Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach
Jorge Selaive ; Vicente Tuesta
Authors registered in the RePEc Author Service: Jorge Selaive () and
Vicente Tuesta ()
No 90, Econometric Society 2004 Latin American Meetings from Econometric Society
Empirical evidence against both risk-sharing across countries and the uncovered interest rate parity (UIP) condition have been extensively documented. This paper investigates the empirical implications of imperfectly integrated financial markets resulting from these two issues. Under this asset market structure both the risk-sharing condition and the UIP are affected by the Net Foreign Assets Position (NFA) of the country. First, we find strong evidence for OECD countries that the NFA contributes to explaining the lack of risk-sharing across countries. Similarly, in terms of the UIP, the NFA is able to capture a time-varying risk-premium for a small group of countries over short-term horizons
Keywords: Net Foreign Assets, Consumption Risk-Sharing; Uncovered Interest Rate Parity (search for similar items in EconPapers)
JEL-codes: F31 F32 (search for similar items in EconPapers)
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Working Paper: Net Foreign Assets And Imperfect Financial Integration: An Empirical Approach (2003)
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