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作者：ISHIKAWA, J
摘要：This paper presents a simple dynamic model which allows for changes in both industrial structure and trade patterns during the process of economic growth. Learning by doing in the producer-service sector is the source of endogenous growth. Interesting interdependences between economic growth and the structure of the economy are obtained: economic growth is accompanied by changes in industrial structure and comparative advantage, while changes in industrial composition of the manufacturing sect...
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作者：ENGEL, C
作者单位：Federal Reserve System - USA
摘要：The foreign exchange risk premium in a cash-in-advance model is investigated. Some weaknesses of the definition of the risk premium generally used are discussed. It is shown that the primary ultimate source of foreign exchange risk is the covariance of monetary shocks with real output shocks. Several studies have assumed this covariance is zero, and hence assumed away the major source of risk in the model. Finally, the risk premium generated from standard versions of this model is argued to be...
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作者：ITO, T; ENGLE, RF; LIN, WL
作者单位：Hitotsubashi University; National Bureau of Economic Research; University of California System; University of California San Diego; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper examines the intra-daily volatility of the yen/dollar exchange rate over three different regimes from 1979 to 1988 which correspond to different degrees of international policy coordination. In each regime we test for heat wave vs. meteor shower effects. The heat wave hypothesis assumes that volatility has only country-specific autocorrelations, while the meteor shower hypothesis allows volatility spillovers across markets. Meteor showers can be caused by stochastic policy coordinat...
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作者：VANWINCOOP, E
摘要：This paper studies the response of savings and the production structure (tradeables/non-tradeables) to an increase in future terms of trade uncertainty, holding expected utility constant. There is no international trade in risky assets. The impact on the production structure is studied by analyzing the markets for domestic equity. The paper shows that the response of both non-tradeables production and savings is ambiguous. Cross country evidence indicates that an increase in terms of trade unc...
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作者：GIOVANNINI, A; PARK, JW
作者单位：Centre for Economic Policy Research - UK; INSEAD Business School
摘要：This paper studies the effects of prohibiting individuals from holding foreign assets, but of allowing firms to trade in foreign assets only up to what is needed to finance export and import activities. Although firms can perform arbitrage between domestic and foreign financial markets, the distortions in asset markets are not fully arbitraged away but instead are transmitted to domestic goods markets. The dynamics and steady-state responses to a variety of shocks are crucially affected by cap...
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作者：WILLETT, TD
作者单位：Claremont Colleges; Claremont McKenna College; Claremont Graduate University
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作者：RAFF, H
摘要：Incomplete information about a multinational enterprise's (MNE's) technology may induce a host country to expropriate the MNE's subsidiary even if other policy instruments are available. The threat of expropriation does not always deter foreign direct investment so that expropriation may actually occur with nonzero probability. Perfect sequential equilibria are derived for vertically and for horizontally integrated MNEs. The model provides predictions regarding the probability of expropriation...
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作者：AW, BY
摘要：This paper develops an empirical model to allow for imperfect competition in the market for traded goods. A simultaneous equation model incorporating the demand for and supply of Taiwanese footwear exports to the United States is specified and estimated. The model allows the identification of two separate sources of mark-ups in export prices. The first comes from the U.S.-imposed quantitative restriction on these exports. The second comes from imperfect competition in the international market ...
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作者：GUIDOTTI, PE; VEGH, CA
摘要：This paper studies the international transmission of monetary and fiscal disturbances under capital controls. The results are contrasted with those that obtain under perfect capital mobility. Under perfect capital mobility, permanent and unanticipated changes in domestic fiscal and monetary policies have no real effects abroad and the adjustment is instantaneous. In contrast, under capital controls, these disturbances are transmitted abroad and adjustment occurs only over time. The dynamic adj...
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作者：KORAJCZYK, RA; VIALLET, CJ
作者单位：INSEAD Business School
摘要：We investigate the relation between the risk premia observed in forward foreign exchange markets and international equity markets using the Arbitrage Pricing Theory. If returns on well-diversified equity portfolios explain movements in agents' intertemporal marginal rate of substitution, then the time variation in forward risk premia should be explained by the forward contract's sensitivity to the equity portfolios and the time variation in the risk premia of those portfolios. We find that equ...
