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An asset-pricing view of external adjustment

Author: Anna Pavlova; Roberto Rigobón; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2007.
Series: Working paper series (National Bureau of Economic Research), no. 13468.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Recent evidence on the importance of cross-border equity flows calls for a rethinking of the standard theory of external adjustment. We introduce equity holdings and portfolio choice into an otherwise conventional open-economy dynamic equilibrium model. Our model is simple and admits a closed-form solution regardless of whether financial markets are complete or incomplete. We find that the excessive emphasis put in  Read more...
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Additional Physical Format: Print version:
Pavlova, Anna, 1973-
Asset-pricing view of external adjustment.
Cambridge, Mass. : National Bureau of Economic Research, 2007
(OCoLC)180765883
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Anna Pavlova; Roberto Rigobón; National Bureau of Economic Research.
OCLC Number: 173817016
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2011. MiAaHDL
Description: 1 online resource (1 volume).
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: Working paper series (National Bureau of Economic Research), no. 13468.
Responsibility: Anna Pavlova, Roberto Rigobon.

Abstract:

Recent evidence on the importance of cross-border equity flows calls for a rethinking of the standard theory of external adjustment. We introduce equity holdings and portfolio choice into an otherwise conventional open-economy dynamic equilibrium model. Our model is simple and admits a closed-form solution regardless of whether financial markets are complete or incomplete. We find that the excessive emphasis put in the literature on solving models with incomplete markets for the sole purpose of obtaining nontrivial implications for the current account is misplaced. We revisit the current debate on the relative importance of the standard vs. the capital-gains-based (or "valuation'') channels of the external adjustment and establish that in our framework they are congruent. Our model's implications are consistent with a number of intriguing stylized facts documented in the recent empirical literature.

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