This paper surveys the measurement of trade costs---what we know, and what we don't
know but may usefully attempt to find out. Partial and incomplete data on direct measures of
costs go together with inference on implicit costs from trade flows and prices. Total trade ...
AK Rose… - The American Economic Review, 2001 - JSTOR
Europeans are proceeding with Economic and Monetary Union (EMU); a number of
countries in the Americas are pursuing dollarization. Why? Conventional wisdom is that the
costs are high, since members of currency unions cannot employ domestic monetary ...
TE Clark… - Journal of International Economics, 2001 - Elsevier
We document that business cycles of US Census regions are substantially more
synchronized than those of European countries. Data from regions within European
countries confirm a European border effect—within-country correlations are substantially ...
P Bacchetta… - American Economic Review, 2000 - JSTOR
This paper develops a simple general-equilibrium framework to study the effect of the
exchange-rate system on trade and welfare. An important feature of the model is deviations
from purchasing-power parity, caused by rigid price setting in buyers' currency. In a ...
P Bacchetta… - FAME Research Paper No. 155, 2005 - papers.ssrn.com
Abstract: Empirical evidence shows that observed macroeconomic fundamentals have little
explanatory power for nominal exchange rates (the exchange rate determination puzzle). On
the other hand, the recent microstructure approach to exchange rates has shown that most ...
P Bacchetta… - Journal of International Economics, 2005 - Elsevier
The currency denomination of international trade has significant macroeconomic and policy
implications. In this paper we solve for the optimal invoicing choice by integrating this
microeconomic decision at the level of the firm into a general equilibrium open economy ...
E Wincoop - Journal of Monetary Economics, 1994 - Elsevier
Abstract This paper uses consumption data to compute yet unexploited welfare gains that
can be achieved through risksharing among twenty OECD countries. There is both
aggregate national consumption risk and nondiversifiable individual-specific risk. ...
E Van Wincoop - Journal of International Economics, 1999 - Elsevier
There is extensive evidence that risksharing across countries is far from perfect. Some have
attributed this to small benefits from risksharing. Gains from riskpooling that have been
reported range from negligible to enormous. This paper documents to what extent the ...
P Bacchetta… - 2000 - nber.org
The surge in capital flows toward a group of developing countries in the 1990s is remarkable
more because of the nature of these flows than their quantities. Total lending to developing
countries has indeed increased compared to the mid-l980s, but is not higher than in the ...
C Tille… - Journal of International Economics, 2010 - Elsevier
The surge in international asset trade since the early 1990s has lead to renewed interest in
models with international portfolio choice. We develop the implications of portfolio choice for
both gross and net international capital flows in the context of a simple two-country ...
L Bottazzi, P Pesenti… - European Economic Review, 1996 - Elsevier
This paper investigates the impact of fluctuations in the return to human capital on the
composition of international asset portfolios. We adopt a continuous-time VAR model of
international portfolio choice which allows for intertemporal interactions between wage ...
International economic integration yields large potential welfare effects, even in a static
constant returns competitive world economy. Our method is novel. The effect of border
barriers on trade flows is often inferred from gravity models. But their rather atheoretic ...
P Beaudry… - Economica, 1996 - JSTOR
This paper uses state-level consumption data to estimate the intertemporal elasticity of
substitution of consumption (IES). In contrast to the results of Hall (1988) and Campbell and
Mankiw (1989), we provide evidence indicating that the IES is significantly different from ...
SG Athanasoulis… - Journal of Monetary Economics, 2000 - Elsevier
We propose a new methodology to evaluate the gains from global risksharing that is closely
connected to the empirical growth literature. We obtain estimates of diversifiable growth
uncertainty at various horizons from regressions of country-specific deviations from world ...
P Bacchetta… - 2002 - nber.org
It is well known that the extent of pass-through of exchange rate changes to consumer prices
is much lower than to import prices. One explanation is local distribution costs. Here we
consider an alternative, complementary, explanation based on the optimal pricing ...
SG Athanasoulis… - Review of Economics and Statistics, 2001 - MIT Press
We measure income uncertainty at the level of US states, and the extent to which it has been
reduced through risksharing, using a method recently developed by Athanasoulis and van
Wincoop (2000). Risk is measured as the standard deviation of state-specific income ...
