Xem 1-9 trên 9 kết quả Non-Tradable
  • Empirical evidence suggests that movements in international relative prices (such as the real exchange rate) are large and persistent. Nontraded goods, both in the form of ¯nal consumption goods and as an input into the production of ¯- nal tradable goods, are an important aspect behind international relative price movements. In this paper we show that nontraded goods have important impli- cations for exchange rate behavior, even though °uctuations in the relative price of nontraded goods account for a relatively small fraction of real exchange rate movements.

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  • Empirical evidence regarding international relative prices at the consumer level suggests that arbitrage in international markets is not rapid and that these markets are highly segmented. In fact, even markets for traded goods appear to be highly segmented internationally: In the data, both real exchange rate movements and deviations from the law of one price for traded goods are large and persistent.

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  • In this paper we show that nontraded goods (in ¯nal consumption and in retail services) play an important role in exchange rate behavior in the context of an otherwise standard open-economy macro model. In our model, nontraded goods have an important role even though °uctuations in the relative price of nontraded goods account for a small proportion of real exchange rate °uctuations. 3 Our quantitative study with nontraded goods generates implications along several dimensions that are more closely in line with the data relative to the model that abstracts from nontraded goods.

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  • The world economy consists of two countries, denominated home and foreign. Each country is populated by a continuum of identical households, ¯rms, and a monetary authority. House- holds consume two types of ¯nal goods, a tradable good T and a nontraded good N. The production of nontraded goods requires capital and labor, and the production of tradable consumption goods requires the use of home and foreign traded inputs as well as nontraded goods.

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  • We build a two-country general equilibrium model of exchange rates that features two roles for nontraded goods: as ¯nal consumption and as an input into the production of ¯nal tradable goods (retail services). In addition to retail services, ¯nal tradable goods require the use of local and imported intermediate traded inputs. Intermediate traded goods and nontraded goods are produced using local labor and capital services. Thus, our model has an input-output structure (as in Obstfeld, 2001), where the output of some sectors is used as an input to the production of ¯nal goods.

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  • The presence of nontraded goods in our model increases the relative volatility of nominal and real exchange rates relative to the volatility in the model without nontraded goods. An important aspect of the behavior of exchange rates in our model with nontraded goods hinges on the agent's inability to optimally share the risk associated with country-speci¯c shocks to productivity in the nontraded goods sector. In response to a (persistent) positive shock to productivity in this sector, agents wish to consume and invest more.

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  • We assume that every instrument of interest can be assigned a fair value. If the payoff stream of the instrument is ,wedenoteitsfairvalue  Following GAAP accounting rules, we view the fair value as the price at which the instrument could be sold “in an orderly transaction”. For instruments traded in a market, fair values can be read off market prices. For nontraded instruments, such as loans, fair values have to be constructed from the payoffs of comparable instruments. The fair values of fixed income instruments exhibit a low-dimensional factor structure.

    pdf0p taisaovanchuavo 23-01-2013 46 3   Download

  • In China, domestic firms can issue A- and B-shares. Before Feb 2001, Domestic investors can only invest A-shares while foreign investors can only trade B-shares. This paper makes use of this special feature in testing information and trading noise hypotheses. We find that A-share prices are more volatile than B-share prices even though they are issued by the same companies and are traded in the same stock market.

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  • The paper studies the efficiency of the Indian equity and futures markets by applying statistical techniques to returns and volatility during trading and nontrading hours. Returns have been decomposed into trading and non-trading period returns by taking close to open, open to close and close to close prices. We find the presence of a weekend effect during the non-trading period in the spot index market, while, there is no day of the week effect in the index futures market. Also, the volatility in both the markets is higher during the trading period than during the non-trading period.

    pdf25p nguyenminhlong19 21-04-2020 3 0   Download




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