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作者：SELLIN, P; WERNER, IM
作者单位：Stanford University; Stockholm University; National Bureau of Economic Research
摘要：This paper examines quantitative international investment barriers in a general equilibrium model. The constraints force otherwise similar agents to hold different portfolios of risky assets. We show that this induces lending and borrowing. This in turn introduces a hedging motive against shifts in the interest rate. The factors affecting agents' portfolio choice, the allocation of capital across countries, as well as the interest rate are characterized. We conjecture that the equilibrium worl...
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作者：DICK, AR
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作者：SHIVAKUMAR, R
摘要：I consider a trade policy game in which the choice of policy (subsidy or quota) and time of implementation [before (commit) or after (delay) observing the random demand intercept] is endogenously determined. Each country has four possible options: CQ, CS, DS and DQ, where CQ denotes a commitment to a quota and the other options are similarly labeled. For the special case of an international duopoly, countries prefer quotas to subsidies: CQ is chosen if noise is 'small' and DQ if noise is 'larg...
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作者：KOFMAN, P; DEVAAL, A; DEVRIES, CG
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Non-parametric tolerance limits are employed to calculate soft margins such as advocated in Williamson's target zone proposal. In particular, the tradeoff between softness and zone width is quantified. This may be helpful in choosing appropriate margins. Furthermore, it offers policymakers a framework for reference in the case of changing exchange rate policy. The empirical applications include an evaluation of the EMS zone width. We also show that the procedures for calculating the soft margi...
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作者：DANIEL, BC
作者单位：University of Osaka
摘要：This paper uses Blanchard's (1985) overlapping-generations model to study a current tax reduction followed by a future budget-balancing tax increase at an unknown date. Assuming that the rate of time preference equals the interest rate. the tax cut creates a trade deficit which grows before it eventually shrinks. With certainty regarding the timing of future taxes, the initial deficit immediately improves. The former path for the trade deficit is consistent with events in the United States fol...
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作者：VANDERPLOEG, F
摘要：Four channels of international budgetary and monetary policy transmission are analysed within the context of nominal wage sluggishness. The first is based on capital gains on holdings of foreign assets. Spill-over effects arising through the second and third channels depend on whether home and foreign goods are gross substitutes or gross complements and on whether the elasticity of intertemporal substitution is less or greater than one. The final channel assumes finite lifetimes and no bequest...
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作者：ROWLANDS, D
摘要：The inability of governments to pre-commit to certain policies often results in Pareto-inefficient equilibria. A policy is not time-consistent if it requires a course of action that will subsequently become undesirable. This paper examines the possibility of creating constitutional rules which can support sovereign debt contracts which would otherwise violate the requirement of time-consistency. The possibility of establishing international reputation with internal enforcement mechanisms is se...
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作者：WEST, KD; EDISON, HJ; CHO, D
作者单位：Federal Reserve System - USA; Texas A&M University System; Texas A&M University College Station
摘要：When estimates of variances are used to make asset allocation decisions, underestimates of population variances lead to lower expected utility than equivalent overestimates: a utility-based criterion is asymmetric, unlike standard criteria such as mean squared error. To illustrate how to estimate a utility-based criterion, we use five bilateral weekly dollar exchange rates, 1973-1989, and the corresponding pair of Eurodeposit rates. Of homoskedastic, GARCH, autoregressive and non-parametric mo...
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作者：FINGER, JM
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作者：RASMUSSEN, BS
摘要：Optimal exchange rate regimes for small open economies with economy-wide wage setting and privately optimal wage indexation schemes are analysed. A fully discretionary. exchange rate regime (a managed float) offers flexibility while a credible fixed exchange rate regime offers price stability. Due to the time-inconsistency problem optimal wage indexation under a managed float may imply complete indexation of wages to prices. A managed float is shown to be unambiguously superior to a binding fi...
