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The Valuation Channel of External Adjustment.

Author: Jaewoo Lee; Fabio Ghironi; Alessandro Rebucci
Publisher: Washington : International Monetary Fund, 2009.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : 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:
Lee, Jaewoo.
Valuation Channel of External Adjustment.
Washington : International Monetary Fund, ©2009
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jaewoo Lee; Fabio Ghironi; Alessandro Rebucci
ISBN: 9781452767208 1452767203
OCLC Number: 870244704
Description: 1 online resource (70 pages).
Contents: Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. The Model; A. Households and Governments; B. Firms; C. Some Useful Properties; D. The Steady-State Portfolio and the Role of Labor Supply Elasticity; III. The Anatomy of Portfolio Adjustment and Valuation; A. First-Order Portfolio Adjustment and Valuation; B. Valuation, Portfolio Adjustment, and Macroconomic Dynamics; IV. The Valuation Channel at Work; A. Calibration; B.A Productivity Shock; 1. Impulse Responses, Productivity Shock; 2. Comparison of Valuation Measures, Productivity Shock. 3. Valuation, the Current Account, and Risk Sharing, Productivity ShockC. A Government Spending Shock; 4. Impulse Responses, Government Spending Shock; 5. Valuation, the Current Account, and Risk Sharing, Government Spending Shock; V. Conclusion; References; Footnotes.
Series Title: IMF Working Papers.

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 consum.

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