BKK the EZ Way: International Long-Run Growth News and Capital Flows

被引：25

作者：

Colacito, Ric ^{[1
,2
]}

Croce, Max ^{[2
,3
,4
,5
]}

Ho, Steven ^{[6
,7
]}

Howard, Philip ^{[8
]}

机构：

[1] Univ N Carolina, Kenan Flagler Business Sch, McColl Bldg, Chapel Hill, NC 27599 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Univ N Carolina, Kenan Flagler Business Sch, CB 3490, Chapel Hill, NC 27599 USA

[4] Bocconi Univ, Milan, Italy

[5] CEPR, Washington, DC USA

[6] Columbia Univ, Dept Econ, 1022 IAB,420 W 118th St, New York, NY 10027 USA

[7] Tsinghua Univ, PBC Sch Finance, Beijing, Peoples R China

[8] Wake Forest Univ, Sch Business, 1834 Wake Forest Rd, Winston Salem, NC 27106 USA

来源：

AMERICAN ECONOMIC REVIEW | 2018年 / 108卷 / 11期

关键词：

REAL EXCHANGE-RATE; BUSINESS CYCLES; ASSET RETURNS; RISK PREMIUM; DYNAMICS; TRADE; MARKETS; PREFERENCES; CONSUMPTION; INVESTMENT;

D O I：

10.1257/aer.20141123

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We study the response of international investment flows to short- and long-run growth news. Among developed G7 countries, positive long-run news for domestic productivity induces a net outflow of investments, in contrast to the effects of short-run growth shocks. We document that a standard Backus, Keho, and Kydland (1994) (BKK) model fails to reproduce this novel empirical evidence. We augment this model with Epstein and Zin (1989) preferences (EZ-BKK) and characterize the resulting recursive risk-sharing scheme. The response of international capital flows in the EZ-BKK model is consistent with the data.

引用

页码：3416 / 3449

页数：34

共 66 条

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