Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/9723
Full metadata record
DC FieldValueLanguage
dc.contributor.authorCaporale, GM-
dc.contributor.authorDonadelli, M-
dc.date.accessioned2015-01-13T14:52:02Z-
dc.date.available2015-01-13T14:52:02Z-
dc.date.issued2015-
dc.identifier.citationJournal of International Financial Markets, Institutions and Money, (29 December 2014)en_US
dc.identifier.issn1873-0612-
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S1042443114001553-
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/9723-
dc.description.abstractThe US-China data suggest that (i) the real exchange rate (RER) volatility puzzle (high RER volatility relative to consumption volatility), (ii) the Backus-Smith anomaly (negative correlation between the RER and consumption differentials), (iii) the consumption correlation puzzle (relatively low cross-country consumption correlation) became more severe in the aftermath of China's stock market liberalization. This indicates that international macro-anomalies do not show up exclusively among pairs of advanced economies. In an international endowment economy context, we show that the combination of recursive preferences and long-run risk allows for the simultaneous resolution of these anomalies. In contrast to standard macro models, this results holds even in the presence of full financial integration, segmented goods markets and non-negligible changes in parameter values.en_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectMacro-anomaliesen_US
dc.subjectFinancial autarkyen_US
dc.subjectComplete marketsen_US
dc.subjectLong-run innovationsen_US
dc.subjectHome biasen_US
dc.titleInternational capital markets structure, preferences and puzzles In a "US-China World"en_US
dc.typeArticleen_US
dc.identifier.doihttp://dx.doi.org/1016/j.intfin.2014.12.006-
dc.relation.isPartOfJournal of International Financial Markets, Institutions and Money-
dc.relation.isPartOfJournal of International Financial Markets, Institutions and Money-
dc.relation.isPartOfJournal of International Financial Markets, Institutions and Money-
pubs.organisational-data/Brunel-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance-
pubs.organisational-data/Brunel/Brunel Staff by College/Department/Division/College of Business, Arts and Social Sciences/Dept of Economics and Finance/Economics and Finance-
pubs.organisational-data/Brunel/University Research Centres and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies-
Appears in Collections:Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
Fulltext.pdfFile is embargoed until 29/12/2017672.4 kBAdobe PDFView/Open    Request a copy


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.