Board of Governors: International Finance Discussion Papers (Topic)最新文献_第3页

Diversification Across Characteristics 跨特征多样化

Board of Governors: International Finance Discussion Papers (Topic) Pub Date : 2009-12-01 DOI: 10.2139/SSRN.1536765

Erik Hjalmarsson

引用次数: 2

The Stambaugh Bias in Panel Predictive Regressions 面板预测回归中的斯坦博偏差

Board of Governors: International Finance Discussion Papers (Topic) Pub Date : 2007-11-01 DOI: 10.2139/ssrn.1088784

Erik Hjalmarsson

引用次数: 31

A Note on the Coefficient of Determination in Models with Infinite Variance Variables 关于无穷方差变量模型的决定系数的注记

Board of Governors: International Finance Discussion Papers (Topic) Pub Date : 2007-05-01 DOI: 10.2139/ssrn.996664

Jeong-Ryeol Kurz-Kim, M. Loretan

引用次数: 5

Trade Adjustment and the Composition of Trade 贸易调整与贸易构成

Board of Governors: International Finance Discussion Papers (Topic) Pub Date : 2006-04-01 DOI: 10.2139/ssrn.903424

C. Erceg, L. Guerrieri, Christopher Gust

{"title":"Trade Adjustment and the Composition of Trade","authors":"C. Erceg, L. Guerrieri, Christopher Gust","doi":"10.2139/ssrn.903424","DOIUrl":"https://doi.org/10.2139/ssrn.903424","url":null,"abstract":"A striking feature of U.S. trade is that both imports and exports are heavily concentrated in capital goods and consumer durables. However, most open economy general equilibrium models ignore the marked divergence between the composition of trade flows and the sectoral composition of U.S. expenditure, and simply posit import and exports as depending on an aggregate measure of real activity (such as domestic absorption). In this paper, we use a SDGE model (SIGMA) to show that taking account of the expenditure composition of U.S. trade in an empirically-realistic way yields implications for the responses of trade to shocks that are markedly different from those of a \"standard\" framework that abstracts from such compositional differences. Overall, our analysis suggests that investment shocks, originating from either foreign or domestic sources, may serve as an important catalyst for trade adjustment, while implying a minimal depreciation of the real exchange rate. Moreover, while policy changes that boost investment abroad could serve to significantly improve the U.S. trade balance through an export channel, reforms oriented at stimulating foreign consumption would exert less of a corrective force on the trade balance, and primarily work by restraining real U.S. imports","PeriodicalId":287856,"journal":{"name":"Board of Governors: International Finance Discussion Papers (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129794606","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 77

New Methods for Inference in Long-Run Predictive Regressions 长期预测回归推理的新方法

Board of Governors: International Finance Discussion Papers (Topic) Pub Date : 2006-01-01 DOI: 10.2139/ssrn.894269

Erik Hjalmarsson

引用次数: 11

Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data 电子经纪系统数据中的订单流和汇率动态

Board of Governors: International Finance Discussion Papers (Topic) Pub Date : 2005-04-01 DOI: 10.2139/ssrn.709181

David W. Berger, A. Chaboud, S. Chernenko, E. Howorka, Raj S.K. Iyer, David Liu, Jonathan H. Wright

{"title":"Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data","authors":"David W. Berger, A. Chaboud, S. Chernenko, E. Howorka, Raj S.K. Iyer, David Liu, Jonathan H. Wright","doi":"10.2139/ssrn.709181","DOIUrl":"https://doi.org/10.2139/ssrn.709181","url":null,"abstract":"We analyze the association between order flow and exchange rates using a new dataset representing a majority of global interdealer transactions in the two most-traded currency pairs at the one minute frequency over a six-year time period. This long span of high-frequency data allows us to gain new insights about the joint behavior of these series. We first confirm the presence of a substantial association between interdealer order flow and exchange rate returns at horizons ranging from 1Â min to two weeks, but find that the association is substantially weaker at longer horizons. We study the time-variation of the association between exchange rate returns and order flow both intradaily and over the long term, and show that the relationship appears to be stronger when market liquidity is lower. Overall, our study supports the view that liquidity effects play an important role in the relationship between order flow and exchange rate changes. This by no means rules out a role for order flow as a channel by which fundamental information is transmitted to the market, as we show that our findings are quite consistent with a recent model by Bacchetta and Van Wincoop (2006: Can information heterogeneity explain the exchange rate determination puzzle? American Economic Review, 96, pp. 552-576.) that combines both liquidity and information effects.","PeriodicalId":287856,"journal":{"name":"Board of Governors: International Finance Discussion Papers (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130319921","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 207

What Makes Investors Over or Underweight? Explaining International Appetites for Foreign Equities 投资者为何增持或减持?解释国际投资者对外国股票的兴趣

Board of Governors: International Finance Discussion Papers (Topic) Pub Date : 2004-09-01 DOI: 10.2139/ssrn.600587

Carol C. Bertaut, Linda S. Kole

{"title":"What Makes Investors Over or Underweight? Explaining International Appetites for Foreign Equities","authors":"Carol C. Bertaut, Linda S. Kole","doi":"10.2139/ssrn.600587","DOIUrl":"https://doi.org/10.2139/ssrn.600587","url":null,"abstract":"Using data from the IMF Coordinated Portfolio Investment Surveys conducted in 2001, we analyze the determinants of 31 countries' international equity holdings. We show that investors in all countries underweight U.S. equities in their portfolios, many by more than they underweight foreign equities in general. Such behavior is surprising given the common perception of the United States as a desirable investment destination due to its well-developed legal and regulatory environment. Instead we find that investors in some countries are overweight in equities from other countries with which they have close regional or political ties. Such ties, along with distance, trade, issuance of U.S. ADRs or cross-listing on the London Stock exchange, market concentration, and estimated betas, help explain patterns of diversification. However, even when all these variables are included, we find significant fixed effects for most countries, suggesting that a considerable amount of cross-country variation in investment positions and in home bias remains to be explained. Our work confirms previous findings and extends results most completely documented for the United States to other major investor countries. But it also suggests caution should be used when interpreting results derived from studies of one or a few countries.","PeriodicalId":287856,"journal":{"name":"Board of Governors: International Finance Discussion Papers (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115531294","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 44

Consumption, Durable Goods, and Transaction Costs 消费、耐用品和交易成本

Board of Governors: International Finance Discussion Papers (Topic) Pub Date : 2003-01-01 DOI: 10.2139/ssrn.382061

Robert F. Martin

引用次数: 53

'Big Bang' Deregulation and Japanese Corporate Governance: A Survey of the Issues “大爆炸”式的放松管制与日本公司治理:问题综述

Board of Governors: International Finance Discussion Papers (Topic) Pub Date : 1998-09-01 DOI: 10.2139/ssrn.133552

Michael S. Gibson

引用次数: 25

Raising an Inflation Target: The Japanese Experience with Abenomics 提高通胀目标:日本的安倍经济学经验

Board of Governors: International Finance Discussion Papers (Topic) Pub Date : 1900-01-01 DOI: 10.17016/IFDP.2016.1168

Andrea De Michelis, Matteo Iacoviello

引用次数: 41