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Akito Matsumoto

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Mr. Christian Bogmans & Lama Kiyasseh & Mr. Akito Matsumoto & Mr. Andrea Pescatori, 2020. "Energy, Efficiency Gains and Economic Development: When Will Global Energy Demand Saturate?," IMF Working Papers 2020/253, International Monetary Fund.

    Cited by:

    1. Bergmann, Tobias & Kalkuhl, Matthias, 2025. "Decoupling economic growth from energy use: The role of energy intensity in an endogenous growth model," Ecological Economics, Elsevier, vol. 230(C).
    2. Jingfeng Zhao & Fan Sun, 2023. "Study on the Influence Mechanism and Adjustment Path of Climate Risk on China’s High-Quality Economic Development," Sustainability, MDPI, vol. 15(12), pages 1-19, June.
    3. Ramanauske, Neringa & Balezentis, Tomas & Streimikiene, Dalia, 2023. "Biomass use and its implications for bioeconomy development: A resource efficiency perspective for the European countries," Technological Forecasting and Social Change, Elsevier, vol. 193(C).
    4. George Halkos & Kyriaki Tsilika, 2021. "Visual Exploration of Energy Use in EU 28: Dynamics, Patterns, Policies," Energies, MDPI, vol. 14(22), pages 1-24, November.

  2. Mr. Rabah Arezki & Zoltan Jakab & Mr. Douglas Laxton & Mr. Akito Matsumoto & Armen Nurbekyan & Hou Wang & Jiaxiong Yao, 2017. "Oil Prices and the Global Economy," IMF Working Papers 2017/015, International Monetary Fund.

    Cited by:

    1. Kollmann, Robert & Giovannini, Massimo & Hohberger, Stefan & Ratto, Marco & Roeger, Werner & Vogel, Lukas, 2018. "Euro Area and U.S. External Adjustment: The Role of Commodity Prices and Emerging Market Shocks," CEPR Discussion Papers 13141, C.E.P.R. Discussion Papers.
    2. Kamiar Mohaddes & M. Hashem Pesaran, 2016. "Oil Prices and the Global Economy: Is It Different This Time Around?," Working Papers 1052, Economic Research Forum, revised 10 2016.
    3. Fédéric Holm-Hadulla & Kirstin Hubrich, 2017. "Macroeconomic Implications of Oil Price Fluctuations : A Regime-Switching Framework for the Euro Area," Finance and Economics Discussion Series 2017-063, Board of Governors of the Federal Reserve System (U.S.).
    4. Cristina Conflitti & Riccardo Cristadoro, 2018. "Oil prices and inflation expectations," Questioni di Economia e Finanza (Occasional Papers) 423, Bank of Italy, Economic Research and International Relations Area.
    5. Rui Xing & Diego V. Chiappori & Evan J. Arbuckle & Matthew T. Binsted & Evan G. R. Davies, 2021. "Canadian Oil Sands Extraction and Upgrading: A Synthesis of the Data on Energy Consumption, CO 2 Emissions, and Supply Costs," Energies, MDPI, vol. 14(19), pages 1-14, October.
    6. Maria Sole Pagliari & Swarnali Ahmed Hannan, 2017. "The Volatility of Capital Flows in Emerging Markets: Measures and Determinants," Departmental Working Papers 201710, Rutgers University, Department of Economics.
    7. Farhad Taghizadeh-Hesary & Ehsan Rasoulinezhad & Naoyuki Yoshino, 2017. "Trade Linkages and Transmission of Oil Price Fluctuations in a Model Incorporating Monetary Variables," ADBI Working Papers 777, Asian Development Bank Institute.
    8. Shalva Mkhatrishvili & Douglas Laxton & Tamta Sopromadze & Mariam Tchanturia & Ana Nizharadze & Sergo Gadelia & Giorgi Gigineishvili & Jared Laxton, 2024. "Core Inflation Requiem: Paving the Way for a Dual-Component CPI in FPAS Central Banks," NBG Working Papers 01/2024, National Bank of Georgia.
    9. Rick van der Ploeg & Armon Rezai, 2019. "The Risk of Policy Tipping and Stranded Carbon Assets," CESifo Working Paper Series 7769, CESifo.
    10. Daniel Santabárbara, 2017. "Evolución reciente y perspectivas del mercado de petróleo," Boletín Económico, Banco de España, issue SEP.
    11. Lassi Ahlvik & Jørgen Juel Andersen & Jonas Hveding Hamang & Torfinn Harding, 2022. "Quantifying supply-side climate policies," Working Papers No 01/2022, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    12. Daniel Santabárbara, 2017. "The oil market: recent developments and outlook," Economic Bulletin, Banco de España, issue SEP.
    13. Krystyna Gomółka & Piotr Kasprzak, 2022. "Household Ability of Expenditures on Electricity and Energy Resources in the Countries That Joined the EU after 2004," Energies, MDPI, vol. 15(9), pages 1-21, April.
    14. Apergis, Nicholas, 2019. "Oil prices and corporate high-yield spreads: Evidence from panels of nonenergy and energy European firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 34-40.
    15. Takuji Fueki & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2021. "Identifying oil price shocks and their consequences: The role of expectations in the crude oil market," International Finance, Wiley Blackwell, vol. 24(1), pages 53-76, April.
    16. Considine, Jennifer & Hatipoglu, Emre & Aldayel, Abdullah, 2022. "The sensitivity of oil price shocks to preexisting market conditions: A GVAR analysis," Journal of Commodity Markets, Elsevier, vol. 27(C).
    17. Izabela Pruchnicka-Grabias, 2021. "The Relationship between Gold and Brent Crude Oil Prices: An Unrestricted Vector Autoregression Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 276-282.
    18. Filippidis, Michail & Filis, George & Kizys, Renatas, 2020. "Oil price shocks and EMU sovereign yield spreads," Energy Economics, Elsevier, vol. 86(C).
    19. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).

  3. Julian di Giovanni & Akito Matsumoto, 2011. "The Value of Human Capital Wealth," Global COE Hi-Stat Discussion Paper Series gd10-174, Institute of Economic Research, Hitotsubashi University.

    Cited by:

    1. Rahul Mukherjee, 2011. "Country Portfolios with Imperfect Corporate Governance," IHEID Working Papers 08-2011, Economics Section, The Graduate Institute of International Studies.
    2. Arespa, Marta, 2024. "The exchange rate regime, a determinant of the degree of risk sharing between profits and wages," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 1910-1932.
    3. Soosung Hwang & Youngha Cho & Jinho Shin, 2020. "The impact of UK household overconfidence in public information on house prices," Journal of Property Research, Taylor & Francis Journals, vol. 37(4), pages 360-389, October.