E Van Wincoop - European Economic Review, 1995 - Elsevier
This paper studies a variety of moments associated with the degree of risksharing for a set of
47 Japanese regions. The moments are compared to those for a group of 20 OECD
countries. One striking observation is a low average consumption correlation across ...
P Pesenti… - Journal of Money, Credit and Banking, 2002 - JSTOR
The past decade has witnessed an increase in the fraction of equity portfolios invested
abroad, as barriers to international asset trade have significantly declined. What are the long-
run implications of this process? In this paper we investigate to what extent nontradables ( ...
P Bacchetta… - 1998 - nber.org
On the eve of a major change in the world monetary system, the adoption of a single
currency in Europe, our theoretical understanding of the implications of the exchange rate
regime for trade and capital flows is still limited. We argue that two key model ingredients ...
P Bacchetta… - The American Economic …, 2010 - ingentaconnect.com
Abstract: A major puzzle in international finance is that high interest rate currencies tend to
appreciate (forward discount puzzle). Motivated by the fact that only a small fraction of
foreign currency holdings is actively managed, we calibrate a two-country model in which ...
P Bacchetta… - Journal of Money, Credit and …, 2008 - Wiley Online Library
We examine formally Keynes' idea that higher order beliefs can drive a wedge between an
asset price and its fundamental value based on expected future payoffs. We call this the
higher order wedge, which depends on the difference between higher and first order ...
S Athanasoulis, R Shiller… - … economics: bright ideas …, 2002 - books.google.com
Today, people have a rich set of investment options, ranging from low-risk money market
instruments to high-risk growth stocks. They can choose to invest in mutual funds, hedge
funds, and pension plans. They can hedge themselves with options and other derivatives ...
P Bacchetta… - 2004 - nber.org
While empirical evidence finds only a weak relationship between nominal exchange rates
and macroeconomic fundamentals, forex markets participants often attribute exchange rate
movements to a macroeconomic variable. The variables that matter, however, appear to ...
E Van Wincoop… - Federal Reserve Bank of New York …, 2000 - papers.ssrn.com
Abstract: The Asia crisis was originally expected to affect the US economy adversely, mainly
through reduced exports to, and increased imports from, the crisis countries. However, US
GDP growth in 1998, at 4.3 percent, was surprisingly strong. This article examines the ...
P Bacchetta, E Mertens… - Journal of International Money …, 2009 - Elsevier
There is widespread evidence of excess return predictability in financial markets. For the
foreign exchange market a number of studies have documented that the predictability of
excess returns is closely related to the predictability of expectational errors of excess ...
E Van Wincoop… - 2006 - nber.org
Obstfeld and Rogoff (2000) have reinvigorated an old literature on the link between home
bias in the goods market and home bias in the asset market by arguing that trade costs in
the goods market can account for the observed portfolio home bias. The key link between ...
Y Iwamoto… - International Economic Review, 2000 - Wiley Online Library
2. Abstract Are international borders barriers to capital flows? We use evidence on net
capital flows among regions within a country as a benchmark. For this purpose we develop a
data set of saving and investment rates of Japanese prefectures. We find that the ...
P Bacchetta… - CEPR discussion papers, 2006 - papers.ssrn.com
Abstract: The uncovered interest rate parity equation is the cornerstone of most models in
international macro. However, this equation does not hold empirically since the forward
discount, or interest rate differential, is negatively related to the subsequent change in the ...
P Bacchetta… - 2005 - nber.org
The uncovered interest rate parity equation is the cornerstone of most models in
international macro. However, this equation does not hold empirically since the forward
discount, or interest rate differential, is negatively related to the subsequent change in the ...
GD Hess… - 2000 - books.google.com
What will international macroeconomics look like in the twenty-first century? While
historically the study of international trade and finance has associated the movement of
goods and financial flows across the distinct geographic regions as a phenomenon only ...
E Van Wincoop - Intranational Macroeconomics, 2000 - books.google.com
On the surface, international capital markets appear to be highly integrated. Cross-border
transactions in equity and bonds, virtually zero in 1970, were 152% of GDP in the United
States in 1996, and 435% of GDP in Italy in the same year. Among the major industrialized ...
E Van Wincoop - The Scandinavian Journal of Economics, 1996 - JSTOR
A multi-country real business cycle model is developed capturing two important aspects of
heterogeneity found in household survey data: only a small fraction of the population holds
stock, and a significant fraction of non-stockholders are borrowing constrained. The model ...
