Multicountry Modeling of Financial Markets
After a survey of alternative theoretical approaches to modeling financial markets, the domestic and international financial linkages of major multicountry models are examined and assessed. The properties of these models are compared by calculating the slopes of their UI and BP curves for the United States, Germany, and Japan. The BP curves (horizontal by assumption in several models) are almost always found to be flatter than the estimated UN curves. International differences in UI slopes are not generally greater than inter-model differences in the estimated slopes of LN curves for any given country. Models with rational or model-consistent expectations in their financial markers tend to show mere appreciation of the U.S. dollar, in response to fiscal expansion, than do models with adaptive expectations, although in both types of model the induced nominal exchange rate changes play a modest role in the transmission linking domestic spending to the current account. Suggestions are made for modeling the increasing globalization of financial markets, and for more explicit treatment of learning behaviour in the modeling of expectations.
|Date of creation:||Oct 1988|
|Publication status:||published as Financial Sectors in Open Economies: Empirical Analysis and Policy Issues, edited by Peter Hooper, et al., pp. 305-356. Washington: Federal Reserve System, 1990.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ray C. Fair & John B. Taylor, 1980.
"Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models,"
Cowles Foundation Discussion Papers
564, Cowles Foundation for Research in Economics, Yale University.
- Fair, Ray C & Taylor, John B, 1983. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 51(4), pages 1169-85, July.
- Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models," NBER Technical Working Papers 0005, National Bureau of Economic Research, Inc.
- Walters, A A, 1971. "Consistent Expectations, Distributed Lags and the Quantity Theory," Economic Journal, Royal Economic Society, vol. 81(322), pages 273-81, June.
- John F. Helliwell, 1988. "The Effects of Fiscal Policy on International Imbalances: Japan and the United States," NBER Working Papers 2650, National Bureau of Economic Research, Inc.
- Judd, John P & Scadding, John L, 1982. "The Search for a Stable Money Demand Function: A Survey of the Post-1973 Literature," Journal of Economic Literature, American Economic Association, vol. 20(3), pages 993-1023, September.
- Warwick J. McKibbin & Jeffrey D. Sachs, 1986. "Comparing the Performance of Alternative Exchange Arrangements," NBER Working Papers 2024, National Bureau of Economic Research, Inc.
- Branson, William H. & Henderson, Dale W., 1985.
"The specification and influence of asset markets,"
Handbook of International Economics,
in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 15, pages 749-805
- Poole, William, 1988.
"Monetary Policy Lessons of Recent Inflation and Disinflation,"
Journal of Economic Perspectives,
American Economic Association, vol. 2(3), pages 73-100, Summer.
- William Poole, 1987. "Monetary Policy Lessons of recent Inflation and Disinflation," NBER Working Papers 2300, National Bureau of Economic Research, Inc.
- Friedman, Benjamin M, 1980. "How Important Is Disaggregation in Structural Models of Interest Rate Determination?," The Review of Economics and Statistics, MIT Press, vol. 62(2), pages 271-76, May.
- Zellner, Arnold & Montmarquette, Claude, 1971. "A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 335-42, November.
- Niehans, Jurg, 1982. "Innovation in monetary policy : Challenge and response," Journal of Banking & Finance, Elsevier, vol. 6(1), pages 9-28, March.
- Christ, Carl F, 1971. "Econometric Models of the Financial Sector," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 3(2), pages 419-49, May.
- Benjamin M. Friedman, 1978. "Crowding Out Or Crowding In? The Economic Consequences of Financing Government Deficits," NBER Working Papers 0284, National Bureau of Economic Research, Inc.
- Benjamin M. Friedman, 1978. "Crowding Out or Crowding In? Economic Consequences of Financing Government Deficits," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 9(3), pages 593-641.
- Masson, Paul R., 1981. "Dynamic stability of portfolio balance models of the exchange rate," Journal of International Economics, Elsevier, vol. 11(4), pages 467-477, November.
- Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
- Paul Krugman, 1987. "Adjustment in the World Economy," NBER Working Papers 2424, National Bureau of Economic Research, Inc.
- Jonson, Peter D, 1976. "Money and Economic Activity in the Open Economy: The United Kingdom, 1880-1970," Journal of Political Economy, University of Chicago Press, vol. 84(5), pages 979-1012, October.
- John P. Judd & John L. Scadding, 1982. "The search for a stable money demand function: a survey of the post- 1973 literature," Working Papers in Applied Economic Theory 109, Federal Reserve Bank of San Francisco.
- Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867–1960," NBER Books, National Bureau of Economic Research, Inc, number frie63-1, Enero.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:2736. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.