Explaining international comovements of output and asset returns: The role of money and nominal rigidities

Journal of Economic Dynamics and Control

Volumn 25, Issue 10, 2001, Pages 1547-1583

  Kollmann, Robert ^a  

^a UNIVERSITÉ PARIS EST CRÉTEIL   (France)

Author keywords

Asset returns; E4; F3; F4; International business cycles; Monetary policy; Nominal rigidities

Indexed keywords

EID: 0001033126     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(99)00063-9     Document Type: Article

References (46)

1. Backus, D., Kehoe, P., Kydland, F., 1995. International business cycles: theory and evidence. In: Cooley, T. (Ed.), Frontiers of Business Cycle Research. Princeton University Press, Princeton, pp. 331-356.
2. Basu, S., Fernald, J., 1993. Constant returns and small markups in U.S. manufacturing. Working Paper 93-19, Center for Research on Economic and Social Theory, University of Michigan.
3. Baxter, M., 1995. International trade and business cycles. In: Grossman, G., Rogoff, K. (Eds.), Handbook of International Economics, Vol. 3. North Holland, Amsterdam, pp. 1801-1864.
4. Betts, C., Devereux, M., 1998. Exchange rate dynamics in a model of pricing-to-market. Journal of International Economics, forthcoming.
5. Blanchard O., Kahn C. The solution of linear difference models under rational expectations. Econometrica. 48:1980;1305-1311.
6. Calvo G. Staggered prices in a utility maximizing framework. Journal of Monetary Economics. 12:1983;383-398.
7. Campbell, J., Perron, P., 1991. Pitfalls and opportunities: what macroeconomists should know about unit roots. In: Blanchard, O., Fischer, S. (Eds.), NBER Macroeconomics Annual. MIT Press, Cambridge, MA, pp. 141-201.
8. Chari, V., Kehoe, P., McGrattan, E., 1998. Can sticky price models generate volatile and persistent real exchange rates? Research Department Staff Report 223, Federal Reserve Bank of Minneapolis.
9. Dornbusch R. Expectations and exchange rate dynamics. Journal of Political Economy. 84:1976;1161-1176.
10. Eichenbaum M., Evans C. Some empirical evidence on the effect of shocks to monetary policy on exchange rates. Quarterly Journal of Economics. 110:1995;975-1009.
11. Erceg, C., Henderson, D., Levin, A., 1999. Optimal monetary policy with staggered wage and price contrats. Journal of Monetary Economics, forthcoming.
12. Fair R. International evidence on the demand for money. Review of Economics and Statistics. 69:1987;473-480.
13. Frankel, J., 1988. Ambiguous policy multipliers in theory and in empirical models. In: Bryant, R., Henderson, D., Holtham, G., Hooper, P., Symansky, S. (Eds.), Empirical Macroeconomics. Brookings Institution, Washington, DC, pp. 17-26.
14. French K., Poterba J. Investor diversification and international equity markets. American Economic Review. 81:1991;222-226.
15. Friend I., Blume M. The demand for risky assets. American Economic Review. 65:1975;909-922.
16. Goldfeld, S., Sichel, D., 1990. The demand for money. In: Friedman, B., Hahn, F. (Eds.), Handbook of Monetary Economics, Vol. 1. North-Holland, Amsterdam, pp. 299-356.
17. Goldstein, M., Khan, M., 1985. Income and price effects in foreign trade. In: Jones, R., Kenen, P., (Eds.), Handbook of International Economics, Vol. 2. North-Holland, Amsterdam, pp. 1041-1105.
18. Grilli V., Roubini N. Liquidity models in open economies: theory and empirical evidence. European Economic Review. 40:1996;847-859.
19. Hairault J.O., Portier F. Money, new keynesian macroeconomics and the business cycle. European Economic Review. 37:1993;1533-1568.
20. Hall, R., Taylor, J., 1997. Macroeconomics, 5th Edition. Norton, New York.
21. Hansen G. Indivisible labor and the business cycle. Journal of Monetary Economics. 16:1985;309-427.
22. Hau, H., 1998. Exchange rate determination: the role of factor price rigidities and market segmentation. Journal of International Economics, forthcoming.
23. Hodrick R., Prescott E. Post-war U.S. business cycles: an empirical investigation. Journal of Money, Credit and Banking. 29:1997;1-16.
24. Hooper, P., Marquez, J., 1995. Exchange rates, prices, and external adjustment in the United States and Japan. In: Kenen, P. (Ed.), Understanding Interdependence. Princeton, Princeton University Press, pp. 107-168.
25. Ireland P. A small, structural, quarterly model for monetary policy evaluation. Carnegie-Rochester Conference Series on Public Policy. 47:1997;83-108.
26. Kim, J., 1996. Monetary policy in a stochastic equilibrium model with real and nominal rigidities. Working Paper, Board of Governors of the Federal Reserve System, Washington, DC.
27. Kim, S., 1998. International transmission of U.S. monetary policy shocks: evidence from VAR's. Working Paper, Department of Economics, University of Illinois at Urbana-Champaign.
28. Knetter M. International comparison of pricing to market behavior. American Economic Review. 79:1993;189-210.
29. Kollmann R. U.S. trade balance dynamics: the role of fiscal policy and productivity shocks, and of financial market linkages. Journal of International Money and Finance. 17:1998;637-669.
30. Kollmann R. Incomplete asset markets and the cross-country correlation puzzle. Journal of Economic Dynamics and Control. 20:1996;945-962.
31. Kollmann, R., 1996b. The exchange rate in a dynamic-optimizing current account model with nominal rigidities: a quantitative investigation. Working Paper No. 1896, CRDE, University of Montreal.
32. Kollmann R. Consumption, real exchange rates and the structure of international asset markets. Journal of International Money and Finance. 14:1995;191-211.
33. Kollmann, R., 1993. International business cycles, Research proposal submitted to the Social Sciences and Humanities Research Council of Canada.
34. Mankiw, G., 1997. Macroeconomics. Worth Publishers. New York.
35. Marshall D. Inflation and asset returns in a monetary economy. Journal of Finance. 47:1992;1315-1342.
36. McCallum, B., 1989. Monetary Economics. MacMillan, New York.
37. Mundell, R., 1968. International Economics. MacMillan, New York.
38. Obstfeld M., Rogoff K. Exchange rate dynamics redux. Journal of Political Economy. 103:1995;624-660.
39. Phillips P., Ouliaris S. Asymptotic properties of residual based tests for cointegration. Econometrica. 58:1990;165-193.
40. Romer, D., 1996. Advanced Macroeconomics. McGraw-Hill, New York.
41. Rotemberg, J., Woodford, M., 1998. An optimization-based econometric framework for the evaluation of monetary policy. In: Bernanke, B., Rotemberg, J. (Eds.), NBER Macroeconomics Annual 1997. MIT Press, Cambridge, MA, pp. 297-346.
42. Schmitt-Grohé S. The international transmission of economic fluctuations: effects of U.S. business cycles on the Canadian economy. Journal of International Economics. 44:1998;257-287.
43. Stern, R., Francis, J., Schumacher, B., 1976. Price Elasticities in International Trade. MacMillan, London.
44. Thorbecke W. On stock market returns and monetary policy. Journal of Finance. 52:1997;635-654.
45. Turnovsky S. Monetary and fiscal policy under perfect foresight: a symmetric two-country analysis. Economica. 53:1990;139-157.
46. Yun T. Nominal price rigidity, money supply endogeneity, and business cycles. Journal of Monetary Economics. 37:1996;345-370.