E Van Wincoop - European Economic Review, 1993 - Elsevier
This paper adds a construction sector to a dynamic dependent economy model, equipped
with consumer tradeables and non-tradeables sectors. The model is used to study the
response of the production structure, relative prices, and the trade balance to a favorable ...
P Bacchetta… - Journal of International Money and …, 2000 - hec.unil.ch
Abstract Nominal assets play a major role in international financial markets, while trade in
indexed bonds is limited. As a result, agents are exposed to both price and exchange rate
uncertainty. Nonetheless, previous research on net capital flows has assumed the ...
P Pesenti… - 1996 - nber.org
Interpretations of the home bias puzzle in international finance have fre-quently focused on
the role of fluctuations in domestic nontraded output, through their effects on the marginal
utility of tradables consumption. This paper assesses the empirical evidence of this ...
[CITATION] nGravity with Gravitas: A Solution to the Border Puzzle, oAmerican Economic Review
JE Anderson… - March, 2003
E Van Wincoop, J Marrinan - 1993 - recercat.net
Abstract: We decompose aggregate saving and investment into its public and private
components and then document a variety of``stylized facts''associated with saving and
investment rates for a sample of 15 countries over the period 1975--1989. In order to see ...
E Van Wincoop - Journal of International Economics, 1992 - Elsevier
Abstract This paper studies the response of savings and the production structure
(tradeables/non-tradeables) to an increase in future terms of trade uncertainty, holding
expected utility constant. There is no international trade in risky assets. The impact on the ...
Y Okawa… - Working Papers, 2010 - papers.ssrn.com
Abstract: The past decade has witnessed an explosion of papers estimating gravity
equations for cross-border financial holdings. The aim of the paper is to develop a
theoretical foundation for the empirical gravity literature applied to finance. The gravity ...
[CITATION] Borders and trade
E Van Wincoop - Federal Reserve Bank of New York, April, 2000
P Bacchetta… - 2007 - nber.org
Two well-known, but seemingly contradictory, features of exchange rates are that they are
close to a random walk while at the same time exchange rate changes are predictable by
interest rate differentials. In this paper we investigate whether these two features of the ...
E Van Wincoop… - 2007 - nber.org
The sharp increase in both gross and net capital flows over the past two decades has led to
a renewed interest in their determinants. Most existing theories of international capital flows
are in the context of models with only one asset, which only have implications for net ...
P Bacchetta… - 2009 - nber.org
It is well known from anecdotal, survey and econometric evidence that the relationship
between the exchange rate and macro fundamentals is highly unstable. This could be
explained when structural parameters are known and very volatile, neither of which seems ...
C Tille… - 2008 - nber.org
We develop a new theory of international capital flows based on dispersed information
across individual investors. There is extensive evidence of information heterogeneity within
and across countries, which has proven critical to understanding asset price behavior. We ...
P Bacchetta… - NBER Working Paper, 2003 - acrobatplanet.com
Abstract Exchange rates tend to be disconnected from fundamentals over substantial
periods of time. The recent “microstructure approach to exchange rates” has shed some
important light on this puzzle: most exchange rate volatility at short to medium horizons is ...
C Tille… - Journal of International Economics, 2010 - Elsevier
In an influential series of contributions, Kraay and Ventura (2000, 2003) offer a “new rule” for
the current account: in response to a temporary income shock, the change in the current
account is equal to the change in saving times the ratio of net foreign assets to wealth. We ...
[CITATION] International portfolio diversification and non-traded goods
P Pesenti… - NBER Working paper, 1991
E van Wincoop… - American Economic Review, 2003 - dialnet.unirioja.es
... Gravity with Gravitas: A Solution to the Border Puzzle. Autores: Eric van Wincoop, James E.
Anderson; Localización: American economic review, ISSN 0002-8282, Vol. 93, Nº 1, 2003 ,
págs. 170-192. Fundación Dialnet. Acceso de usuarios registrados. ...
[CITATION] Intranational Economics
G Hess… - 2000 - Cambridge University Press, …
[CITATION] Does exchange rate stability increase trade and capital flows?
P Bachetta… - FRBNY wp, 1998
P Evans, ITK Yi, E Van Wincoop - 1998 - Citeseer
... Cached. Download as a PDF. Download Links. [economics.sbs.ohio-state.edu]. Save to
List; Add to Collection; Correct Errors; Monitor Changes. by Paul Evans , I Thank Kei-mu
Yi , Eric Van Wincoop , Gregory Hess For Helpful. Citations: 1 - 0 self. ...
