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The valuation channel of external adjustment

Author: Fabio Ghironi; Jaewoo Lee; Alessandro Rebucci; International Monetary Fund. Research Department.
Publisher: [Washington, D.C.] : International Monetary Fund, ©2009.
Series: IMF working paper, WP/09/275.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
International financial integration has greatly increased the scope for changes in a country's net foreign asset position through the valuation channel, namely capital gains and losses on external assets and liabilities. We examine this valuation channel in a dynamic equilibrium portfolio model with international trade in equity. By separating asset prices and quantities, we can characterize the first-order dynamics  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Ghironi, Fabio.
Valuation channel of external adjustment.
[Washington, D.C.] : International Monetary Fund, ©2009
(OCoLC)587497235
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Fabio Ghironi; Jaewoo Lee; Alessandro Rebucci; International Monetary Fund. Research Department.
OCLC Number: 680613473
Description: 1 online resource (40 pages) : color illustrations.
Series Title: IMF working paper, WP/09/275.
Responsibility: prepared by Fabio Ghironi, Jaewoo Lee and Alessandro Rebucci.

Abstract:

International financial integration has greatly increased the scope for changes in a country's net foreign asset position through the valuation channel, namely capital gains and losses on external assets and liabilities. We examine this valuation channel in a dynamic equilibrium portfolio model with international trade in equity. By separating asset prices and quantities, we can characterize the first-order dynamics of valuation effects and the current account in macroeconomic dynamics. Specifically, we disentangle the roles of excess returns, capital gains, and portfolio adjustment for consumption risk sharing when financial markets are incomplete.

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