NBER International Seminar on Macroeconomics最新文献_第8页

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NBER International Seminar on Macroeconomics Pub Date : 2010-01-01 DOI: 10.1086/648695

John C. Williams

{"title":"Comment","authors":"John C. Williams","doi":"10.1086/648695","DOIUrl":"https://doi.org/10.1086/648695","url":null,"abstract":"Dennis Quinn and Hans‐Joachim Voth’s paper “Free Flow, Limited Diversification: Openness and the Fall and Risk of Stock Market Correlations, 1890–2001” provides important new data and insights into the causes of the portfolio home bias puzzle, a topic that has intrigued economists for decades (see Lewis [1999] for a summary of the literature). Historically, the correlation of equity returns across countries has been relatively low, suggesting that investors could significantly reduce risk by diversifying their portfolios to include greater shares of foreign stocks. But, investors often have not done so. Rather, they have tended to overweight domestic equities relative to foreign equities. This paper provides evidence that the lack of international portfolio diversification in part reflects restrictions on capital mobility. In a nutshell, investors historically did not take advantage of the hypothesized gains from international diversification because they were not allowed to do so. In particular, the authors find that the low historical correlation in equity returns is associated with periods in which capital controls were very restrictive. With the widespread relaxation of capital controls in recent decades, the correlations of equity returns across countries have risen dramatically, suggesting that the hypothetical benefits from diversification have shrunk just as investors have gained the ability to take advantage of them. The paper makes two key contributions. First, the authors extend the Quinn‐Toyoda measure of capital account openness to cover over 110 years of data for 16 countries. Data are a public good essential for research, and the creation of new high‐quality data is worthy of high praise on its own. Second, the paper provides compelling evidence of a positive empirical link between theirmeasure of capitalmarket openness and correlations in equity returns across pairs of countries. Above and beyond the application to the portfolio home bias puzzle, these","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116579592","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}

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Relation of the Directors to the Work and Publications of the NBER 局长与国家经济研究局工作及出版物之关系

NBER International Seminar on Macroeconomics Pub Date : 2010-01-01 DOI: 10.1086/653734

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NBER International Seminar on Macroeconomics Pub Date : 2010-01-01 DOI: 10.1086/648704

D. Giannone

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Copyright 版权

NBER International Seminar on Macroeconomics Pub Date : 2010-01-01 DOI: 10.1086/653732

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NBER International Seminar on Macroeconomics Pub Date : 2010-01-01 DOI: 10.1086/648703

M. Chinn

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NBER Board of Directors NBER董事会

NBER International Seminar on Macroeconomics Pub Date : 2010-01-01 DOI: 10.1086/653733

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NBER International Seminar on Macroeconomics Pub Date : 2010-01-01 DOI: 10.1086/648708

J. Eaton

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NBER International Seminar on Macroeconomics Pub Date : 2010-01-01 DOI: 10.1086/648700

Richard Clarida

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NBER International Seminar on Macroeconomics Pub Date : 2010-01-01 DOI: 10.1086/648712

Michael W. Klein

{"title":"Comment","authors":"Michael W. Klein","doi":"10.1086/648712","DOIUrl":"https://doi.org/10.1086/648712","url":null,"abstract":"In a commonly mentioned incident (although, as it turns out, an apocryphal one), F. Scott Fitzgerald opined, “The rich are different from you and me,” to which Ernest Hemingway replied “Yes, they have more money.” “External Performance in Low‐IncomeCountries,” by LoneChristiansen, Alessandro Prati, Luca Antonio Ricci, and Thierry Tressel, revisits the Fitzgerald‐Hemingway controversy. Do the rich (countries) differ from others, at least in terms of the determinants of the current account, the real exchange rate, and net foreign asset holdings? This is an interesting issue since it gets at the question of whether “development macroeconomics” is a distinct branch of macroeconomics. It is also an important issue because of its relevance for policy prescriptions: can policy for low‐income countries be based on analysis drawn from empirical results for high‐income countries? One can think of two empirically relevant sets of differences in the determination of macroeconomic variables such as the current account, the real exchange rate, and net foreign asset holdings between rich and poor countries. First, there may be variables that are important in poor countries but either are not present or are of very minor importance in rich countries. For example, concessional loans may be an important source of (or response to) fluctuations in macroeconomic variables in poor countries, but not in rich countries. Second, differences in structure between low‐income and high‐income countries may lead to different relationships between variables that are relevant for both sets of countries. Here, one can imagine that the response of the current account to a change in the fiscal stance is fundamentally different in low‐income countries than in high‐income countries for a variety of reasons, including themore pervasive role of government in the former than in the latter. In this paper, the results on the determination of the current account show that both of these sets of differences are possibly important. For","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132027091","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}

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External Balance in Low‐Income Countries 低收入国家的外部平衡

NBER International Seminar on Macroeconomics Pub Date : 2010-01-01 DOI: 10.1086/648710

L. Christiansen, A. Prati, L. Ricci, T. Tressel

{"title":"External Balance in Low‐Income Countries","authors":"L. Christiansen, A. Prati, L. Ricci, T. Tressel","doi":"10.1086/648710","DOIUrl":"https://doi.org/10.1086/648710","url":null,"abstract":"This paper investigates empirically the external balance of low‐income countries by offering a coherent analysis of determinants of medium‐ to long‐term real exchange rates, current accounts, and net foreign assets and highlighting factors that are more likely to be specific to these countries. The rise and persistence of large external imbalances in recent years have renewed interest in this area from an empirical and theoretical perspective and have also highlighted the need for a multipronged approach to the analysis of external balances on the basis of multiple indicators. In this paper, the simultaneous analysis of the three aforementioned indicators of external balance allows us to check the consistency of the results across indicators, an effort generally absent in the literature. The focus on low‐income countries aims at filling another gap. Although the literature on the determinants of the real exchange rate and of the current account is very vast, very few contributions focus specifically on low‐income countries or account for features that are quite specific to—or more important for—this set of countries. Our analysis emphasizes factors such as structural policy and institutional distortions, access to special external financing, and a larger macroeconomic sensitivity to exogenous shocks. For the purpose of the empirical analysis, extensive efforts were required to create a wide database, which is unique in terms of the set of indicators and countries covered. A large literature has based the analysis of medium‐term determinants of current accounts on the standard intertemporal approach to the current account emphasizing saving and investment decisions (see, e.g., Chinn and Prasad 2003; Lee et al. 2008). A more recent empirical literature has aimed at explaining the patterns of global imbalances that have","PeriodicalId":353207,"journal":{"name":"NBER International Seminar on Macroeconomics","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131326865","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: 2