P Bacchetta, C Tille… - 2010 - nber.org
Recent crises have seen very large spikes in asset price risk without dramatic shifts in
fundamentals. We propose an explanation for these risk panics based on self-fulfilling shifts
in risk made possible by a negative link between the current asset price and risk about the ...
P Bacchetta, E Van Wincoop… - 2009 - nber.org
Abstract The empirical literature on nominal exchange rates shows that the current
exchange rate is often a better predictor of future exchange rates than a linear combination
of macroeconomic fundamentals. This result is behind the famous Meese-Rogoff puzzle. ...
[CITATION] Open economy real business cycle models: A multi-country approach
E Van Wincoop… - 1994 - Innocenzo Gasparini Institute for …
P Bacchetta… - University of Lausanne, mimeo, 2010 - eea-esem.com
Abstract The sharp drop in equity prices across the globe during the 2008 financial crisis
coincides with a spike in equity price risk (VIX) of similar magnitude across a broad set of
developing and developed countries. This spike in risk across many countries appears ...
[CITATION] forthcoming, Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle
P Bacchetta… - American Economic Review
P Beaudry, E Van Wincoop… - 1992 - mpls.frb.org
ABSTRACT This paper documents several advantages associated with using state level
consumption data to examine consumption behavior and especially to estimate the
Intertemporal Elasticity of Substitution (IES). In contrast to the results of Hall (1988) and ...
[CITATION] WA Scapegoat Model of Exchange Rate Determination
P Bacchetta… - & American Economic Review, 2004
E Van Wincoop… - Journal of International Money and …, 2010 - Elsevier
A debate has raged in the general equilibrium literature on the impact of trade costs on
portfolio home bias. In all of these models there is a simple, easily observed covariance–
variance ratio. We compute this term using data on real exchange rates and asset returns. ...
S Athanasoulis… - What Have Financial Markets and …, 1998 - fednewyork.org
Abstract We document aggregate income growth uncertainty at the state level, and the
extent to which this uncertainty is reduced by risksharing through financial markets and
federal fiscal policy. A methodology is adopted that is closely connected to the empirical ...
[CITATION] sA theory of the currency denomination of international trade, tJournal of International Economics 67
P Bacchetta… - 2005
E Van Wincoop… - 2000 - papers.ssrn.com
Abstract: Are international borders barriers to capital flows? We use evidence on net capital
flows among regions within a country as a benchmark. For this purpose we develop a data
set of saving and investment rates of Japanese prefectures. We find that the correlation ...
P Bacchetta, AK Rose… - Journal of International …, 2001 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
[CITATION] Trade Costs, preliminary draft
JE Anderson… - preparation for the Journal of Economic Literature, 2004
[CITATION] VA theory of the currency denomination of Interna& tional TradeV Manuscript
P Bacchetta… - 2001 - November
[CITATION] On the Global Spread of Risk Panics
P Bacchetta… - 2010 - Mimeo. mimeo
[CITATION] Real interest rates in a global bond economy
E Van Wincoop… - 1993 - Innocenzo Gasparini Institute for …
C Tille… - 2006 - hkimr.org
Abstract The sharp increase in both gross and net capital flows over the past two decades
has lead to a renewed interest in their determinants. Most existing theories of interna% tional
capital flows are in the context of models with only one asset, implying that two% way ...
[CITATION] mA Scapegoat Model of Exchange Rate Fluctuations, nAmerican Economic Review
P Bacchetta… - Papers and Pro, 2004
[CITATION] pDo Nontraded Goods Explain the Home Bias Puzzle
P Pesenti… - 1996 - q NBER Working Paper 5784
[CITATION] nHigher Order Expectations in Asset Pricing, o2006
P Bacchetta… - unpublished
[CITATION] A Theory of the Price Denomination of International Trade
P Bacchetta… - 2000 - mimeo, Studienzentrum Gerzensee …
E Van Wincoop - 2011 - nber.org
The 2008-2009 financial crises, while originating in the United States, witnessed a drop in
asset prices and output that was at least as large in the rest of the world as in the United
States. A widely held view is that this was the result of global transmission through ...
