+44 (0)20 7000 8435     hrey@london.edu     London Business School, Regent's Park, London, NW1 4SA  
 |   |  Contact  |  Login

Published Papers

International Financial Adjustment**
Gourinchas, P.O., Rey, H.
Date Published: 2007
Gourinchas, Pierre-Olivier, and Helene Rey. "International Financial Adjustment." Journal of Political Economy, 115:4, pp. 665‐703, August 2007.

Abstract:
We explore the implications of a country’s external constraint for the dynamics of net foreign assets, returns and exchange rates. Deteriorations in external accounts imply future trade surpluses (trade channel) or excess returns on the net foreign portfolio (valuation channel). Using a new dataset on US gross external positions, we find that stabilizing valuation effects contribute 27% of the cyclical external adjustment. Our approach has asset pricing implications: external imbalances predict net foreign portfolio returns one-quarter to two-years ahead and net export growth at longer horizons. The exchange rate is forecastable in and out-of-sample at one quarter and beyond.
Citation:
Gourinchas, Pierre-Olivier, and Helene Rey. "International Financial Adjustment." Journal of Political Economy, 115:4, pp. 665‐703, August 2007.
Download BibTex citation

Search Google Scholar for this entry

**This material is based upon work supported by the National Science Foundation under Grant No. 0519217.



[Online Appendix: available here. Longer and more detailed working paper version available here] [Data: Gross positions and total nominal returns by asset class, flows, NXA are available here.] [Media coverage: Financial Times, Il Sole 24 Ore, Handelsblatt , Le Monde].

CEPR DP 4923, NBER WP 11155.

Copyright © 2007 The University of Chicago. All rights reserved.


London Business School
Regent's Park
London
NW1 4SA
hrey@london.edu
+44 (0)20 7000 8435
Copyright © 2024   Helene Rey
Website Design & Development for Schools By VisioSoft   |   T&C
User Guide   12  


Selct an hour and a minute and then click on Set Time

Selected Time:  _:_

Hours
Minutes
 
Set Time