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Capital Flows, Investment, and Exchange Rates Author info | Abstract | Publisher info | Download info | Related research | Statistics Alan C. Stockman
Lars E.O. Svensson
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This paper incorporates international capital flows into a two-country, monetary-general-equilibrium model of asset prices with investment and production. We use the model to calculate theoretical covariances between investment, the current account, the exchange rate, and the terms of trade.These covariances depend upon the coefficient of relative risk-aversion, the magnitude and sign of a country's net international indebtedness, other properties of tastes and technologies, and the stochastic processes on disturbances to productivity and monetary growth rates. International capital flows arise from changes in world wealth and its relative composition in foreign and domestic assets. The dynamic, stochastic relations between capital flows, exchange rates, investment, and the terms of trade are critically dependent on optimal portfolio allocations and the stochastic behavior of asset prices on international financial markets.
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number
1598.
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Date of creation: Aug 1987Date of revision:
Handle: RePEc:nbr:nberwo:1598Note: ITI IFMContact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A. Phone: 617-868-3900 Email: Web page: http://www.nber.org More information through EDIRC
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Article Stockman, Alan C. & Svensson, Lars E. O., 1987.
"Capital flows, investment, and exchange rates ,"
Journal of Monetary Economics ,
Elsevier, vol. 19(2), pages 171-201, March.
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Obstfeld, Maurice & Stockman, Alan C., 1985.
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Full
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Earl L. Grinols & Stephen J. Turnovsky, 1991.
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John E. Floyd, 1995.
"Uncovered Interest Parity: A Further Reconsideration ,"
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David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1992.
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Other versions: Nouriel Roubini, 1988.
"Current Account and Budget Deficits in an Intertemporal Model of Consumption and Taxation Smoothing. A Solution to the "Feldstein-Horioka Puzzle"? ,"
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Other versions: Jeremy Greenwood & Stephen D. Williamson, 1988.
"International financial intermediation and aggregate fluctuations under alternative exchange rate regimes ,"
Staff Report
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Other versions:
Greenwood, J. & Williamson, S.D., 1988.
"International Financial Intermediation And Aggregate Fluctuations Under Alternative Exchange Rate Regimes ,"
RCER Working Papers
120, University of Rochester - Center for Economic Research (RCER).
Greenwood, J. & Williamson, S.D., 1989.
"International Financial Intermediation And Aggregate Fluctuations Under Alternative Exchange Rate Regimes ,"
University of Western Ontario, The Centre for the Study of International Economic Relations Working Papers
8902c, University of Western Ontario, The Centre for the Study of International Economic Relations.
Greenwood, Jeremy & Williamson, Stephen D., 1989.
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Journal of Monetary Economics ,
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"On the European Monetary System: The Spillover Effects of German Shocks and Disinflation ,"
Macroeconomics
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Other versions: Alan C. Stockman & Alejandro Hernandez D., 1989.
"Exchange Controls, Capital Controls, and International Financial Markets ,"
NBER Working Papers
1755, National Bureau of Economic Research, Inc.
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Other versions:
Stockman, Alan C & Hernandez D, Alejandro, 1988.
"Exchange Controls, Capital Controls, and International Financial Markets ,"
American Economic Review ,
American Economic Association, vol. 78(3), pages 362-74, June.
[Downloadable!] (restricted) Vittorio Grilli & Nouriel Roubini, 1990.
"Financial Integration, Liquidity and Exchange Rates ,"
Cowles Foundation Discussion Papers
939, Cowles Foundation, Yale University.
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Other versions: David Backus & Patrick J. Kehoe & Finn E. Kydland, 1992.
"Dynamics of the Trade Balance and the Terms of Trade: The S-Curve ,"
NBER Working Papers
4242, National Bureau of Economic Research, Inc.
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David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1992.
"Dynamics of the trade balance and the terms of trade: the S-curve ,"
Working Paper
9211, Federal Reserve Bank of Cleveland.
[Downloadable!] Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1994.
"Dynamics of the Trade Balance and the Terms of Trade: The J-Curve? ,"
American Economic Review ,
American Economic Association, vol. 84(1), pages 84-103, March.
