Explaining International Comovements of Output and Asset Returns: The Role of Money and Nominal Rigidities

Robert Kollman
Authors registered in the RePEc Author Service: Robert Kollmann ()

No 1999/084, IMF Working Papers from International Monetary Fund

Abstract: Empirically, output and asset returns are highly positively correlated across the United States and the other major industrialized countries. Standard business cycle models that assume flexible prices and wages, in the Real Business Cycle tradition, have great difficulties explaining this fact. This paper presents a dynamic-optimizing stochastic general equilibrium model of a two-country world with sticky nominal prices and wages and a flexible exchange rate. The structure here predicts positive international transmission of country-specific monetary policy and technology shocks, and it generates sizable cross-country correlations of output and of asset returns.

Keywords: WP; Cross-country correlation of output and asset returns; money; nominal rigidities; international transmission of business cycles; money supply shock; price level; money supply supply shock; nominal interest rate; money supply innovation; equity return; supply schedule; home money supply supply shock; Monetary base; Sticky prices; Supply shocks; Currencies; Exchange rates (search for similar items in EconPapers)
Pages: 50
Date: 1999-06-01
References: Add references at CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=3124 (application/pdf)

Related works:
Journal Article: Explaining international comovements of output and asset returns: The role of money and nominal rigidities (2001)
Working Paper: Explaining international comovements of output and asset returns: the role of money and nominal rigidities (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:1999/084

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().