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The Anatomy of Large Valuation Episodes

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Author Info
Bénétrix, Agustín S.

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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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 4925.

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Date of creation: Jul 2007
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Handle: RePEc:pra:mprapa:4925

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Find related papers by JEL classification:
F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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  1. 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. [Downloadable!] (restricted)
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  2. Philip Lane & Gian Maria Milesi-Ferretti, 2005. "A Global Perspective on External Positions," The Institute for International Integration Studies Discussion Paper Series iiisdp079, IIIS. [Downloadable!]
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  3. Maurice Obstfeld, 2004. "External Adjustment," NBER Working Papers 10843, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," CEPR Discussion Papers 4923, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  5. Charles Engel & Akito Matsumoto, 2006. "Portfolio Choice in a Monetary Open-Economy DSGE Model," NBER Working Papers 12214, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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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. [Downloadable!]
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  7. Philip Lane & Gian Maria Milesi-Ferretti, 2001. "THE EXTERNAL WEALTH OF NATIONS: Measures of Foreign Assets and Liabilities For Industrial and Developing Countries," CEG Working Papers 20012, Trinity College Dublin, Department of Economics. [Downloadable!]
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  8. Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2006. "The Valuation Channel of External Adjustment," 2006 Meeting Papers 195, Society for Economic Dynamics. [Downloadable!]
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  9. Gian Maria Milesi-Ferretti & Assaf Razin, 1997. "Sharp Reductions in Current Account Deficits: An Empirical Analysis," IMF Working Papers 97/168, International Monetary Fund.
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  10. repec:tcd:wpaper:tep16 is not listed on IDEAS
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