[CITATION] Gravity with Gravitas: A Solution to the Border Puzzle,” American Economic Review (March)
J Anderson… - 2003
[CITATION] mIncomplete Information Processing: A Solution to the Forward Discount Puzzle, nworking paper
P Bacchetta… - Uni& versity of Virginia, 2006
P Bacchetta… - Cahiers de Recherches …, 1994 - econpapers.repec.org
By Philippe Bacchetta and Eric van Wincoop; Net Capital Flows
under Exchange Rate and Price Volatility.
E Wincoop… - NBER Working Papers, 2007 - econpapers.repec.org
The sharp increase in both gross and net capital flows over the past two decades has led to
a renewed interest in their determinants. Most existing theories of international capital flows
are in the context of models with only one asset, which only have implications for net ...
J Marrinan… - Boston College Working Papers in …, 1993 - ideas.repec.org
Several have shown that models with perfect international capital mobility can generate high
correlations between aggregate savings and investment, as observed in the data. In this
paper we decompose aggregate saving and investment into their two component parts, ...
[CITATION] Capital Flows to Emerging Markets: Liberalization
P Bacchetta… - 2000 - Over
[CITATION] ZOn the Unstable Relation/ship between Exchange Rates and Macroeconomic Fundamentals
P Bacchetta… - 2011 - mimeo
[CITATION] lInternational Capital Flows, mUni $ versity of Virginia
C Tille… - 2007
[CITATION] Macro Markets and Financial Security
R Shiller, E van Wincoop… - … Policy Review: Federal Reserve Bank of …, 1999
[CITATION] Capital Flows to Emerging Markets: Liberalization, Overshooting, and Volatility, NBER Working Paper No. 6530 (Cambridge, Massachusetts: National …
P Bacchetta… - 1998
[CITATION] Welfare gains from international risk-sharing: The role of non-traded goods
E van Wincoop - Boston University, Boston, MA (1994b) Mimeo, 1993
C Tille… - 2009 - papers.ssrn.com
Abstract: The relationship between asset prices and fundamentals is characterized by both
disconnect and predictability: asset prices are largely disconnected from current publicly
observed fundamentals and at the same time contain information about future ...
C Tille… - 2011 - people.virginia.edu
Abstract It is a well established fact that asset prices are determined by both public
information and private information that is widely dispersed among investors. In this paper
we argue that international capital flows are similarly affected by both public and private ...
[CITATION] Does Exchange Rate
P Bacchetta… - 1998
[CITATION] tInfrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle, uworking paper
P Bacchetta… - University of Virginia, 2007
[CITATION] WPre. dictability in FX, Stock and Bond Markets: What Does Survey Data Tell Us
P Bacchetta, E Mertens… - 2005 - & mimeo
[CITATION] Trade Costs
E Anderson James… - 2004 - National Bureau of Economic …
[CITATION] Predictability in Financial Markets: What Does Survey Expectations Tell Us?
P Bacchetta, E Mertens… - 2006 - mimeo
[CITATION] Gravity in International Finance,'mimeo, University of Virginia
Y Okawa… - 2009
[CITATION] ƒGravity with Gravitas: A Solution to the Border Puzzle.≈ National Bureau of Economic Research Working Paper 8079
JE Anderson… - 2001
[CITATION] Do Borders Matter
Y Iwamoto… - Evidence from Japanese, 2000
[CITATION] National Money as a Barrier to Trade: The Real Case for Currency UnionB, forthcoming in American Economic Review
A Rose… - Papers and Proceedings, 2001
JE Anderson… - Trade and Welfare, Paper …, 2001 - books.google.com
Borders. James E Anderson, Eric van Wincoop Trade and Welfare, Paper
presented on Brookings Trade Forum, 10-11, 10/2001.
[CITATION] 2oo3
JE Anderson… - MGravity with Gravitas: A Solution to the Border Puzzle. …
[CITATION] Essays on the structural adjustment to income shocks
IE Van Wincoop - 1989 - Harvard University
C Tille… - 2011 - people.virginia.edu
Abstract We develop a method for applying local approximation techniques to macro models
with dispersed private information. It combines and extends existing local approximation
methods applied to public information DSGE settings with methods for solving noisy ...
E Van Wincoop - European Economic Review, 1996 - ideas.repec.org
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view it first. Information about this may be contained in the File-Format links below. In case of
further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
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