Financial integration and the wealth effect of exchange rate fluctuations

• 成果类型: Article
• 署名作者: Tille, Cedric
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2008.02.003
• 发表日期: 2008
• 页码: 283-294
• 关键词: Foreign assets; valuation effect; Exchange rate; asset prices; interdependence

摘要

Recent years have witnessed a large increase in international financial integration in the form of largely offsetting cross-holdings across countries. We assess how such financial leverage affects the international transmission of monetary shocks, and find that it leads to sizable welfare differentials that far exceed the impact due to nominal rigidities. We document the relevance of the exact nature of holdings, with bond holdings associated with larger effects than equity holdings. The impact of financial leverage on welfare is also sensitive to the extent of exchange rate pass-through and the substitutability between goods produced in different countries. (C) 2008 Elsevier B.V. All rights reserved.