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The International Diversification Puzzle when Goods Prices Are Sticky : : It's Really About Exchange-Rate Hedging, not Equity Portfolios / / Akito Matsumoto, Charles Engel
| The International Diversification Puzzle when Goods Prices Are Sticky : : It's Really About Exchange-Rate Hedging, not Equity Portfolios / / Akito Matsumoto, Charles Engel |
| Autore | Matsumoto Akito |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 47 p |
| Altri autori (Persone) | EngelCharles |
| Collana | IMF Working Papers |
| Soggetto topico |
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 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 |
| ISBN |
1-4623-0432-X
9786612842344 1-4519-8828-1 1-4518-7159-7 1-282-84234-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910788349103321 |
Matsumoto Akito
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The International Diversification Puzzle when Goods Prices Are Sticky : : It's Really About Exchange-Rate Hedging, not Equity Portfolios / / Akito Matsumoto, Charles Engel
| The International Diversification Puzzle when Goods Prices Are Sticky : : It's Really About Exchange-Rate Hedging, not Equity Portfolios / / Akito Matsumoto, Charles Engel |
| Autore | Matsumoto Akito |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 47 p |
| Disciplina | 332.152 |
| Altri autori (Persone) | EngelCharles |
| Collana | IMF Working Papers |
| Soggetto topico |
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 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 |
| ISBN |
1-4623-0432-X
9786612842344 1-4519-8828-1 1-4518-7159-7 1-282-84234-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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. |
| Record Nr. | UNINA-9910817535303321 |
|
Matsumoto Akito
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
International Risk Sharing : : Through Equity Diversification or Exchange Rate Hedging? / / Akito Matsumoto, Charles Engel
| International Risk Sharing : : Through Equity Diversification or Exchange Rate Hedging? / / Akito Matsumoto, Charles Engel |
| Autore | Matsumoto Akito |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (47 p.) |
| Altri autori (Persone) | EngelCharles |
| Collana | IMF Working Papers |
| 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 |
| 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 | eng |
| 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 |
| Record Nr. | UNINA-9910788336103321 |
|
Matsumoto Akito
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
International Risk Sharing : : Through Equity Diversification or Exchange Rate Hedging? / / Akito Matsumoto, Charles Engel
| International Risk Sharing : : Through Equity Diversification or Exchange Rate Hedging? / / Akito Matsumoto, Charles Engel |
| Autore | Matsumoto Akito |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (47 p.) |
| Disciplina | 330.95 |
| Altri autori (Persone) | EngelCharles |
| Collana | IMF Working Papers |
| 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 |
| 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 | eng |
| 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 |
| Record Nr. | UNINA-9910827478203321 |
|
Matsumoto Akito
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
International Risk Sharing During the Globalization Era / / Akito Matsumoto, Robert Flood, Nancy Marion
| International Risk Sharing During the Globalization Era / / Akito Matsumoto, Robert Flood, Nancy Marion |
| Autore | Matsumoto Akito |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 38 p. : ill |
| Altri autori (Persone) |
FloodRobert
MarionNancy |
| Collana | IMF Working Papers |
| Soggetto topico |
Globalization
Financial risk Finance: General Macroeconomics Macroeconomics: Consumption Saving Wealth Aggregate Factor Income Distribution Macroeconomics: Production General Financial Markets: General (includes Measurement and Data) Finance Consumption Income Production growth Private consumption Emerging and frontier financial markets Economics Production Economic theory Financial services industry |
| ISBN |
1-4623-7190-6
1-282-84415-6 9786612844157 1-4527-7125-1 1-4518-7356-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910788226503321 |
|
Matsumoto Akito
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
International Risk Sharing During the Globalization Era / / Akito Matsumoto, Robert Flood, Nancy Marion
| International Risk Sharing During the Globalization Era / / Akito Matsumoto, Robert Flood, Nancy Marion |
| Autore | Matsumoto Akito |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 38 p. : ill |
| Disciplina | 174 |
| Altri autori (Persone) |
FloodRobert
MarionNancy |
| Collana | IMF Working Papers |
| Soggetto topico |
Globalization
Financial risk Finance: General Macroeconomics Macroeconomics: Consumption Saving Wealth Aggregate Factor Income Distribution Macroeconomics: Production General Financial Markets: General (includes Measurement and Data) Finance Consumption Income Production growth Private consumption Emerging and frontier financial markets Economics Production Economic theory Financial services industry |
| ISBN |
1-4623-7190-6
1-282-84415-6 9786612844157 1-4527-7125-1 1-4518-7356-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Contents -- I. Introduction -- II. Theory -- III. Existing Measures of International Risk Sharing -- A. ρ Measures -- B. β Measures -- C. Growth Rate Volatility -- IV. A New Measure of Risk Sharing (σ) -- A. σ Measure -- B. Social Welfare and Ours σ2 Measure -- C. Frequency Decomposition -- V. Taking the New Measure to Data -- A. Results and Comparison with Existing Measures -- B. Results of High-Low Frequency Decomposition -- VI. Conclusion -- References -- Appendix -- Data Source and Definitions -- Figures -- 1. Lack of Perfect Risk Sharing Due to Difference in Trend Growth and Deviation from Trend -- 2. Rolling Volatility (mean) rw=15 -- 3. Rolling Volatility (mean) rw=20 -- 4. Rolling Volatility (mean) rw=15 -- 5. Rolling Volatility (mean) rw=15 -- 6. Rolling Volatility (mean) rw=15 -- 7. Relation Between the Degree of Risk Sharing and National Income in 2003 -- 8. Relation Between the Degree of Risk Sharing and National Income in 1964 -- 9. σ15 Measure Over Time -- 10. Correlation (mean) rw=15 -- 11. Correlation Measure Over Time 15-year rolling -- 12. Rolling β (median) rw=15 -- 13. β Measure Over Time 15-year Rolling -- 14. Rolling RVCh (mean) rw=15 -- 15. Rolling RVCG (mean) rw=15. |
| Record Nr. | UNINA-9910812314803321 |
|
Matsumoto Akito
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||