Kian Ong (Nottingham) - The Sources and Persistent Effects of Shocks to Nations' Net Foreign Asset Stock

Date(s): Thursday 4th June 2015 (14:00-15:30)
Description: The speaker will be Kian Ong from the University of Nottingham with a presentation entitled "The Sources and Persistent Effects of Shocks to Nations’ Net Foreign Asset Stock”.

Abstract:
This paper characterises the time series properties of net foreign asset-to-GDP ratios in fifteen EU countries over the period 1970-2011. Using a multi-country restricted VAR model, we first establish that shocks to net foreign asset ratios persist over time. We then measure the size and the source of the permanent effects of the shocks. We find evidence that unanticipated changes in financial integration, resulting in the expansion of these economies’ international balance sheets, have a significant permanent effect on net foreign asset ratios, more than unanticipated business cycle fluctuations and unanticipated US dollar exchange rate fluctuations.

Centre for Finance, Credit and Macroeconomics

Sir Clive Granger Building
University of Nottingham
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Nottingham, NG7 2RD