  4. Matsumoto, Akito & Cova, Pietro & Pisani, Massimiliano & Rebucci, Alessandro, 2011. "News Shocks and Asset Price Volatility in General Equilibrium," IDB Publications (Working Papers) 3117, Inter-American Development Bank.

    Cited by:

    1. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    2. Chao Gu & Han Han & Randall Wright, 2020. "The Effects Of News When Liquidity Matters," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(4), pages 1411-1435, November.
    3. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018. "News and Uncertainty Shocks," International Finance Discussion Papers 1240, Board of Governors of the Federal Reserve System (U.S.).
    4. Kersting, Stefan & Hüttel, Silke & Odening, Martin, 2015. "Structural change in agriculture under capacity constraints: An equilibrium approach," Thuenen-Series of Applied Economic Theory 140, University of Rostock, Institute of Economics.
    5. Dongho Song & Jenny Tang, 2018. "News-driven uncertainty fluctuations," Working Papers 18-3, Federal Reserve Bank of Boston.
    6. Chao Gu & Han Han & Randall Wright, 2016. "The Effects of Monetary Policy and Other Announcements," Working Papers 1621, Department of Economics, University of Missouri.
    7. Jian Wang, 2014. "Understanding Trade, Exchange Rates and International Capital Flows," Annual Report, Globalization and Monetary Policy Institute, Federal Reserve Bank of Dallas, pages 10-15.

  5. Mr. Akito Matsumoto, 2011. "Global Liquidity: Availability of Funds for Safe and Risky Assets," IMF Working Papers 2011/136, International Monetary Fund.

    Cited by:

    1. Mahjus Ekananda & Tulus Suryanto, 2021. "The Influence of Global Financial Liquidity on the Indonesian Economy: Dynamic Analysis with Threshold VAR," Economies, MDPI, vol. 9(4), pages 1-20, October.
    2. Akdi, Yilmaz & Varlik, Serdar & Berument, M. Hakan, 2020. "Duration of Global Financial Cycles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    3. Belke, Ansgar & Bordon, Ingo G. & Volz, Ulrich, 2012. "Effects of Global Liquidity on Commodity and Food Prices," Ruhr Economic Papers 323, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    4. Julián Caballero & Andrés Fernández & Jongho Park, 2019. "On Corporate Borrowing, Credit Spreads and Economic Activity in Emerging Economies: An Empirical Investigation," Working Papers Central Bank of Chile 839, Central Bank of Chile.
    5. Brana, Sophie & Prat, Stéphanie, 2016. "The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model," Economic Modelling, Elsevier, vol. 52(PA), pages 26-34.
    6. Jalloul, Maya & Miescu, Mirela, 2023. "Equity market connectedness across regimes of geopolitical risks: Historical evidence and theory," Journal of International Money and Finance, Elsevier, vol. 137(C).
    7. Marie-Louise DJIGBENOU-KRE & Hail Park, 2015. "The Effects of Global Liquidity on Global Imbalances," Working Papers 2015-23, Economic Research Institute, Bank of Korea.
    8. Ambrogio Cesa-Bianchi & Mr. Luis Felipe Céspedes & Mr. Alessandro Rebucci, 2015. "Global Liquidity, House Prices, and the Macroeconomy: Evidence from Advanced and Emerging Economies," IMF Working Papers 2015/023, International Monetary Fund.
    9. Yildirim, Zekeriya, 2022. "Global financial risk, the risk-taking channel, and monetary policy in emerging markets," Economic Modelling, Elsevier, vol. 116(C).
    10. Horvath, Jaroslav & Zhong, Jiansheng, 2019. "Unemployment dynamics in emerging countries: Monetary policy and external shocks," Economic Modelling, Elsevier, vol. 76(C), pages 31-49.
    11. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2019. "How important are different aspects of uncertainty in driving industrial production in the CEE countries?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 252-266.
    12. Ludovic Gauvin & Cameron McLoughlin & Dennis Reinhardt, 2014. "Policy uncertainty spillovers to emerging markets – evidence from capital flows," Bank of England working papers 512, Bank of England.
    13. Horvath, Jaroslav & Rothman, Philip, 2021. "Mortgage spreads, asset prices, and business cycles in emerging countries," Journal of International Money and Finance, Elsevier, vol. 115(C).
    14. Sangyup Choi, 2018. "The Impact of US Financial Uncertainty Shocks on Emerging Market Economies: An International Credit Channel," Open Economies Review, Springer, vol. 29(1), pages 89-118, February.
    15. Saroj Bhattarai & Arpita Chatterjee & Woong Yong Park, 2019. "Global Spillover Effects of US Uncertainty," Discussion Papers 2017-17a, School of Economics, The University of New South Wales.
    16. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2016. "The implications of monetary expansion in China for the US dollar," Journal of Asian Economics, Elsevier, vol. 46(C), pages 71-84.
    17. Yang Zhou, 2022. "The Effects of Capital Controls on Housing Prices," Discussion Paper Series DP2022-29, Research Institute for Economics & Business Administration, Kobe University.
    18. DJIGBENOU-KRE, Marie-Louise & Park, Hail, 2016. "The effects of global liquidity on global imbalances," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 1-12.
    19. Carrière-Swallow, Yan & Céspedes, Luis Felipe, 2013. "The impact of uncertainty shocks in emerging economies," Journal of International Economics, Elsevier, vol. 90(2), pages 316-325.
    20. Caballero, Julián & Fernández, Andrés, 2017. "On corporate borrowing, credit spreads and economic activity in emerging economies: An empirical investigation," Bank of Finland Research Discussion Papers 31/2017, Bank of Finland.

  6. Mr. Akito Matsumoto & Mr. Charles Engel, 2009. "International Risk Sharing: Through Equity Diversification or Exchange Rate Hedging?," IMF Working Papers 2009/138, International Monetary Fund.

