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The anatomy of large valuation episodes

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  • Agustín Bénétrix

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Abstract

We examine episodes in which there is a large shift in a country’s net foreign asset position due to the re-valuation of its foreign assets and/or liabilities. We highlight the differences in large valuation episodes between countries characterized by large gross stocks of foreign assets and liabilities and countries exhibiting large net positions. Finally, we analyze macroeconomic dynamics in the neighborhood of large valuation episodes.

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File URL: http://hdl.handle.net/10.1007/s10290-009-0026-1
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Bibliographic Info

Article provided by Springer in its journal Review of World Economics.

Volume (Year): 145 (2009)
Issue (Month): 3 (October)
Pages: 489-511

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Handle: RePEc:spr:weltar:v:145:y:2009:i:3:p:489-511

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Related research

Keywords: International financial integration; Valuation channel; Valuation episodes; F32; F36;

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References

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  1. Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," Center for International and Development Economics Research, Working Paper Series qt124628cx, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  2. Maurice Obstfeld & Alan M. Taylor, 2002. "Globalization and Capital Markets," NBER Working Papers 8846, National Bureau of Economic Research, Inc.
  3. Philip Lane & Sébastien Wälti, 2006. "The Euro and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp139, IIIS.
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  6. Cedric Tille, 2005. "Financial integration and the wealth effect of exchange rate fluctuations," Staff Reports 226, Federal Reserve Bank of New York.
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  8. Michael B. Devereux & Alan Sutherland, 2008. "Country Portfolios in Open Economy Macro Models," NBER Working Papers 14372, National Bureau of Economic Research, Inc.
  9. Gian-Maria Milesi-Ferretti & Assaf Razin, 1997. "Sharp Reductions in Current Account Deficits," IMF Working Papers 97/168, International Monetary Fund.
  10. Lane, Philip R. & Milesi-Ferretti, Gian Maria, 2001. "The external wealth of nations: measures of foreign assets and liabilities for industrial and developing countries," Journal of International Economics, Elsevier, vol. 55(2), pages 263-294, December.
  11. Guillermo A. Calvo & Alejandro Izquierdo & Luis Fernando Mejía, 2004. "On the Empirics of Sudden Stops: The Relevance of Balance-Sheet Effects," IDB Publications 6516, Inter-American Development Bank.
  12. Philip Lane & Gian Maria Milesi-Ferretti, 2006. "Exchange Rates and External Adjustment: Does Financial Globalization Matter?," The Institute for International Integration Studies Discussion Paper Series iiisdp129, IIIS.
  13. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "From World Banker to World Venture Capitalist: U.S. External Adjustment and the Exorbitant Privilege," NBER Chapters, in: G7 Current Account Imbalances: Sustainability and Adjustment, pages 11-66 National Bureau of Economic Research, Inc.
  14. Obstfeld, Maurice, 2004. "External Adjustment," Center for International and Development Economics Research, Working Paper Series qt7bw468wx, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  15. Akito Matsumoto & Charles Engel, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 05/165, International Monetary Fund.
  16. Pierre-Olivier Gourinchas, 2008. "Valuation Effects and External Adjustment: A Review," Central Banking, Analysis, and Economic Policies Book Series, in: Kevin Cowan & Sebastián Edwards & Rodrigo O. Valdés & Norman Loayza (Series Editor) & Klaus Schmid (ed.), Current Account and External Financing, edition 1, volume 12, chapter 6, pages 195-236 Central Bank of Chile.
  17. Milesi-Ferretti, Gian Maria & Razin, Assaf, 1998. "Current Account Reversals and Currency Crises: Empirical Regularities," CEPR Discussion Papers 1921, C.E.P.R. Discussion Papers.
  18. Maria Milesi-Ferretti, Gian & Razin, Assaf, 1998. "Sharp reductions in current account deficits An empirical analysis," European Economic Review, Elsevier, vol. 42(3-5), pages 897-908, May.
  19. repec:tcd:wpaper:tep16 is not listed on IDEAS
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