Risk, external adjustment and capital flows
Tài liệu tham khảo
Abel, 1990, Asset prices under habit formation and catching up with the Joneses, Am. Econ. Rev., 80, 38
Backus, 1993, Consumption and real exchange rates in dynamic exchange economies with nontraded goods, J. Int. Econ., 35, 297, 10.1016/0022-1996(93)90021-O
Bansal, 2010, A long-run risks explanation of predictability puzzles in bond and currency markets
Bansal, 2004, Risks for the long run: a potential resolution of asset pricing puzzles, J. Financ., 59, 1481, 10.1111/j.1540-6261.2004.00670.x
Baxter, 1998, Nontraded goods, nontraded factors, and international non-diversification, J. Int. Econ., 44, 211, 10.1016/S0022-1996(97)00018-4
Bekaert, 2009, Risk, uncertainty, and asset prices, J. Financ. Econ., 91, 59, 10.1016/j.jfineco.2008.01.005
Bohn, 1996, U.S. investment in foreign markets: portfolio rebalancing or return chasing?, Am. Econ. Rev. Pap. Proc., 86, 77
Boldrin, 2001, Habit persistence, asset returns, and the business cycle, Am. Econ. Rev., 91, 149, 10.1257/aer.91.1.149
Brunnermeier, 2012, Macroeconomics with financial frictions: a survey
Buraschi, 2007, Habit formation and macroeconomic models of the term structure of interest rates, J. Financ., 62, 3009, 10.1111/j.1540-6261.2007.01299.x
Campa, 2008, Pass-through of exchange rates to consumption prices: what has changed and why?, 139
Campbell, 1999, By force of habit: a consumption-based explanation of aggregate stock market behavior, J. Polit. Econ., 107, 205, 10.1086/250059
Campbell, 2002
Chan, 2002, Catching up with the Joneses: heterogeneous preferences and the dynamics of asset prices, J. Polit. Econ., 110, 1255, 10.1086/342806
Coeurdacier, 2008, When bonds matter: home bias in goods and assets
Coeurdacier, 2012, Home bias in open economy financial macroeconomics, J. Econ. Lit., 51, 63, 10.1257/jel.51.1.63
Coeurdacier, 2010, International portfolios, capital accumulation and foreign assets dynamics, J. Int. Econ., 80, 100, 10.1016/j.jinteco.2009.05.006
Coeurdacier, 2011, The risky steady state, Am. Econ. Rev., 101, 398, 10.1257/aer.101.3.398
Colacito, 2011, Risks for the long run and the real exchange rate, J. Polit. Econ., 119, 153, 10.1086/659238
Constantinides, 1990, Habit formation: a resolution of the equity premium puzzle, J. Polit. Econ., 98, 519, 10.1086/261693
Corsetti, 2012, What drives US foreign borrowing? Evidence on the external adjustment to transitory and permanent shocks, Am. Econ. Rev., 102, 1062, 10.1257/aer.102.2.1062
Corsetti, 2008, International risk sharing and the transmission of productivity shocks, Rev. Econ. Stud., 75, 443, 10.1111/j.1467-937X.2008.00475.x
Detemple, 1991, Asset prices in an exchange economy with habit formation, Econometrica, 1633, 10.2307/2938283
Devereux, 2011, Solving for country portfolios in open economy macro models, J. Eur. Econ. Assoc., 9, 337, 10.1111/j.1542-4774.2010.01010.x
Devereux, 2010, Leverage constraints and the international transmission of shocks, J. Money Credit Bank., 42, 71, 10.1111/j.1538-4616.2010.00330.x
Engel, 1996, The forward discount anomaly and the risk premium: a survey of recent evidence, J. Empir. Financ., 3, 123, 10.1016/0927-5398(95)00016-X
Engel, 1999, Accounting for US real exchange rate changes, J. Polit. Econ., 107, 507, 10.1086/250070
Engel, 2013, Exchange rates and interest parity, vol. 4
Engel, 2009, The international diversification puzzle when goods prices are sticky: it's really about exchange-rate hedging, not equity portfolios, Am. Econ. J. Macroecon., 1, 155, 10.1257/mac.1.2.155
Evans, 2011, Exchange-rate dynamics
Evans, 2012, Exchange-rate dark matter
Evans, 2012, International capital flows and debt dynamics
