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Record Nr. |
UNINA9910817535303321 |
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Autore |
Matsumoto Akito |
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Titolo |
The International Diversification Puzzle when Goods Prices Are Sticky : : It's Really About Exchange-Rate Hedging, not Equity Portfolios / / Akito Matsumoto, Charles Engel |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2009 |
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ISBN |
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1-4623-0432-X |
9786612842344 |
1-4519-8828-1 |
1-4518-7159-7 |
1-282-84234-X |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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Collana |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Hedging (Finance) |
Foreign exchange rates |
Banks and Banking |
Investments: Stocks |
Macroeconomics |
Money and Monetary Policy |
International Finance: General |
Foreign Exchange |
Open Economy Macroeconomics |
Portfolio Choice |
Investment Decisions |
Pension Funds |
Non-bank Financial Institutions |
Financial Instruments |
Institutional Investors |
Price Level |
Inflation |
Deflation |
Monetary Systems |
Standards |
Regimes |
Government and the Monetary System |
Payment Systems |
Macroeconomics: Consumption |
Saving |
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Wealth |
Financing Policy |
Financial Risk and Risk Management |
Capital and Ownership Structure |
Value of Firms |
Goodwill |
Investment & securities |
Monetary economics |
Financial services law & regulation |
Stocks |
Sticky prices |
Currencies |
Consumption |
Hedging |
Financial institutions |
Prices |
Money |
Financial regulation and supervision |
National accounts |
Economics |
Financial risk management |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Intro -- Contents -- I. Introduction -- II. A General Result in a Static Framework -- III. A Simple Equilibrium Static Model -- A. Households -- B. Firms -- C. Solution of the Static Model -- IV. Dynamic Model -- A. Household Problem -- B. Firms -- C. Solution of the Dynamic Model -- D. Calibrated Portfolios -- V. Conclusion -- Table -- 1. Optimal Portfolio Shares of Foreign Equities -- Appendix -- References. |
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Sommario/riassunto |
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This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in these assets achieves the same allocations as trade in a complete set of nominal state-contingent claims in our linearized model. When there is a high degree of price stickiness, we show that not much equity diversification is required to replicate the complete-markets equilibrium when agents are able to hedge foreign exchange risk sufficiently. Moreover, temporarily sticky nominal goods prices can have large effects on equity portfolios even when dividend processes are very persistent. |
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