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on Open MacroEconomics |
| By: | Nils Holinski; Robert Vermeulen (CREA, University of Luxembourg) |
| Abstract: | This paper analyzes the empirical link between asset prices, consumption and the trade balance using a global macroeconometric model developed by Pesaran, Schuermann, and Weiner (2004). The model is estimated for 29 countries with quarterly data over the period 1981Q1 - 2006Q4. Motivated by increasing international _nancial and real integration, and pronounced cycles in stock and housing prices, we employ generalized impulse response functions for a group of _ve of the world's most industrialized countries and show that shocks to asset prices transmit into the trade balance. We refer to this transmission channel as the international wealth channel and _nd it to be present in the US, UK and, to a lesser extent, in France, but absent in Japan and Germany. More speci_cally, when we _nd the international wealth channel at work as stock price changes are transmitted through consumption into the trade balance, whereas housing price changes are transmitted through investment into the trade balance. |
| Keywords: | trade balance, wealth effect, global imbalances, GVAR, international transmission |
| JEL: | E21 F15 F41 G15 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:luc:wpaper:10-04&r=opm |
| By: | Philip Brock |
| Date: | 2010–07 |
| URL: | http://d.repec.org/n?u=RePEc:udb:wpaper:uwec-2010-05-r&r=opm |
| By: | Tuck Cheong Tang |
| Abstract: | This study examines the existence of long-run equilibrium relationship between the Cambodia’s real exchange rates and real interest differentials. The results of cointegration tests (i.e. Engle-Granger tests, and Johansen’s multivariate tests without and with structural breaks) show that these variables are cointegrated over the sample period of November 1994 - August 2009. This empirical finding illustrates the fundamental understanding of the role of real interest differential in determining real exchange rates in Cambodia, and it is useful for policy considerations. |
| Keywords: | Cambodia; Real exchange rates; Real interest differentials |
| JEL: | F30 F41 |
| Date: | 2010–05 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2010-08&r=opm |
| By: | Wenli Cheng; Dingsheng Zhang |
| Abstract: | This paper investigates how monetary shocks are transmitted internationally. It shows that where a national currency is used as an international medium of exchange, the international money is non-neutral. In particular, an increase in the supply of international money leads to a transfer of real resources to the international money-issuing country from its trading partner. It induces an expansion of the non-tradable sector in the international money-issuing country, and an expansion the tradable sector in its trading partner. The real impact of a monetary shock is greater under a fixed exchange rate system than under a flexible exchange rate system. |
| Keywords: | demand for money, demand for international currency, monetary policy, exchange rate, non-neutrality of money |
| JEL: | F11 F31 E41 E52 |
| Date: | 2010–05 |
| URL: | http://d.repec.org/n?u=RePEc:mos:moswps:2010-17&r=opm |
| By: | Jesús Crespo-Cuaresma; Octavio Fernández-Amador |
| Abstract: | We analyse the dynamics of the standard deviation of demand shocks and of the demand component of GDP across countries in the European Monetary Union (EMU). This analysis allows us to evaluate the patterns of cyclical comovement in EMU and put them in contrast to the cyclical performance of the new members of the EU and other OECD countries. We use the methodology put forward in Crespo-Cuaresma and Fern\'andez-Amador (2010), which makes use of sigma-convergence methods to identify synchronization patterns in business cycles. The Eurozone has converged to a stable lower level of dispersion across business cycles during the end of the 80s and the beginning of the 90s. The new EU members have also experienced a strong pattern of convergence from 1998 to 2005, when a strong divergence trend appears. An enlargement of the EMU to 22 members would not decrease its optimality as a currency area. There is evidence for some European idiosyncrasy as opposed to a world-wide comovement. |
| Keywords: | Business cycle synchronization, structural VAR, demand shocks, European Monetary Union |
| JEL: | E32 E63 F02 |
| Date: | 2010–09 |
| URL: | http://d.repec.org/n?u=RePEc:inn:wpaper:2010-25&r=opm |