    Cited by:

    1. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, June.
    2. Jordi Mondria & Thomas Wu, 2013. "Imperfect financial integration and asymmetric information: competing explanations of the home bias puzzle?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 46(1), pages 310-337, February.
    3. Nicolas Coeurdacier & Hélène Rey, 2010. "Home bias in open economy financial macroeconomics," Working Papers hal-01069440, HAL.
    4. Hnatkovska, Viktoria, 2010. "Home bias and high turnover: Dynamic portfolio choice with incomplete markets," Journal of International Economics, Elsevier, vol. 80(1), pages 113-128, January.
    5. Koralai Kirabaeva & Assaf Razin, 2011. "Composition of International Capital Flows: A Survey," Working Papers 142011, Hong Kong Institute for Monetary Research.
    6. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    7. Jonathan J. Adams & Mr. Philip Barrett, 2017. "Why are Countries’ Asset Portfolios Exposed to Nominal Exchange Rates?," IMF Working Papers 2017/291, International Monetary Fund.
    8. Nnyanzi John Bosco, 2015. "Financial Openness, Capital Flows and Risk Sharing in Africa," Global Economy Journal, De Gruyter, vol. 15(1), pages 51-82, March.
    9. Hamano, Masashige, 2015. "International equity and bond positions in a DSGE model with variety risk in consumption," Journal of International Economics, Elsevier, vol. 96(1), pages 212-226.
    10. Koralai Kirabaeva & Assaf Razin, 2010. "Composition of Capital Flows: A Survey," NBER Working Papers 16492, National Bureau of Economic Research, Inc.
    11. Jonathan J Adams & Philip Barrett, 2017. "Resolving International Macro Puzzles with Imperfect Risk Sharing and Global Solution Methods," Working Papers 001003, University of Florida, Department of Economics.

  7. Mr. Akito Matsumoto & Mr. Robert P Flood & Ms. Nancy P. Marion, 2009. "International Risk Sharing During the Globalization Era," IMF Working Papers 2009/209, International Monetary Fund.

    Cited by:

    1. Marianne Baxter, 2012. "International risk‐sharing in the short run and in the long run," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(2), pages 376-393, May.
    2. Yasuyuki Sawada, 2017. "Disasters, Household Decisions, and Insurance Mechanisms: A Review of Evidence and a Case Study from a Developing Country in Asia," Asian Economic Policy Review, Japan Center for Economic Research, vol. 12(1), pages 18-40, January.
    3. Hevia, Constantino & Servén, Luis, 2018. "Assessing the degree of international consumption risk sharing," Journal of Development Economics, Elsevier, vol. 134(C), pages 176-190.
    4. Schröder, Marcel, 2019. "Valuation effects and risk sharing during the era of financial globalization," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 467-480.
    5. Li, Zhongda & Liu, Lu, 2018. "Financial globalization, domestic financial freedom and risk sharing across countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 151-169.
    6. Devereux, Michael B. & Kollmann, Robert, 2012. "International Risk Sharing," MPRA Paper 70129, University Library of Munich, Germany.
    7. Marianne Baxter, 2012. "International risk-sharing in the short run and in the long run," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 376-393, May.
    8. Ho, Chun-Yu & Ho, Wai-Yip Alex & Li, Dan, 2015. "Intranational risk sharing and its determinants," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 89-113.
    9. Aluko, Olufemi Adewale & Opoku, Eric Evans Osei, 2022. "The financial development impact of financial globalization revisited: A focus on OECD countries," International Economics, Elsevier, vol. 169(C), pages 13-29.
    10. Zhu, Jiaqing, 2019. "External financial liabilities and real exchange rate jumps," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 202-220.
    11. Mr. Phurichai Rungcharoenkitkul, 2011. "Risk Sharing and Financial Contagion in Asia: An Asset Price Perspective," IMF Working Papers 2011/242, International Monetary Fund.
    12. Brendan Epstein & Rahul Mukherjee & Shanthi Ramnath, 2014. "Taxes and International Risk Sharing," International Finance Discussion Papers 1110, Board of Governors of the Federal Reserve System (U.S.).
    13. Li, Jia, 2012. "On the Empirics of China's Inter-regional Risk Sharing," MPRA Paper 37805, University Library of Munich, Germany.
    14. Malin Gardberg, 2016. "Determinants of International Consumption Risk Sharing in Emerging Markets and Developing Countries," EcoMod2016 9452, EcoMod.
    15. Kristin Forbes & Ida Hjortsoe & Tsvetelina Nenova, 2016. "Current account deficits during heightened risk: menacing or mitigating?," Discussion Papers 46, Monetary Policy Committee Unit, Bank of England.
    16. Gilbert Koenig & Irem Zeyneloglu, 2012. "International consumption risk sharing and fiscal policy," Economics Bulletin, AccessEcon, vol. 32(2), pages 1250-1260.
    17. Hevia, Constantino & Serven, Luis, 2013. "Partial consumption insurance and financial openness across the world," Policy Research Working Paper Series 6479, The World Bank.
    18. Michael B. Devereux & Gregor W. Smith & James Yetman, 2009. "Consumption and Real Exchange Rates in Professional Forecasts," NBER Working Papers 14795, National Bureau of Economic Research, Inc.
    19. Gerdie Everaert & Lorenzo Pozzi, 2022. "Encompassing measures of international consumption risk sharing and their link with trade and financial globalization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 433-449, March.
    20. Malin Gardberg, 2022. "Financial reforms and low‐income households' impact on international consumption risk sharing," International Finance, Wiley Blackwell, vol. 25(3), pages 375-395, December.
    21. Robert P. Flood & Nancy P. Marion & Akito Matsumoto, 2012. "International risk sharing during the globalization era," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 394-416, May.
    22. Sawada, Yasuyuki & Takasaki, Yoshito, 2017. "Natural Disaster, Poverty, and Development: An Introduction," World Development, Elsevier, vol. 94(C), pages 2-15.
    23. Malik, Samreen, 2014. "Ex-ante implications of sovereign default," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 386-397.
    24. Cavoli, Tony & Gopalan, Sasidaran, 2023. "Does financial inclusion promote consumption smoothing? Evidence from emerging and developing economies," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1529-1546.
    25. Balli, Faruk & Pericoli, Filippo M. & Pierucci, Eleonora, 2018. "Globalization and international risk-sharing: The role of social and political integration," European Journal of Political Economy, Elsevier, vol. 55(C), pages 324-345.
    26. Chun‐Yu Ho & Wai‐Yip Alex Ho, 2015. "Dynamics and Heterogeneity of Inter‐ and Intranational Risk Sharing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 123-142, February.
    27. Christian Friedrich, 2015. "Does Financial Integration Increase Welfare? Evidence from International Household-Level Data," Staff Working Papers 15-4, Bank of Canada.
    28. Theophilus Lartey & Albert Danso, 2020. "Globalization, free markets and investor protection," Economics and Business Letters, Oviedo University Press, vol. 9(1), pages 8-13.
    29. Sadat, Nafis, 2015. "Estimation of International Financial Integration: Evidence from European Countries," MPRA Paper 66283, University Library of Munich, Germany, revised 25 Aug 2015.

  8. Mr. Akito Matsumoto & Mr. Charles Engel, 2009. "The International Diversification Puzzle when Goods Prices Are Sticky: It's Really About Exchange-Rate Hedging, not Equity Portfolios," IMF Working Papers 2009/012, International Monetary Fund.

