten
dc.subject.keywordequityen
dc.subject.keywordnet foreign assetsen
dc.subject.keywordrisk sharingen
dc.subject.keywordvaluationen
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwIntegrationen
dc.subject.stwWertpapierhandelen
dc.subject.stwEntscheidung bei Risikoen
dc.subject.stwZahlungsbilanzungleichgewichten
dc.subject.stwTransmissionsmechanismusen
dc.subject.stwDynamisches Modellen
dc.titleThe valuation channel of external adjustment-
dc.typeWorking Paperen
dc.identifier.ppn615796990en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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