Stock Markets and Real Exchange Rate: An Intertemporal Approach
The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such as t...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2003
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Schriftenreihe: | IMF Working Papers
Working paper No. 03/109 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
Zusammenfassung: | The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such as the variance and covariance of the risky assets or demographic variables, affect the real exchange rate. The predictions of the model are contrasted with the Balassa-Samuelson effect. A new transmission channel of the real exchange rate for parameters such as income on net foreign assets, risk aversion, and risk-hedging opportunities is also explored |
Beschreibung: | 1 Online-Ressource (35 p) |
ISBN: | 1451853238 9781451853230 |
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index_date | 2024-07-03T20:13:23Z |
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spelling | Mercereau, Benoît Verfasser aut Stock Markets and Real Exchange Rate An Intertemporal Approach Mercereau, Benoît Washington, D.C International Monetary Fund 2003 1 Online-Ressource (35 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working paper No. 03/109 The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such as the variance and covariance of the risky assets or demographic variables, affect the real exchange rate. The predictions of the model are contrasted with the Balassa-Samuelson effect. A new transmission channel of the real exchange rate for parameters such as income on net foreign assets, risk aversion, and risk-hedging opportunities is also explored Online-Ausg http://elibrary.imf.org/view/IMF001/06515-9781451853230/06515-9781451853230/06515-9781451853230.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Mercereau, Benoît Stock Markets and Real Exchange Rate An Intertemporal Approach |
title | Stock Markets and Real Exchange Rate An Intertemporal Approach |
title_auth | Stock Markets and Real Exchange Rate An Intertemporal Approach |
title_exact_search | Stock Markets and Real Exchange Rate An Intertemporal Approach |
title_exact_search_txtP | Stock Markets and Real Exchange Rate An Intertemporal Approach |
title_full | Stock Markets and Real Exchange Rate An Intertemporal Approach Mercereau, Benoît |
title_fullStr | Stock Markets and Real Exchange Rate An Intertemporal Approach Mercereau, Benoît |
title_full_unstemmed | Stock Markets and Real Exchange Rate An Intertemporal Approach Mercereau, Benoît |
title_short | Stock Markets and Real Exchange Rate |
title_sort | stock markets and real exchange rate an intertemporal approach |
title_sub | An Intertemporal Approach |
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