The International Diversification Puzzle when Goods Prices are Sticky.

This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in these assets achieves the same allocations as trade in a complete set of nominal state...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Matsumoto, Akito
Otros Autores: Engel, Charles
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Washington : International Monetary Fund, 2009.
Colección:IMF Working Papers.
Temas:
Hedging (Finance)
Foreign exchange rates.
Money > Tables.
Couverture (Finances)
Taux de change.
Money
Foreign exchange rates
Tables
Acceso en línea:Texto completo
Descripción
Sumario:This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in these assets achieves the same allocations as trade in a complete set of nominal state-contingent claims in our linearized model. When there is a high degree of price stickiness, we show that not much equity diversification is required to replicate the complete-markets equilibrium when agents are able to hedge foreign exchange risk sufficiently. Moreover, temporarily sticky nominal g.
Descripción Física:1 online resource (49 pages)
ISBN:9781451988284
1451988281

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