International capital flows under dispersed information : theory and evidence / Cédric Tille, Eric van Wincoop.
Material type:
TextSeries: Working paper series (National Bureau of Economic Research) ; no. 14390.Publication details: Cambridge, Mass. : National Bureau of Economic Research, 2008Description: 51, 2, [5] p. : ill. ; 22 cmSubject(s): Capital movements -- Econometric modelsLOC classification: HB1 | .N38 no. 14390Online resources: Click here to access online Summary: We develop a new theory of international capital flows based on dispersed information across individual investors. There is extensive evidence of information heterogeneity within and across countries, which has proven critical to understanding asset price behavior. We introduce information dispersion into an open economy dynamic general equilibrium portfolio choice model, and emphasize two implications for capital flows that are specific to the presence of dispersed information. First, gross and net capital flows become partially disconnected from publicly observed fundamentals. Second, capital flows (particularly gross flows) contain information about future fundamentals, even after controlling for current fundamentals. We find that these implications are quantitatively significant and consistent with data for industrialized countries.
| Item type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode |
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University of Macedonia Library Βιβλιοστάσιο Β (Stack Room B) | Research Papers | HB1.N38 no. 14390 (Browse shelf (Opens below)) | 1 | Available | 0013115745 |
Includes bibliographical references (p. 49-51).
We develop a new theory of international capital flows based on dispersed information across individual investors. There is extensive evidence of information heterogeneity within and across countries, which has proven critical to understanding asset price behavior. We introduce information dispersion into an open economy dynamic general equilibrium portfolio choice model, and emphasize two implications for capital flows that are specific to the presence of dispersed information. First, gross and net capital flows become partially disconnected from publicly observed fundamentals. Second, capital flows (particularly gross flows) contain information about future fundamentals, even after controlling for current fundamentals. We find that these implications are quantitatively significant and consistent with data for industrialized countries.
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