International Risk Sharing : : Through Equity Diversification or Exchange Rate Hedging? / / Akito Matsumoto, Charles Engel

• Autore: Matsumoto Akito
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2009
• Descrizione fisica: 1 online resource (47 p.)
• Soggetto topico: Risk; Hedging (Finance); Foreign Exchange; Investments: Stocks; Macroeconomics; Money and Monetary Policy; International Finance: General; Open Economy Macroeconomics; 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; Investment & securities; Currency; Foreign exchange; Monetary economics; Stocks; Sticky prices; Currencies; Exchange rates; Prices; Money
• Altri autori: EngelCharles
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Contents; I. Introduction; II. A General Result in a Static Framework; III. A Dynamic Sticky-Price Model with Local-Currency Pricing; A. Household Problem; B. Firms; C. Equilibrium Portfolios under LCP and Flexible Wages; D. Equilibrium Portfolios under LCP and Sticky Wages; E. A Dynamic Sticky-Price Model with Producer-Currency Pricing; IV. Conclusion; Tables; 1. Optimal Portfolios under LCP, Flexible Wages; 2. Optimal Portfolios under LCP, Sticky Wages; 3. Optimal Portfolios under PCP, Flexible Wages; 4. Optimal Portfolios under PCP, Sticky Wages; References
• Sommario/riassunto: Well-known empirical puzzles in international macroeconomics concern the large divergence of equilibrium outcomes for consumption across countries from the predictions of models with full risk sharing. It is commonly believed that these risk-sharing puzzles are related to another empirical puzzle-the home-bias in equity puzzle. However, we show in a series of dynamic models that the full risk sharing equilibrium may not require much diversification of equity portfolios when there is price stickiness of the degree typically calibrated in macroeconomic models. This conclusion holds under a range of assumptions about home bias in preferences, price setting as PCP or LCP, and with or without nominal wage stickiness as long as there is some price rigidity.
• Titolo autorizzato: International Risk Sharing
• ISBN: 1-4623-3256-0; 1-4527-5511-6; 9786612843525; 1-282-84352-4; 1-4518-7285-2
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910788336103321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2009/138