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International Macro-Finance

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  • Pavlova, Anna
  • Rigobon, Roberto

Abstract

International macro-finance is a new area of open economy macroeconomics that brings portfolio choice and asset pricing considerations into models of international macroeconomics. The importance of these considerations--typically relegated to Finance and largely overlooked in traditional macroeconomics--for the international macroeconomy have been underscored by a series of recent financial crises and by unprecedented global imbalances. In this paper, we survey recent developments in this area, primarily on the theoretical front. We also suggest several promising directions for future research.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 8218.

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Date of creation: Jan 2011
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Handle: RePEc:cpr:ceprdp:8218

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Keywords: asset pricing; equity prices; international macroeconomics; international portfolios;

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References

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  1. Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2007. "The Valuation Channel of External Adjustment," NBER Working Papers 12937, National Bureau of Economic Research, Inc.
  2. Nicolas Coeurdacier & Pierre-Olivier Gourinchas, 2011. "When Bonds Matter: Home Bias in Goods and Assets," NBER Working Papers 17560, National Bureau of Economic Research, Inc.
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  5. Mendoza, Enrique G & Quadrini, Vincenzo & Ríos-Rull, José-Víctor, 2007. "Financial Integration, Financial Deepness and Global Imbalances," CEPR Discussion Papers 6149, C.E.P.R. Discussion Papers.
  6. Devereux, Michael B. & Engel, Charles & Matsumoto, Akito & Rebucci, Alessandro & Sutherland, Alan, 2010. "JIE special issue on international macro-finance," Journal of International Economics, Elsevier, vol. 80(1), pages 1-2, January.
  7. Akito Matsumoto & Charles Engel, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 05/165, International Monetary Fund.
  8. Pavlova, Anna & Rigobon, Roberto, 2003. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
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  12. Ian Martin, 2013. "The Lucas Orchard," Econometrica, Econometric Society, vol. 81(1), pages 55-111, 01.
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  14. Süleyman Basak & Mike Gallmeyer, . "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 09-98, Wharton School Rodney L. White Center for Financial Research.
  15. Sercu,Piet & Uppal,Raman, 2000. "Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes," Cambridge Books, Cambridge University Press, number 9780521562942, April.
  16. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "Solving General Equilibrium Models with Incomplete Markets and Many Assets," Working Papers gueconwpa~05-05-18, Georgetown University, Department of Economics.
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Cited by:
  1. Broner, Fernando & Didier, Tatiana & Erce, Aitor & Schmukler, Sergio L., 2011. "Gross capital flows : dynamics and crises," Policy Research Working Paper Series 5768, The World Bank.
  2. Martin D. D. Evans, 2012. "Exchange-Rate Dark Matter," IMF Working Papers 12/66, International Monetary Fund.
  3. Sebnem Kalemli-Ozcan, 2011. "Global Banks and Crisis Transmission," 2011 Meeting Papers 1376, Society for Economic Dynamics.

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