    Cited by:

    1. Fabrizio Perri & Jonathan Heathcote, 2007. "The International Diversification Puzzle Is Not as Bad as You Think," Working Papers 2007-3, University of Minnesota, Department of Economics, revised 08 Oct 2007.
    2. Equiza-Goni, J. & Faraglia, E. & Oikonomou, R., 2018. "Union Debt Management," Cambridge Working Papers in Economics 1890, Faculty of Economics, University of Cambridge.
    3. De Paoli, Bianca & Küçük-Tuger, Hande & Søndergaard, Jens, 2010. "Monetary policy rules and foreign currency positions," LSE Research Online Documents on Economics 121699, London School of Economics and Political Science, LSE Library.
    4. Federico S. Mandelman & Pau Rabanal & Juan F. Rubio-Ramirez & Diego Vilán, 2010. "Investment-specific technology shocks and international business cycles: an empirical assessment," FRB Atlanta Working Paper 2010-03, Federal Reserve Bank of Atlanta.
    5. Joseph Steinberg, 2017. "Online Appendix to "International Portfolio Diversification and the Structure of Global Production"," Online Appendices 16-74, Review of Economic Dynamics.
    6. Bergin, Paul R. & Pyun, Ju Hyun, 2016. "International portfolio diversification and multilateral effects of correlations," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 52-71.
    7. Charles Engel, 2013. "Inflation and globalisation: a modelling perspective," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 99-108, Bank for International Settlements.
    8. Ghironi, Fabio & Lee, Jaewoo & Rebucci, Alessandro, 2015. "The valuation channel of external adjustment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 86-114.
    9. Julian di Giovanni & Akito Matsumoto, 2011. "The Value of Human Capital Wealth," Global COE Hi-Stat Discussion Paper Series gd10-174, Institute of Economic Research, Hitotsubashi University.
    10. Buzaushina, Almira & Enders, Zeno & Hoffmann, Mathias, 2015. "International financial market integration, asset compositions, and the falling exchange rate pass-through," Discussion Papers 17/2015, Deutsche Bundesbank.
    11. Nicolas Coeurdacier & Pierre-Olivier Gourinchas, 2015. "When Bonds Matter: Home Bias in Goods and Assets," SciencePo Working papers Main hal-03470191, HAL.
    12. Ke Pang, 2011. "Equity home bias, incomplete financial markets, and nominal rigidities," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 44(1), pages 340-363, February.
    13. Koijen, Ralph & Yogo, Motohiro, 2020. "Exchange Rates and Asset Prices in a Global Demand System," CEPR Discussion Papers 14874, C.E.P.R. Discussion Papers.
    14. Nicolas Coeurdacier & Hélène Rey, 2010. "Home bias in open economy financial macroeconomics," Working Papers hal-01069440, HAL.
    15. Gianluca Benigno & Hande Küçük-Tuger, 2011. "Portfolio Allocation and International Risk Sharing," CEP Discussion Papers dp1048, Centre for Economic Performance, LSE.
    16. Matsumoto, Akito & Cova, Pietro & Pisani, Massimiliano & Rebucci, Alessandro, 2011. "News Shocks and Asset Price Volatility in General Equilibrium," IDB Publications (Working Papers) 3117, Inter-American Development Bank.
    17. Joseba Martinez & Thomas Philippon & Markus Sihvonen, 2019. "Does a Currency Union Need a Capital Market Union? Risk Sharing via Banks and Markets," NBER Working Papers 26026, National Bureau of Economic Research, Inc.
    18. John D. Burger & Francis E. Warnock & Veronica Cacdac Warnock, 2017. "Currency Matters: Analyzing International Bond Portfolios," NBER Working Papers 23175, National Bureau of Economic Research, Inc.
    19. Rahul Mukherjee, 2011. "Country Portfolios with Imperfect Corporate Governance," IHEID Working Papers 08-2011, Economics Section, The Graduate Institute of International Studies.
    20. Mr. Alan Sutherland & Michael B. Devereux, 2007. "Country Portfolio Dynamics," IMF Working Papers 2007/283, International Monetary Fund.
    21. Evans, Martin D.D. & Hnatkovska, Viktoria, 2012. "A method for solving general equilibrium models with incomplete markets and many financial assets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1909-1930.
    22. Dong He & Paul Luk, 2013. "A Model of Chinese Capital Account Liberalisation," Working Papers 122013, Hong Kong Institute for Monetary Research.
    23. Vahagn Galstyan & Philip Lane, 2010. "The Dynamics of Portfolio Holdings in Emerging Europe," The Institute for International Integration Studies Discussion Paper Series iiisdp346, IIIS.
    24. Lane, Philip & Shambaugh, Jay, 2008. "The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets," CEPR Discussion Papers 6887, C.E.P.R. Discussion Papers.
    25. Cédric Tille & Eric Van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York.
    26. Roland Beck & Antonio Coppola & Angus Lewis & Matteo Maggiori & Martin Schmitz & Jesse Schreger, 2024. "The geography of capital allocation in the euro area," IFC Bulletins chapters, in: Bank for International Settlements (ed.), External statistics in a fragmented and uncertain world, volume 62, Bank for International Settlements.
    27. Philipp Harms & Mathias Hoffmann & Christina Ortseifer, 2015. "The Home Bias in Equities and Distribution Costs," Scandinavian Journal of Economics, Wiley Blackwell, vol. 117(3), pages 983-1018, July.
    28. Sutherland, Alan & Küçük, Hande, 2015. "International Risk Sharing and Portfolio Choice with Non-separable Preferences," CEPR Discussion Papers 10724, C.E.P.R. Discussion Papers.
    29. Teo, Wing Leong, 2011. "Inventories and optimal monetary policy in a small open economy," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1719-1748.
    30. Asdrubali, Pierfederico & Kim, Soyoung & Pericoli, Filippo Maria & Poncela, Pilar, 2023. "Risk sharing channels in OECD countries: A heterogeneous panel VAR approach," Journal of International Money and Finance, Elsevier, vol. 131(C).
    31. Jonathan Heathcote & Fabrizio Perri, 2013. "Assessing International Efficiency," NBER Working Papers 18956, National Bureau of Economic Research, Inc.
    32. Martin D. D. Evans, 2012. "Exchange-Rate Dark Matter," Working Papers gueconwpa~12-12-01, Georgetown University, Department of Economics.
    33. Baxa, Jaromír & Horváth, Roman & Vašíček, Bořek, 2013. "Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy?," Journal of Financial Stability, Elsevier, vol. 9(1), pages 117-138.
    34. Tobias Broer, 2013. "The home bias of the poor: terms of trade effects and portfolios across the wealth distribution," 2013 Meeting Papers 618, Society for Economic Dynamics.
    35. Bengui, Julien & Nguyen, Ha, 2016. "Consumption baskets and currency choice in international borrowing," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 287-304.
    36. Kumhof, Michael, 2018. "On the theory of international currency portfolios," European Economic Review, Elsevier, vol. 101(C), pages 376-396.
