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Citations for "Portfolio Choice in a Monetary Open-Economy DSGE Model"

by Charles Engel & Akito Matsumoto

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  1. 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.
  2. Devereux, Michael B & Sutherland, Alan, 2007. "Financial Globalization and Monetary Policy," CEPR Discussion Papers 6147, C.E.P.R. Discussion Papers.
  3. Devereux, Michael B. & Sutherland, Alan, 2010. "Valuation effects and the dynamics of net external assets," Journal of International Economics, Elsevier, vol. 80(1), pages 129-143, January.
  4. Stewen, Iryna, 2014. "Is Real Exchange Rate Hedging Motive Still Important in Determining Equity Home Bias?," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100571, Verein für Socialpolitik / German Economic Association.
  5. Philippe Bacchetta & Eric van Wincoop, 2005. "Incomplete Information Processing: A Solution to the Forward Discount Puzzle," Working Papers 05.03, Swiss National Bank, Study Center Gerzensee.
  6. Michael B Devereux & Alan Sutherland, 2007. " Country Portfolio Dynamics," CDMA Conference Paper Series 0706, Centre for Dynamic Macroeconomic Analysis.
  7. Michael B. Devereux & Makoto Saito, 2006. "A Portfolio Theory of International Capital Flows," Working Papers 112006, Hong Kong Institute for Monetary Research.
  8. Stephanie Curcuru & Tomas Dvorak & Francis E. Warnock, 2009. "Decomposing the U.S. external returns differential," International Finance Discussion Papers 977, Board of Governors of the Federal Reserve System (U.S.).
  9. Camilo E Tovar, 2008. "DSGE models and central banks," BIS Working Papers 258, Bank for International Settlements.
  10. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2007. "International Portfolios with Supply, Demand and Redistributive Shocks," NBER Working Papers 13424, National Bureau of Economic Research, Inc.
  11. Cédric Tille & Eric van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York.
  12. Richard W. Evans, 2007. "Is openness inflationary? Imperfect competition and monetary market power," Globalization and Monetary Policy Institute Working Paper 01, Federal Reserve Bank of Dallas.
  13. Bong-Chan Kho & René M Stulz & Francis E Warnock, 2006. "Financial globalisation, governance and the evolution of the home bias," BIS Working Papers 220, Bank for International Settlements.
  14. Harald Hau & Helene Rey, 2008. "Home Bias at the Fund Level," NBER Working Papers 14172, National Bureau of Economic Research, Inc.
  15. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice," IMF Working Papers 07/163, International Monetary Fund.
  16. 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.
  17. Kai Guo & Keyu Jin, 2009. "Composition and growth effects of the current account: a synthesized portfolio view," LSE Research Online Documents on Economics 25826, London School of Economics and Political Science, LSE Library.
  18. Curcuru, Stephanie E. & Dvorak, Tomas & Warnock, Francis E., 2010. "Decomposing the U.S. external returns differential," Journal of International Economics, Elsevier, vol. 80(1), pages 22-32, January.
  19. 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.
  20. Philip Lane & Jay C. Shambaugh, 2007. "Financial Exchange Rates and International Currency Exposures," NBER Working Papers 13433, National Bureau of Economic Research, Inc.
  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. Agustín Bénétrix, 2009. "The anatomy of large valuation episodes," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 145(3), pages 489-511, October.
  23. Pierre-Olivier Gourinchas & Nicolas Coeurdacier, 2008. "When Bonds Matter: Home Bias in Goods and Assets," 2008 Meeting Papers 342, Society for Economic Dynamics.
  24. Jean-Olivier Hairault & Thepthida Sopraseuth, 2008. "Fluctuations internationales et dynamique du taux de change," Économie et Prévision, Programme National Persée, vol. 183(2), pages 65-91.
  25. 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.
  26. Pavlova, Anna & Rigobon, Roberto, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers 6647, C.E.P.R. Discussion Papers.
  27. 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.
  28. 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.
  29. Lane, Philip R. & Shambaugh, Jay C, 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.
  30. Devereux, Michael B & Sutherland, Alan, 2007. "Country Portfolio Dynamics," CEPR Discussion Papers 6208, C.E.P.R. Discussion Papers.
  31. Michael Kumhof, 2010. "International Currency Portfolios," 2010 Meeting Papers 84, Society for Economic Dynamics.
  32. Jonathan Heathcote & Fabrizio Perri, 2004. "The international diversification puzzle is not as bad as you think," 2004 Meeting Papers 152, Society for Economic Dynamics.