[Downloadable!] (restricted) David Backus & Patrick Kehoe & Finn E. Kydland, 1992.
"Web interface for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?" ,"
QM&RBC Codes
5a, Quantitative Macroeconomics & Real Business Cycles.
[Downloadable!] David Backus & Patrick Kehoe & Finn E. Kydland, 1992.
"DOS executable for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?" ,"
QM&RBC Codes
5, Quantitative Macroeconomics & Real Business Cycles.
[Downloadable!] Markus Mueller & Ulrich K. Schittko, 1999.
"Transmission of Policy Shocks in a Monetary Asset-Pricing Model ,"
Discussion Paper Series
188, Universitaet Augsburg, Institute for Economics.
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repec:fip:fedreq:y:1987:i:mar:p:12-30:n:v.73no.2 is not listed on IDEAS
Robert J. Hodrick, 1989.
"Risk, Uncertainty and Exchange Rates ,"
NBER Working Papers
2429, National Bureau of Economic Research, Inc.
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Other versions: Royuela, Vicente, 2000.
"International Real Business Cycles: Can A Two Countries Two Sectors Model Solve The Quantity Anomaly? ,"
ERSA conference papers
ersa00p203, European Regional Science Association.
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Lars E.O. Svensson, 1990.
"Trade in Nominal Assets: Monetary Policy, and Price Level and Exchange Rate Risk ,"
NBER Working Papers
2417, National Bureau of Economic Research, Inc.
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Other versions: David Backus & Patrick Kehoe & Finn Kydland, 1992.
"Dynamics of the trade balance and the terms of trade: the J-curve revisited ,"
Discussion Paper / Institute for Empirical Macroeconomics
65, Federal Reserve Bank of Minneapolis.
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Other versions:
David K. Backus & Patrick Kehoe & Finn Kydland, 1992.
"Dynamics of the Trade Balance and the Terms of Trade: The J-Curve Revisited ,"
Working Papers
92-6, New York University, Leonard N. Stern School of Business, Department of Economics.
David Backus & Patrick Kehoe & Finn E. Kydland, 1992.
"Web interface for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?" ,"
QM&RBC Codes
5a, Quantitative Macroeconomics & Real Business Cycles.
[Downloadable!] David Backus & Patrick Kehoe & Finn E. Kydland, 1992.
"DOS executable for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?" ,"
QM&RBC Codes
5, Quantitative Macroeconomics & Real Business Cycles.
[Downloadable!] Maurice Obstfeld, 2004.
"External Adjustment ,"
NBER Working Papers
10843, National Bureau of Economic Research, Inc.
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Other versions:
Maurice Obstfeld, 2004.
"External Adjustment ,"
Center for International and Development Economics Research, Working Paper Series
1052, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
[Downloadable!] Maurico Obstfeld, 2004.
"External adjustment ,"
Review of World Economics (Weltwirtschaftliches Archiv) ,
Springer, vol. 140(4), pages 541-568, December.
[Downloadable!] (restricted) Bernard Dumas, 1988.
"Pricing Physical Assets Internationally ,"
NBER Working Papers
2569, National Bureau of Economic Research, Inc.
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Carol L. Osler, 1988.
"Terms of Trade and the Transmission of Output Shocks in a Rational Expectations Model ,"
NBER Working Papers
2681, National Bureau of Economic Research, Inc.
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Lars E.O. Svensson, 1989.
"Trade in Risky Assets ,"
NBER Working Papers
2403, National Bureau of Economic Research, Inc.
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Other versions: Eric van Wincoop & Jane Marrinan, 1996.
"Public and Private Saving and Investment ,"
Economics Working Papers
172, Department of Economics and Business, Universitat Pompeu Fabra.
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Other versions: Cristino R. Arroyo, 1994.
"On The Robustness Of Forward Market Efficiency In Consumption-Based Models Of Exchange Rates ,"
International Economic Journal ,
Korean International Economic Association, vol. 8(2), pages 95-114, June.
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John E. Floyd, 1998.
"Monetary Policy and the Real Exchange Rate: Some Evidence ,"
Working Papers
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