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The Anatomy of Large Valuation Episodes

  • Agustín Bénétrix

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 IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp227.

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Date of creation: 08 Aug 2007
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Handle: RePEc:iis:dispap:iiisdp227
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  1. Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2006. "The Valuation Channel of External Adjustment," 2006 Meeting Papers 195, Society for Economic Dynamics.
  2. Cedric Tille, 2005. "Financial integration and the wealth effect of exchange rate fluctuations," Staff Reports 226, Federal Reserve Bank of New York.
  3. Guillermo A. 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, issue Jun.
  4. 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.
  5. Gian Maria Milesi-Ferrett & Assaf Razin, 1997. "Sharp Reductions in Current Account Deficits: An Empirical Analyis," NBER Working Papers 6310, National Bureau of Economic Research, Inc.
  6. Akito Matsumoto & Charles Engel, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 05/165, International Monetary Fund.
  7. Pierre-Olivier Gourinchas & Helene Rey, 2005. "International Financial Adjustment," NBER Working Papers 11155, National Bureau of Economic Research, Inc.
  8. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "From World Banker to World Venture Capitalist: U.S. External Adjustment and the Exorbitant Privilege," NBER Chapters, in: G7 Current Account Imbalances: Sustainability and Adjustment, pages 11-66 National Bureau of Economic Research, Inc.
  9. 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.
  10. 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.
  11. 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 16204, Congressional Budget Office.
  12. repec:idb:wpaper:4367 is not listed on IDEAS
  13. Philip Lane & Sébastien Wälti, 2006. "The Euro and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp139, IIIS.
  14. Maurice Obstfeld & Alan M. Taylor, 2002. "Globalization and Capital Markets," NBER Working Papers 8846, National Bureau of Economic Research, Inc.
  15. Gian Milesi-Ferretti & Philip R. Lane, 2005. "A Global Perspectiveon External Positions," IMF Working Papers 05/161, International Monetary Fund.
  16. 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 Schmidt- (ed.), Current Account and External Financing, edition 1, volume 12, chapter 6, pages 195-236 Central Bank of Chile.
  17. Maurico Obstfeld, 2004. "External adjustment," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 140(4), pages 541-568, December.
  18. 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.
  19. repec:tcd:wpaper:tep16 is not listed on IDEAS
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