LEADER 06477oam 22012974 450 001 9910788347903321 005 20230721045657.0 010 $a1-4623-3660-4 010 $a1-4527-3292-2 010 $a1-4518-7196-1 010 $a9786612842702 010 $a1-282-84270-6 035 $a(CKB)3170000000055192 035 $a(EBL)1608157 035 $a(SSID)ssj0000941802 035 $a(PQKBManifestationID)11505472 035 $a(PQKBTitleCode)TC0000941802 035 $a(PQKBWorkID)10963924 035 $a(PQKB)10825723 035 $a(OCoLC)650278667 035 $a(MiAaPQ)EBC1608157 035 $a(IMF)WPIEE2009048 035 $a(EXLCZ)993170000000055192 100 $a20020129d2009 uf 0 101 0 $aeng 181 $ctxt 182 $cc 183 $acr 200 10$aInternational Currency Portfolios /$fMichael Kumhof 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a1 online resource (37 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4519-1631-0 320 $aIncludes bibliographical references. 327 $aContents; I. Introduction; II. The Model; A. Uncertainty; 1. Exogenous Processes; 2. Endogenous Processes; B. Households; C. Government; D. Equilibrium and Current Account; E. Interpretation of the Portfolio Share Equations; F. Equilibrium Diffusions; G. Computation of Equilibrium; H. Government Bond Market Interventions; III. The Baseline Economy; A. Calibration; B. Baseline Portfolio Equilibrium; IV. Comparing Alternative Economies; A. Standard Deviation of Monetary Shocks; B. Standard Deviation of Fiscal Shocks; C. Government Debt to GDP Ratios; V. Open Market Operations in Government Debt 327 $aVI. Conclusions Figures; 1. Household and Government Balance Sheets; 2. Effects of Money Supply Volatility, phi=phistar=1; 3. Effects of Money Supply Volatility, phi=phistar=0; 4. Effects of Government Spending Volatility, phi=phistar=1; 5. Effects of Government Debt, phi=phistar=1; 6. Home Open Market Operations, phi=phistar=1; 7. Home Open Market Operations, phi=phistar=0; 8. Home Open Market Operations, Large Gross FX Positions; References 330 3 $aThis paper develops a theory of international currency portfolios that holds in general equilibrium, and that is therefore not subject to the criticisms directed at the portfolio balance literature of the 1980s. It shows that, under plausible assumptions about fiscal policy, the relationship between the rates of return of different currency bonds is not correctly described by an arbitrage relationship but instead also depends on outstanding bond stocks. Other findings are: (1) There is a monotonically increasing relationship between domestic interest rates and the portfolio share of domestic currency denominated assets. This relationship is steep at low levels of government debt, and almost flat at high levels of government debt. (2) Optimal private sector foreign currency positions are negative, and their size is decreasing in exchange rate volatility. Under volatile exchange rates large negative aggregate net foreign asset positions can only be rationalized by assuming large public sector borrowing from foreign governments. (3) For a baseline economy with zero net foreign assets, open market sales of domestic government debt lead to valuation gains (losses) when the country as a whole has a short (long) position in foreign currency. (4) A fiscal theory of exchange rate determination is compatible with general equilibrium in a two-country world. (5) Equilibria are determinate when both fiscal and monetary policy are passive. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/048 606 $aFiscal policy 606 $aOpen market operations 606 $aBanks and Banking$2imf 606 $aForeign Exchange$2imf 606 $aInvestments: Stocks$2imf 606 $aMoney and Monetary Policy$2imf 606 $aMonetary Systems$2imf 606 $aStandards$2imf 606 $aRegimes$2imf 606 $aGovernment and the Monetary System$2imf 606 $aPayment Systems$2imf 606 $aOpen Economy Macroeconomics$2imf 606 $aCentral Banks and Their Policies$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aMonetary economics$2imf 606 $aCurrency$2imf 606 $aForeign exchange$2imf 606 $aBanking$2imf 606 $aInvestment & securities$2imf 606 $aCurrencies$2imf 606 $aExchange rates$2imf 606 $aOpen market operations$2imf 606 $aMonetary base$2imf 606 $aStocks$2imf 606 $aMoney$2imf 606 $aCentral banks$2imf 606 $aFinancial institutions$2imf 606 $aMoney supply$2imf 607 $aUnited States$2imf 615 0$aFiscal policy. 615 0$aOpen market operations. 615 7$aBanks and Banking 615 7$aForeign Exchange 615 7$aInvestments: Stocks 615 7$aMoney and Monetary Policy 615 7$aMonetary Systems 615 7$aStandards 615 7$aRegimes 615 7$aGovernment and the Monetary System 615 7$aPayment Systems 615 7$aOpen Economy Macroeconomics 615 7$aCentral Banks and Their Policies 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aMonetary economics 615 7$aCurrency 615 7$aForeign exchange 615 7$aBanking 615 7$aInvestment & securities 615 7$aCurrencies 615 7$aExchange rates 615 7$aOpen market operations 615 7$aMonetary base 615 7$aStocks 615 7$aMoney 615 7$aCentral banks 615 7$aFinancial institutions 615 7$aMoney supply 700 $aKumhof$b Michael$01472664 712 02$aInternational Monetary Fund. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788347903321 996 $aInternational Currency Portfolios$93716530 997 $aUNINA