    37. Marta Arespa, 2015. "Endogenous Home Bias in Portfolio Diversification and Firms’ Entry," Review of International Economics, Wiley Blackwell, vol. 23(1), pages 14-44, February.
    38. Cao, Dan & Evans, Martin & Lua, Wenlan, 2020. "Real Exchange Rate Dynamics Beyond Business Cycles," MPRA Paper 99054, University Library of Munich, Germany, revised 10 Mar 2020.
    39. 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.
    40. Jaromír Baxa & Roman Horváth & Bořek Vašíček, 2011. "Time Varying Monetary Policy Rules and Financial Stress," Chapters, in: Sylvester Eijffinger & Donato Masciandaro (ed.), Handbook of Central Banking, Financial Regulation and Supervision, chapter 10, Edward Elgar Publishing.
    41. Laura Alfaro & Fabio Kanczuk, 2013. "Debt Redemption and Reserve Accumulation," NBER Working Papers 19098, National Bureau of Economic Research, Inc.
    42. Martin Berka, 2015. "Comment on: Cross-border portfolios: assets, liabilities and wealth transfers," BIS Papers chapters, in: Bank for International Settlements (ed.), Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, volume 82, pages 25-28, Bank for International Settlements.
    43. Sutherland, Alan & Senay, Ozge & Devereux, Michael B, 2012. "Nominal Stability and Financial Globalization," CEPR Discussion Papers 8830, C.E.P.R. Discussion Papers.
    44. Nguyen, Ha, 2011. "Valuation effects with transitory and trend productivity shocks," Journal of International Economics, Elsevier, vol. 85(2), pages 245-255.
    45. Jonathan J. Adams & Mr. Philip Barrett, 2017. "Why are Countries’ Asset Portfolios Exposed to Nominal Exchange Rates?," IMF Working Papers 2017/291, International Monetary Fund.
    46. Ersal-Kiziler, Eylem & Nguyen, Ha, 2016. "Euro currency risk and the geography of debt flows to peripheral EMU," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 1-20.
    47. Gao, Xiaodan & Hnatkovska, Viktoria & Marmer, Vadim, 2014. "Limited participation in international business cycle models: A formal evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 255-272.
    48. Hüseyin Çağrı Akkoyun & Yavuz Arslan & Mustafa Kılınç, 2017. "Risk sharing and real exchange rates: the role of non-tradable sector and trend shocks," BIS Working Papers 613, Bank for International Settlements.
    49. Rohan Kekre & Moritz Lenel, 2021. "The Flight to Safety and International Risk Sharing," NBER Working Papers 29238, National Bureau of Economic Research, Inc.
    50. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "International Capital Flows, Returns and World Financial Integration," Working Papers gueconwpa~05-05-17, Georgetown University, Department of Economics.
    51. Okawa, Yohei & van Wincoop, Eric, 2012. "Gravity in International Finance," Journal of International Economics, Elsevier, vol. 87(2), pages 205-215.
    52. Dong He & Paul Luk & Wenlang Zhang, 2016. "Internationalisation of the Renminbi as an Investing and a Funding Currency: Analytics and Prospects," Pacific Economic Review, Wiley Blackwell, vol. 21(3), pages 295-323, August.
    53. Bianca De Paoli & Hande Küçük, 2015. "News shocks, monetary policy, and foreign currency positions," Staff Reports 750, Federal Reserve Bank of New York.
    54. Michael B. Devereux & Alan Sutherland, 2009. "Valuation Effects and the Dynamics of Net External Assets," NBER Working Papers 14794, National Bureau of Economic Research, Inc.
    55. Hamano, Masashige, 2015. "International equity and bond positions in a DSGE model with variety risk in consumption," Journal of International Economics, Elsevier, vol. 96(1), pages 212-226.
    56. Pierpaolo Benigno & Salvatore Nisticò, 2009. "International Portfolio Allocation under Model Uncertainty," NBER Working Papers 14734, National Bureau of Economic Research, Inc.
    57. Martinez, Joseba & Philippon, Thomas & Sihvonen, Markus, 2022. "Does a currency union need a capital market union?," Journal of International Economics, Elsevier, vol. 139(C).
    58. Kim, Kyounghun & Kim, Sunghyun Henry, 2021. "Explaining equity home bias using hedging motives against real exchange rate and wage risks," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 30-43.
    59. Michael B Devereux, 2013. "Inflation and financial globalisation," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 119-128, Bank for International Settlements.
    60. van Wincoop, Eric & Warnock, Francis E., 2010. "Can trade costs in goods explain home bias in assets?," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1108-1123, October.
    61. Amdur, David, 2010. "International cross-holdings of bonds in a two-good DSGE model," Economics Letters, Elsevier, vol. 108(2), pages 163-166, August.
    62. Curatola, Giuliano & Dergunov, Ilya, 2017. "International capital markets with time-varying preferences," SAFE Working Paper Series 176, Leibniz Institute for Financial Research SAFE.
    63. Mr. Sakai Ando, 2019. "International Financial Connection and Stock Return Comovement," IMF Working Papers 2019/181, International Monetary Fund.
    64. Georgiadis, Georgios & Mehl, Arnaud, 2016. "Financial globalisation and monetary policy effectiveness," Journal of International Economics, Elsevier, vol. 103(C), pages 200-212.
    65. Socaciu, Erzsébet-Mirjám & Nagy, Bálint-Zsolt & Benedek, Botond, 2023. "No place like home: Home bias and flight-to-quality in Group of Seven countries," Economic Modelling, Elsevier, vol. 129(C).
    66. Juha Junttila & Marko Korhonen, 2013. "Stock market information and the relationship between real exchange rate and real interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 23(11), pages 901-920, June.
    67. Mr. Michael Kumhof, 2009. "International Currency Portfolios," IMF Working Papers 2009/048, International Monetary Fund.
    68. Kumhof, Michael, 2010. "On the theory of sterilized foreign exchange intervention," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1403-1420, August.
    69. Hailong Jin & Wisdom Takumah & Josiah Jorenby, 2018. "Currency Internationalization and the International Price System," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(4), pages 303-309, November.
    70. Georgios Georgiadis & Arnaud Mehl, 2015. "Trilemma, not dilemma: financial globalisation and Monetary policy effectiveness," Globalization Institute Working Papers 222, Federal Reserve Bank of Dallas.
    71. Devereux, Michael B. & Saito, Makoto & Yu, Changhua, 2020. "International capital flows, portfolio composition, and the stability of external imbalances," Journal of International Economics, Elsevier, vol. 127(C).
    72. Mr. Martin D Evans, 2012. "Exchange-Rate Dark Matter," IMF Working Papers 2012/066, International Monetary Fund.

