Gravity in International Finance

• 成果类型: Article
• 署名作者: Okawa, Yohei; van Wincoop, Eric
• 署名单位: University of Virginia; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2012.01.006
• 发表日期: 2012
• 页码: 205-215
• 关键词: gravity; Cross-border asset holdings; International finance; Global frictions

摘要

The past decade has witnessed an explosion of papers estimating gravity equations for cross-border financial holdings without much of a theoretical foundation. In this paper we develop a theory for bilateral asset holdings that takes a gravity form. We discuss how to estimate international financial frictions and conduct comparative statics analysis within the context of the theory. We also find though that reasonable extensions of the model no longer generate a gravity form. While this does not significantly complicate estimation and comparative statics analysis, it raises questions about the empirical validity of gravity specifications for cross-border financial holdings that need to be addressed in future work. (C) 2012 Elsevier B.V. All rights reserved.