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Long-Term Capital Movements
Philip R. Lane,Philip R. Lane,Philip R. Lane,Gian Maria Milesi-Ferretti,Gian Maria Milesi-Ferretti +4 more
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In this paper, the authors show that a small set of fundamentals, such as the stock of public debt and demographic factors, can explain the evolution of net foreign asset positions and provide evidence that a portfolio balance effect exists: real interest rate differentials are inversely related to net foreign assets positions.Abstract:
International financial integration allows countries to become net creditors or net debtors with respect to the rest of the world. In this Paper, we show that a small set of fundamentals shifts in relative output levels, the stock of public debt and demographic factors can do much to explain the evolution of net foreign asset positions. In addition, we highlight that 'external wealth' plays a critical role in determining the behavior of the trade balance, both through shifts in the desired net foreign asset position and the investment returns generated on the outstanding stock of net foreign assets. Finally, we provide some evidence that a portfolio balance effect exists: real interest rate differentials are inversely related to net foreign asset positions.read more
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Emerging market business cycles: the cycle is the trend
Mark Aguiar,Gita Gopinath +1 more
TL;DR: In this article, the authors find that shocks to trend growth rather than transitory fluctuations around a stable trend are the primary source of fluctuations in emerging markets, and the key features of emerging market business cycles are then shown to be consistent with this underlying income process in an otherwise standard equilibrium model.
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Current Account Deficits in the Euro Area. The End of the Feldstein Horioka Puzzle
Olivier Blanchard,Olivier Blanchard,Francesco Giavazzi,Francesco Giavazzi,Francesco Giavazzi +4 more
TL;DR: This paper showed that Portugal and Greece are representative of a broader evolution: increasing goods and financial market integration is leading to an increasing decoupling of saving and investment within the European Union, and even more so within the Euro area.
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Foreign Capital and Economic Growth
TL;DR: In this paper, the authors find no evidence that providing financing in excess of domestic saving is the channel through which financial integration delivers its benefits, at least conditional on their existing institutional and financial structures.
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Terrorism and the World Economy
TL;DR: Abadie et al. as mentioned in this paper used a simple economic model to show that terrorism may have a large impact on the allocation of productive capital across countries, even if it represents a small fraction of the overall economic risk.
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International Financial Integration
Philip R. Lane,Philip R. Lane,Philip R. Lane,Gian Maria Milesi-Ferretti,Gian Maria Milesi-Ferretti,Gian Maria Milesi-Ferretti +5 more
TL;DR: In this article, the authors describe the broad trends in international financial integration for a sample of industrial countries, and seek to explain the cross-country and time-series variation in the size of international balance sheets.
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A simple estimator of cointegrating vectors in higher order integrated systems
James H. Stock,Mark W. Watson +1 more
TL;DR: In this paper, an efficient estimator of cointegrating vectors is presented for systems involving deterministic components and variables of differing, higher orders of integration. But the estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x 2 distributions.
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Spurious regression and residual-based tests for cointegration in panel data
TL;DR: In this paper, the null distribution of residual-based cointegration tests depends on the asymptotics of the least-squares dummy variable (LSDV) estimator and other conventional statistics.
ReportDOI
The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?
Maurice Obstfeld,Kenneth Rogoff +1 more
TL;DR: In this paper, the authors argue that by explicitly introducing costs of international trade (narrowly, transport costs, but more broadly, tariffs, nontariff barriers, and other trade costs), one can go far toward explaining a great number of the main empirical puzzles that international macroeconomists have struggled with over twenty-five years.
Posted Content
Debt, Deficits and Finite Horizons
TL;DR: In this article, the effects of the horizon index on the steady state interest rate and the dynamic effects of government deficit finance on the economic system were investigated and a simple analytical model was developed in which the horizon of agents is a parameter which can be chosen arbitrarily.
ReportDOI
Domestic Saving and International Capital Flows Reconsidered
TL;DR: In this article, a long literature since Feldstein and Horioka's seminal contribution documents the strong correlation of domestic saving and investment rates since the 1960s, and the result provides evidence of international capital market imperfections.