  9. Pietro Cova & Mr. Alessandro Rebucci & Mr. Akito Matsumoto & Massimiliano Pisani, 2008. "New Shocks, Exchange Rates and Equity Prices," IMF Working Papers 2008/284, International Monetary Fund.

    Cited by:

    1. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    2. Fratzscher, Marcel & Straub, Roland, 2009. "Asset prices and current account fluctuations in G7 economies," Working Paper Series 1014, European Central Bank.
    3. Fabio Milani & John Treadwell, 2012. "The Effects of Monetary Policy “News” and “Surprises”," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1667-1692, December.

  10. Mr. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycles and Portfolio Choice," IMF Working Papers 2007/163, International Monetary Fund.

    Cited by:

    1. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2010. "International portfolios, capital accumulation and foreign assets dynamics," SciencePo Working papers Main hal-01052901, HAL.
    2. Ghironi, Fabio & Lee, Jaewoo & Rebucci, Alessandro, 2015. "The valuation channel of external adjustment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 86-114.
    3. Buzaushina, Almira & Enders, Zeno & Hoffmann, Mathias, 2015. "International financial market integration, asset compositions, and the falling exchange rate pass-through," Discussion Papers 17/2015, Deutsche Bundesbank.
    4. Nicolas Coeurdacier & Hélène Rey, 2010. "Home bias in open economy financial macroeconomics," Working Papers hal-01069440, HAL.
    5. Tesfaselassie, Mewael F., 2011. "Trend growth and learning about monetary policy rules," Kiel Working Papers 1744, Kiel Institute for the World Economy (IfW Kiel).
    6. Hnatkovska, Viktoria, 2010. "Home bias and high turnover: Dynamic portfolio choice with incomplete markets," Journal of International Economics, Elsevier, vol. 80(1), pages 113-128, January.
    7. Mr. Juan Zalduendo, 2008. "Bivariate Assessments of Real Exchange Rates Using PPP Data," IMF Working Papers 2008/153, International Monetary Fund.
    8. Coeurdacier, Nicolas, 2008. "Do Trade Costs in Goods Market Lead to Home Bias in Equities?," CEPR Discussion Papers 6991, C.E.P.R. Discussion Papers.
    9. Luis Alejandro Lee P & Ang�lica Mar�a Quiroga E., 2010. "Descomposición histórica de choques del tipo de cambio real en Colombia: un enfoque DSGE," Vniversitas Económica, Universidad Javeriana - Bogotá, vol. 0(0), pages 1-41.
    10. Robert P. Flood & Nancy P. Marion & Akito Matsumoto, 2012. "International risk sharing during the globalization era," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 394-416, May.
    11. Schaling, Eric & Tesfaselassie, Mewael F., 2013. "Trend growth and learning about monetary policy rules in a two-block world economy," Kiel Working Papers 1818, Kiel Institute for the World Economy (IfW Kiel).
    12. Kim, Kyounghun & Kim, Sunghyun Henry, 2021. "Explaining equity home bias using hedging motives against real exchange rate and wage risks," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 30-43.
    13. Mr. Akito Matsumoto & Mr. Charles Engel, 2009. "International Risk Sharing: Through Equity Diversification or Exchange Rate Hedging?," IMF Working Papers 2009/138, International Monetary Fund.
    14. van Wincoop, Eric & Warnock, Francis E., 2010. "Can trade costs in goods explain home bias in assets?," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1108-1123, October.
    15. Hu, Chenyue, 2023. "What explains equity home bias? Theory and evidence at the sector level," Santa Cruz Department of Economics, Working Paper Series qt8nh9t5zs, Department of Economics, UC Santa Cruz.
    16. Hu, Chenyue, 2023. "What explains equity home bias? Theory and evidence at the sector level," European Economic Review, Elsevier, vol. 160(C).
    17. Schaling, Eric & Tesfaselassie, Mewael F., 2017. "A Note On Trend Growth And Learning About Monetary Policy Rules In A Two-Block World Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 21(1), pages 243-258, January.

  11. Mr. Akito Matsumoto & Mr. Charles Engel, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 2005/165, International Monetary Fund.

    Cited by:

