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Record Nr. |
UNINA9910973786903321 |
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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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9786612842344 |
9781462304325 |
146230432X |
9781451988284 |
1451988281 |
9781451871593 |
1451871597 |
9781282842342 |
128284234X |
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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 |
Capital and Ownership Structure |
Consumption |
Currencies |
Deflation |
Economics |
Financial institutions |
Financial Instruments |
Financial regulation and supervision |
Financial Risk and Risk Management |
Financial risk management |
Financial services law & regulation |
Financing Policy |
Foreign Exchange |
Goodwill |
Government and the Monetary System |
Hedging |
Inflation |
Institutional Investors |
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International Finance: General |
Investment & securities |
Investment Decisions |
Investments: Stocks |
Macroeconomics |
Macroeconomics: Consumption |
Monetary economics |
Monetary Systems |
Money and Monetary Policy |
Money |
National accounts |
Non-bank Financial Institutions |
Open Economy Macroeconomics |
Payment Systems |
Pension Funds |
Portfolio Choice |
Price Level |
Prices |
Regimes |
Saving |
Standards |
Sticky prices |
Stocks |
Value of Firms |
Wealth |
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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