Replication data for: BKK the EZ Way: International Long-Run Growth News and Capital Flows
Principal Investigator(s): View help for Principal Investigator(s) Ric Colacito; Max Croce; Steven Ho; Philip Howard
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| CCHH-Notes | 10/12/2019 02:31:AM | ||
| CCHH_Code-- | 10/12/2019 02:31:AM | ||
| Dynare--Manual | 10/12/2019 02:31:AM |
Project Description
Summary:
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We study the response of international investment flows to short- and long-run growth news. Among developed G7 countries, positive long-run news for domestic productivity induces a net outflow of investments, in contrast to the effects of short-run growth shocks. We document that a standard Backus, Keho, and Kydland (1994) (BKK) model fails to reproduce this novel empirical evidence. We augment this model with Epstein and Zin (1989) preferences (EZ-BKK) and characterize the resulting recursive risk-sharing scheme. The response of international capital flows in the EZ-BKK model is consistent with the data.
Scope of Project
JEL Classification:
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F14 Empirical Studies of Trade
F32 Current Account Adjustment; Short-term Capital Movements
F43 Economic Growth of Open Economies
G12 Asset Pricing; Trading Volume; Bond Interest Rates
F14 Empirical Studies of Trade
F32 Current Account Adjustment; Short-term Capital Movements
F43 Economic Growth of Open Economies
G12 Asset Pricing; Trading Volume; Bond Interest Rates
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