    1. Fabrizio Perri & Jonathan Heathcote, 2007. "The International Diversification Puzzle Is Not as Bad as You Think," Working Papers 2007-3, University of Minnesota, Department of Economics, revised 08 Oct 2007.
    2. Michael B. Devereux & Mr. Alan Sutherland, 2007. "Solving for Country Portfolios in Open Economy Macro Models," IMF Working Papers 2007/284, International Monetary Fund.
    3. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2010. "International portfolios, capital accumulation and foreign assets dynamics," SciencePo Working papers Main hal-01052901, HAL.
    4. Ester Faia & Tommaso Monacelli, 2008. "Optimal Monetary Policy in a Small Open Economy with Home Bias," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 721-750, June.
    5. Pang, Ke, 2013. "Financial integration, nominal rigidity, and monetary policy," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 75-90.
    6. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2007. "International portfolios with supply, demand and redistributive shocks," SciencePo Working papers Main hal-01053624, HAL.
    7. Anna Pavlova & Roberto Rigobon, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
    8. Ghironi, Fabio & Lee, Jaewoo & Rebucci, Alessandro, 2015. "The valuation channel of external adjustment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 86-114.
    9. Philip R. Lane & Jay C. Shambaugh, 2007. "Financial Exchange Rates and International Currency Exposures," The Institute for International Integration Studies Discussion Paper Series iiisdp229, IIIS.
    10. Nicolas Coeurdacier & Pierre-Olivier Gourinchas, 2015. "When Bonds Matter: Home Bias in Goods and Assets," SciencePo Working papers Main hal-03470191, HAL.
    11. Bong-Chan Kho & René M. Stulz & Francis E. Warnock, 2006. "Financial Globalization, Governance, and the Evolution of the Home Bias," NBER Working Papers 12389, National Bureau of Economic Research, Inc.
    12. Michael B Devereux, 2007. "Financial Globalization and Emerging Market Portfolios," IMES Discussion Paper Series 07-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
    13. Shahid, Muhammad & Qayyum, Abdul & Shahid Malik, Waseem, 2016. "Fiscal and Monetary Policy Interactions in Pakistan Using a Dynamic Stochastic General Equilibrium Framework," MPRA Paper 85549, University Library of Munich, Germany, revised 2017.
    14. Leon, Jorge, 2010. "International Portfolios and the U.S. Current Account," MPRA Paper 45281, University Library of Munich, Germany.
    15. Tille, Cédric, 2008. "Financial integration and the wealth effect of exchange rate fluctuations," Journal of International Economics, Elsevier, vol. 75(2), pages 283-294, July.
    16. Jean-Olivier Hairault & Thepthida Sopraseuth, 2008. "Fluctuations Internationales et Dynamique du Taux de Change," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00270284, HAL.
    17. Rahul Mukherjee, 2011. "Country Portfolios with Imperfect Corporate Governance," IHEID Working Papers 08-2011, Economics Section, The Graduate Institute of International Studies.
    18. Mr. Alan Sutherland & Michael B. Devereux, 2007. "Country Portfolio Dynamics," IMF Working Papers 2007/283, International Monetary Fund.
    19. Lane, Philip & Shambaugh, Jay, 2008. "The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets," CEPR Discussion Papers 6887, C.E.P.R. Discussion Papers.
    20. Cédric Tille & Eric Van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York.
    21. Hnatkovska, Viktoria, 2010. "Home bias and high turnover: Dynamic portfolio choice with incomplete markets," Journal of International Economics, Elsevier, vol. 80(1), pages 113-128, January.
    22. Devereux, Michael B. & Sutherland, Alan, 2008. "Financial globalization and monetary policy," Discussion Paper Series 1: Economic Studies 2008,20, Deutsche Bundesbank.
    23. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Working Papers hal-03602487, HAL.
    24. Pierpaolo Benigno, 2006. "Are Valuation Effects Desirable from a Global Perspective?," NBER Working Papers 12219, National Bureau of Economic Research, Inc.
    25. Devereux, Michael B., 2009. "A simple model of emerging market portfolio structure," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 457-468, June.
    26. David Amdur, 2009. "International Diversification in Debt vs Equity," Working Papers gueconwpa~09-09-01, Georgetown University, Department of Economics.
    27. Pierpaolo Benigno, 2007. "Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles," NBER Working Papers 13173, National Bureau of Economic Research, Inc.
    28. Philip R. Lane & Gian Maria Milesi-Ferretti, 2007. "Europe and Global Imbalances," The Institute for International Integration Studies Discussion Paper Series iiisdp226, IIIS.
    29. Kollmann, Robert, 2006. "International Portfolio Equilibrium and the Current Account," CEPR Discussion Papers 5512, C.E.P.R. Discussion Papers.
    30. Robert Kollmann & Nicolas Coeurdacier, 2008. "International Portfolios, Current Account Dynamics and Capital Accumulation," 2008 Meeting Papers 817, Society for Economic Dynamics.
    31. Coeurdacier, Nicolas, 2008. "Do Trade Costs in Goods Market Lead to Home Bias in Equities?," CEPR Discussion Papers 6991, C.E.P.R. Discussion Papers.
    32. Harald Hau & Helene Rey, 2008. "Home Bias at the Fund Level," American Economic Review, American Economic Association, vol. 98(2), pages 333-338, May.
    33. Guo, Kai & Jin, Keyu, 2009. "Composition and growth effects of the current account: A synthesized portfolio view," Journal of International Economics, Elsevier, vol. 79(1), pages 31-41, September.
    34. Agustín Bénétrix, 2009. "The anatomy of large valuation episodes," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(3), pages 489-511, October.
    35. Richard W. Evans, 2012. "Is Openness Inflationary? Policy Commitment and Imperfect Competition," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-06, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    36. Stephanie E. Curcuru & Tomas Dvorak & Francis E. Warnock, 2009. "Decomposing the U.S. External Returns Differential," NBER Working Papers 15077, National Bureau of Economic Research, Inc.
    37. Michael B. Devereux & Alan Sutherland, 2008. "Country portfolios in open economy macro models," Globalization Institute Working Papers 09, Federal Reserve Bank of Dallas.
    38. Jang Tae-Seok, 2020. "Animal spirits in an open economy: an interaction-based approach to the business cycle," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-16, January.
    39. Mr. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycles and Portfolio Choice," IMF Working Papers 2007/163, International Monetary Fund.
    40. Philippe Bacchetta & Eric Van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Working Paper Series 2006-35, Federal Reserve Bank of San Francisco.
    41. Pietro Cova & Mr. Alessandro Rebucci & Mr. Akito Matsumoto & Massimiliano Pisani, 2008. "New Shocks, Exchange Rates and Equity Prices," IMF Working Papers 2008/284, International Monetary Fund.
    42. De Moor, Lieven & Sercu, Piet & Vanpée, Rosanne, 2007. "The plausibility of risk estimates and implied costs to international equity investment," Working Papers 2007/34, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    43. Tovar, Camilo Ernesto, 2008. "DSGE Models and Central Banks," Economics Discussion Papers 2008-30, Kiel Institute for the World Economy (IfW Kiel).
    44. Roland Straub & Luca Dedola & Giovanni Lombardo, 2011. "Home bias and portfolio dynamics in a multi-country model," 2011 Meeting Papers 1037, Society for Economic Dynamics.
    45. Michael B. Devereux & Makoto Saito, 2006. "A Portfolio Theory of International Capital Flows," Working Papers 112006, Hong Kong Institute for Monetary Research.
    46. Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," SciencePo Working papers Main hal-03393013, HAL.
    47. Stewen, Iryna, 2014. "Is Real Exchange Rate Hedging Motive Still Important in Determining Equity Home Bias?," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100571, Verein für Socialpolitik / German Economic Association.
    48. Bacchetta, Philippe & van Wincoop, Eric, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," CEPR Discussion Papers 5261, C.E.P.R. Discussion Papers.
    49. José E. Boscá & Javier Ferri & Margarita Rubio, 2022. "Fiscal and Macroprudential Policies in a Monetary Union," Working Papers 2022-08, FEDEA.
    50. Eric van Wincoop & Francis E. Warnock, 2006. "Is Home Bias in Assets Related to Home Bias in Goods?," NBER Working Papers 12728, National Bureau of Economic Research, Inc.
    51. Rigobon, Roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, C.E.P.R. Discussion Papers.
    52. Haakon Kavli & Nicola Viegi, 2017. "Are Determinants of Portfolio Flows Always the Same? - South African Results from a Time Varying Parameter Var Model," South African Journal of Economics, Economic Society of South Africa, vol. 85(1), pages 3-27, March.
    53. Giorgio Di Giorgio & Salvatore Nistic�, "undated". "Fiscal Deficits, Current Account Dynamics and Monetary Policy," Working Papers 8, Department of the Treasury, Ministry of the Economy and of Finance.
    54. Michael B. Devereux & Alan Sutherland, 2009. "Valuation Effects and the Dynamics of Net External Assets," NBER Working Papers 14794, National Bureau of Economic Research, Inc.
    55. Anna Pavlova & Roberto Rigobon, 2007. "An Asset-Pricing View of External Adjustment," NBER Working Papers 13468, National Bureau of Economic Research, Inc.
    56. Milani, Fabio, 2011. "The impact of foreign stock markets on macroeconomic dynamics in open economies: A structural estimation," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 111-129, February.
    57. Nicolas Coeurdacier, 2011. "Limited participation and International Risk-Sharing," 2011 Meeting Papers 613, Society for Economic Dynamics.
    58. Fidora, Michael & Fratzscher, Marcel & Thimann, Christian, 2006. "Home bias in global bond and equity markets: the role of real exchange rate volatility," Working Paper Series 685, European Central Bank.
    59. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
    60. Mr. Guy M Meredith, 2007. "Debt Dynamics and Global Imbalances: Some Conventional Views Reconsidered," IMF Working Papers 2007/004, International Monetary Fund.
    61. Yang, Shanran & Shi, Benye & Yang, Fujia, 2023. "Macroeconomic impact of the Sino–U.S. trade frictions: Based on a two-country, two-sector DSGE model," Research in International Business and Finance, Elsevier, vol. 65(C).
    62. Richard W. Evans, 2007. "Is openness inflationary? Imperfect competition and monetary market power," Globalization Institute Working Papers 01, Federal Reserve Bank of Dallas.
    63. Devereux, Michael B. & Sutherland, Alan, 2009. "A portfolio model of capital flows to emerging markets," Journal of Development Economics, Elsevier, vol. 89(2), pages 181-193, July.
    64. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2007. "Return Volatility and International Portfolio Choice," 2007 Meeting Papers 474, Society for Economic Dynamics.
    65. Fidrmuc, Jarko & Foster, Neil & Scharler, Johann, 2011. "Labour market rigidities and international risk sharing across OECD countries," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 660-677, June.
    66. Mr. Michael Kumhof, 2009. "International Currency Portfolios," IMF Working Papers 2009/048, International Monetary Fund.
    67. Cinzia Alcidi, 2009. "The Effect of Equity Market Integration on the Transmission Monetary Policy. Evidence from Australia," IHEID Working Papers 03-2009, Economics Section, The Graduate Institute of International Studies.
    68. Marta Arespa, 2011. "A New Open Economy Macroeconomic Model with Endogenous Portfolio Diversifi cation and Firms Entry," Working Papers XREAP2011-15, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2011.

