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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. Jaewoo Lee & Fabio Ghironi & Alessandro Rebucci, 2009. "The Valuation Channel of External Adjustment," IMF Working Papers 09/275, International Monetary Fund.
  2. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 115(4), pages 665-703, 08.
  3. 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.
  4. Philip Lane & Gian Maria Milesi-Ferreti, 2005. "A Global Perspective on External Positions," Trinity Economics Papers, Trinity College Dublin, Department of Economics tep16, Trinity College Dublin, Department of Economics.
  5. Pierre-Olivier Gourinchas & Hélène Rey, 2005. "From World Banker to World Venture Capitalist: US External Adjustment and the Exorbitant Privilege," NBER Working Papers 11563, National Bureau of Economic Research, Inc.
  6. Cedric Tille, 2005. "Financial integration and the wealth effect of exchange rate fluctuations," Staff Reports 226, Federal Reserve Bank of New York.
  7. Gian Maria Milesi-Ferrett & Assaf Razin, 1998. "Current Account Reversals and Currency Crises: Empirical Regularities," NBER Working Papers 6620, National Bureau of Economic Research, Inc.
  8. Maurico Obstfeld, 2004. "External adjustment," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 140(4), pages 541-568, December.
  9. Michael B. Devereux & Alan Sutherland, 2008. "Country portfolios in open economy macro models," Globalization and Monetary Policy Institute Working Paper 09, Federal Reserve Bank of Dallas.
  10. Philip Lane & Gian Maria Milesi-Ferretti, 2001. "THE EXTERNAL WEALTH OF NATIONS: Measures of Foreign Assets and Liabilities For Industrial and Developing Countries," Trinity Economics Papers, Trinity College Dublin, Department of Economics 20014, Trinity College Dublin, Department of Economics.
  11. Philip Lane & Sébastien Wälti, 2006. "The Euro and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp139, IIIS.
  12. Guillermo Calvo & Alejandro Izquierdo & Luis-Fernando Mejía, 2004. "On the empirics of Sudden Stops: the relevance of balance-sheet effects," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Jun.
  13. Maurice Obstfeld & Alan M. Taylor, 2002. "Globalization and Capital Markets," NBER Working Papers 8846, National Bureau of Economic Research, Inc.
  14. Akito Matsumoto & Charles Engel, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 05/165, International Monetary Fund.
  15. repec:tcd:wpaper:tep16 is not listed on IDEAS
  16. Gian-Maria Milesi-Ferretti & Assaf Razin, 1997. "Sharp Reductions in Current Account Deficits," IMF Working Papers 97/168, International Monetary Fund.
  17. 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.
  18. Juann H. Hung & Angelo Mascaro, 2004. "Return on Cross-Border Investment: Why Does U.S. Investment Abroad Do Better? Technical Paper 2004-17," Working Papers, Congressional Budget Office 16204, Congressional Budget Office.
  19. 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.
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