  33. Michael B. Devereux & Alan Sutherland, 2008. "Country Portfolios in Open Economy Macro Models," NBER Working Papers 14372, National Bureau of Economic Research, Inc.
  34. 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.
  35. De Moor, Lieven & Sercu, Piet & Vanpée, Rosanne, 2010. "The plausibility of risk estimates and implied costs to international equity investments," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 623-644, September.
  36. Pierpaolo Benigno, 2006. "Are Valuation Effects Desirable from a Global Perspective?," NBER Working Papers 12219, National Bureau of Economic Research, Inc.
  37. Philip R. Lane & Gian Maria Milesi-Ferretti, 2007. "Europe and global imbalances," Economic Policy, CEPR;CES;MSH, vol. 22, pages 519-573, 07.
  38. Michael B. Devereux & Alan Sutherland, 2007. "Solving for Country Portfolios in Open Economy Macro Models," Working Papers 162007, Hong Kong Institute for Monetary Research.
  39. Roberto Rigobon & Anna Pavlova, 2011. "Equilibrium Portfolios and External Adjustment under Incomplete Markets," 2011 Meeting Papers 1349, Society for Economic Dynamics.
  40. repec:hal:journl:halshs-00270284 is not listed on IDEAS
  41. Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2009. "The valuation channel of external adjustment," Working Papers 09-18, Federal Reserve Bank of Boston.
  42. Nicolas Coeurdacier, 2011. "Limited participation and International Risk-Sharing," 2011 Meeting Papers 613, Society for Economic Dynamics.
  43. 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.
  44. Robert Kollmann & Nicolas Coeurdacier & Philippe Martin, 2008. "International portfolios, current account dynamics and capital accumulation," ULB Institutional Repository 2013/13410, ULB -- Universite Libre de Bruxelles.
  45. David Amdur, 2009. "International Diversification in Debt vs Equity," Working Papers gueconwpa~09-09-01, Georgetown University, Department of Economics.
  46. Ester Faia & Tommaso Monacelli, 2006. "Optimal Monetary Policy in a Small Open Economy with Home Bias," Computing in Economics and Finance 2006 521, Society for Computational Economics.
  47. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Sciences Po publications info:hdl:2441/c8dmi8nm4pd, Sciences Po.
  48. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2007. "Return Volatility and International Portfolio Choice," 2007 Meeting Papers 474, Society for Economic Dynamics.
  49. Fidora, Michael & Fratzscher, Marcel & Thimann, Christian, 2007. "Home bias in global bond and equity markets: The role of real exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 631-655, June.
  50. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
  51. Michael B Devereux & Alan Sutherland, 2009. "A Portfolio Model of Capital Flows to Emerging Markets," Working Papers 082009, Hong Kong Institute for Monetary Research.
  52. Leon, Jorge, 2010. "International Portfolios and the U.S. Current Account," MPRA Paper 45281, University Library of Munich, Germany.
  53. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g708n2m4m is not listed on IDEAS
  54. Coeurdacier, Nicolas & Kollmann, Robert & Martin, Philippe, 2010. "International portfolios, capital accumulation and foreign assets dynamics," Journal of International Economics, Elsevier, vol. 80(1), pages 100-112, January.
  55. 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.
  56. Pang, Ke, 2013. "Financial integration, nominal rigidity, and monetary policy," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 75-90.
  57. 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.
  58. Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane, 2014. "A dynamic equilibrium model of imperfectly integrated financial markets," Journal of Economic Theory, Elsevier, vol. 154(C), pages 490-542.
  59. Anna Pavlova & Roberto Rigobon, 2010. "International Macro-Finance," NBER Working Papers 16630, National Bureau of Economic Research, Inc.
  60. Guy Meredith, 2007. "Debt Dynamics and Global Imbalances; Some Conventional Views Reconsidered," IMF Working Papers 07/4, International Monetary Fund.
  61. 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.
  62. Rahul Mukherjee, 2011. "Country Portfolios with Imperfect Corporate Governance," IHEID Working Papers 08-2011, Economics Section, The Graduate Institute of International Studies.
  63. repec:spo:wpmain:info:hdl:2441/c8dmi8nm4pdjkuc9g708n2m4m is not listed on IDEAS
  64. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g7485ckbm is not listed on IDEAS
  65. 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.
  66. repec:spo:wpecon:info:hdl:2441/c8dmi8nm4pdjkuc9g81p80a37 is not listed on IDEAS
  67. 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.
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