  12. Jan J J Groen & Akito Matsumoto, 2004. "Real exchange rate persistence and systematic monetary policy behaviour," Bank of England working papers 231, Bank of England.

    Cited by:

    1. Nelson C. Mark, 2005. "Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics," NBER Working Papers 11061, National Bureau of Economic Research, Inc.
    2. Matsumoto, Akito & Cova, Pietro & Pisani, Massimiliano & Rebucci, Alessandro, 2011. "News Shocks and Asset Price Volatility in General Equilibrium," IDB Publications (Working Papers) 3117, Inter-American Development Bank.
    3. Enrique Martínez García & Jens Sondergaard, 2008. "The real exchange rate in sticky price models: does investment matter?," Globalization Institute Working Papers 17, Federal Reserve Bank of Dallas.
    4. Jón Steinsson, 2008. "The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models," American Economic Review, American Economic Association, vol. 98(1), pages 519-533, March.
    5. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
    6. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    7. Pietro Cova & Mr. Alessandro Rebucci & Mr. Akito Matsumoto & Massimiliano Pisani, 2008. "New Shocks, Exchange Rates and Equity Prices," IMF Working Papers 2008/284, International Monetary Fund.
    8. Ida Wolden Bache, 2008. "Assessing estimates of the exchange rate pass-through," Working Paper 2007/12, Norges Bank.
    9. Molodtsova, Tanya & Papell, David H., 2009. "Out-of-sample exchange rate predictability with Taylor rule fundamentals," Journal of International Economics, Elsevier, vol. 77(2), pages 167-180, April.
    10. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics.
    11. Charles Engel, 2017. "Real Exchange Rate Convergence: The Roles of Price Stickiness and Monetary Policy," GRU Working Paper Series GRU_2017_011, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    12. Kamalyan, Hayk, 2023. "Real exchange rate dynamics in the New-Keynesian model," International Economics, Elsevier, vol. 174(C), pages 250-255.
    13. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    14. Kamalyan, Hayk, 2020. "The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models: A Reassessment," MPRA Paper 107491, University Library of Munich, Germany.
    15. José Valentim Machado Vicente & Jaqueline Terra Moura Marins & Wagner Piazza Gaglianone, 2021. "Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil," Working Papers Series 552, Central Bank of Brazil, Research Department.

Articles

  1. Matsumoto, Akito & Pescatori, Andrea & Wang, Xueliang, 2023. "Commodity prices and global economic activity," Japan and the World Economy, Elsevier, vol. 66(C).

    Cited by:

    1. Edward Chi Ho Tang & Charles Ka Yui Leung, 2024. "Icing on the cake: Can the Top-Floor Units serve as a status good and an investment simultaneously?," ISER Discussion Paper 1252, Institute of Social and Economic Research, The University of Osaka.
    2. Willem Thorbecke, 2025. "How Oil Prices Impact the Japanese and South Korean Economies: Evidence from the Stock Market and Implications for Energy Security," Sustainability, MDPI, vol. 17(11), pages 1-28, May.
    3. Jacho, Domenica & Cruz, Zoe & Carrillo-Maldonado, Paul, 2024. "Effect of terms of trade on the Latin American Labor market," International Economics, Elsevier, vol. 180(C).

  2. Robert P. Flood & Nancy P. Marion & Akito Matsumoto, 2012. "International risk sharing during the globalization era," Canadian Journal of Economics, Canadian Economics Association, vol. 45(2), pages 394-416, May.
    See citations under working paper version above.
  3. Matsumoto, Akito & Cova, Pietro & Pisani, Massimiliano & Rebucci, Alessandro, 2011. "News shocks and asset price volatility in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2132-2149.
    See citations under working paper version above.
  4. 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.

    Cited by:

    1. Rigobon, Roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, C.E.P.R. Discussion Papers.

  5. Charles Engel & Akito Matsumoto, 2009. "The International Diversification Puzzle When Goods Prices Are Sticky: It's Really about Exchange-Rate Hedging, Not Equity Portfolios," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(2), pages 155-188, July.
    See citations under working paper version above.
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