The Globalization of Information and Capital Mobility

William Branson and Dwight M. Jaffee

No 3496, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper provides a framework for analyzing the effects of symmetric and asymmetric changes in information about risk on equilibrium real interest rate spreads across countries. Following the literature on parameter uncertainty, improvements in information are modeled as reductions in estimated variances. The equilibrium interest differential is determined in a two country setting. The effects of changes in information on the differential are shown in cases where (a) all investors have the same information, (b) home investors have superior information about home assets, and (c) all investors experience an improvement in information about one asset. An improvement in information on European assets in "Europe 1992" will raise the interest differential on U.S. assets relative to European as investors shift toward European assets.

Date: 1990-10
Note: ITI IFM
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published as Accounting and Financial Globalization, edited by Joshua Ronen and Joshua Livnat, pp. 33-62. Westport, CT: Quorum Books, 1991.

Downloads: (external link)
http://www.nber.org/papers/w3496.pdf (application/pdf)

Related works:
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:nbr:nberwo:3496

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w3496

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().