Evans, 2007, International financial integration and the real economy, IMF Staff. Pap., 54, 220, 10.1057/palgrave.imfsp.9450011
Evans, 2012, A method for solving general equilibrium models with incomplete markets and many financial assets, J. Econ. Dyn. Control., 36, 1909, 10.1016/j.jedc.2012.05.010
Evans, 2014, International capital flows, returns and world financial integration, J. Int. Econ., 92, 14, 10.1016/j.jinteco.2013.10.007
Fama, 1984, Spot and forward exchange rates, J. Monet. Econ., 14, 319, 10.1016/0304-3932(84)90046-1
Ferson, 1991, Habit persistence and durability in aggregate consumption: empirical tests, J. Financ. Econ., 29, 199, 10.1016/0304-405X(91)90002-2
Forsgren Anders, 2002, Interior methods for nonlinear optimization, SIAM Rev., 44, 525, 10.1137/S0036144502414942
Froot, 2004, Equity style returns and institutional investor flows
Froot, 2001, The portfolio flows of international investors, J. Financ. Econ., 59, 151, 10.1016/S0304-405X(00)00084-2
Gourinchas, 2005, From World Banker to world venture capitalist: US external adjustment and the exorbitant privilege
Gourinchas, 2007, International financial adjustment, J. Polit. Econ., 115, 665, 10.1086/521966
Gourinchas, 2013, External adjustment, global imbalances, valuation effects, Handb. Int. Econ., 4
Hau, 2004, Can portfolio rebalancing explain the dynamics of equity returns, equity flows, and exchange rates?, Am. Econ. Rev. Pap. Proc., 94, 126, 10.1257/0002828041302389
Hau, 2006, Exchange rates, equity prices, and capital flows, Rev. Financ. Stud., 19, 273, 10.1093/rfs/hhj008
Heaton, 1995, An empirical investigation of asset pricing with temporally dependent preference specifications, Econometrica, 63, 681, 10.2307/2171913
Heyerdahl-Larsen, 2012
Hnatkovska, 2010, Home bias and high turnover: dynamic portfolio choice with incomplete markets, J. Int. Econ., 80, 113, 10.1016/j.jinteco.2009.06.006
Jeanne, 2010, Managing credit booms and busts: a Pigouvian taxation approach
Jermann, 1998, Asset pricing in production economies, J. Monet. Econ., 41, 257, 10.1016/S0304-3932(97)00078-0
Judd, 2001, Asymptotic methods for asset market equilibrium analysis, Economic Theory, 18, 127, 10.1007/PL00004130
Kim, 2010, Solving the incomplete market model with aggregate uncertainty using a perturbation method, J. Econ. Dyn. Control., 34, 50, 10.1016/j.jedc.2008.11.011
Lewis, 1995, Puzzles in international financial markets, vol. 3, 1913, 10.1016/S1573-4404(05)80017-6
Lewis, 2011, Global asset pricing
Meier, 2013, Financial globalization and monetary transmission
Menzly, 2004, Understanding predictability, J. Polit. Econ., 112, 1, 10.1086/379934
Moore, 2010, Solving exchange rate puzzles with neither sticky prices nor trade costs, J. Int. Money Financ., 29, 1151, 10.1016/j.jimonfin.2010.02.008
Obstfeld, 1995, The intertemporal approach to the current account, vol. 3, 1731
Pavlova, 2008
Preston, 2007, Incomplete markets, heterogeneity and macroeconomic dynamics
Rabitsch, 2013, International portfolios: a comparison of solution methods
Santos, 2010, Habit formation, the cross section of stock returns and the cash-flow risk puzzle, J. Financ. Econ., 98, 385, 10.1016/j.jfineco.2010.05.003
Schmitt-Grohe, 2003, Closing small open economy models, J. Int. Econ., 61, 163, 10.1016/S0022-1996(02)00056-9
Stathopoulos, 2012
Sundaresan, 1989, Intertemporally dependent preferences and the volatility of consumption and wealth, Rev. Financ. Stud., 2, 73, 10.1093/rfs/2.1.73
Tille, 2010, International capital flows, J. Int. Econ., 80, 157, 10.1016/j.jinteco.2009.11.003
Verdelhan, 2010, A habit-based explanation of the exchange rate risk premium, J. Financ., 65, 123, 10.1111/j.1540-6261.2009.01525.x
White, 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica, 817, 10.2307/1912934
