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1、FederalReserveBankofNewYorkStaffReportsFinancialIntegrationandtheWealthEffectofExchangeRateFluctuationsCédricTilleStaffReportno.226October2005Thispaperpresentspreliminaryfindingsandisbeingdistributedtoeconomistsandotherinterestedreaderssolelytostimulatediscussionandelicit
2、comments.TheviewsexpressedinthepaperarethoseoftheauthorandarenotnecessarilyreflectiveofviewsattheFederalReserveBankofNewYorkortheFederalReserveSystem.Anyerrorsoromissionsaretheresponsibilityoftheauthor.FinancialIntegrationandtheWealthEffectofExchangeRateFluctuationsCédric
3、TilleFederalReserveBankofNewYorkStaffReports,no.226October2005JELclassification:F31,F41,F42AbstractAgrowingbodyofresearchemphasizesthedirectimpactofexchangeratemovementsonthevalueofU.S.foreignassets.BecauseasubstantialamountofU.S.assetsaredenominatedinforeigncurrencies,ad
4、epreciationofthedollarleadstolargecapitalgains.First,wepresentadetaileddecompositionoftheU.S.balancesheet,whichexhibitssubstantialleverageintermsofcurrenciesandacrossassetcategories.TheUnitedStatesholds50percentofGDPinforeign-currencyassetsandislonginFDI(foreigndirectinve
5、stment)andequitypositionsandshortindebtandbankingpositions.Then,weincorporatethesefeaturesofinternationalfinancialintegrationinasimplegeneralequilibriummodelandanalyzehowtheyaffecttheinternationaltransmissionofmonetaryshocks.Wefindthatfinancialintegrationisacentralcompone
6、ntofthemodel,withthevaluationgainsfromanexchangeratedepreciationleadingtoawelfareeffectthatisatleastaslargeasthatstemmingfromnominalrigiditiesalonebutpossiblymuchlarger.Wecharacterizehowinterdependenceisaffectedbythecompositionoftheportfolioacrossassetcategoriesandhowstru
7、cturalfeaturesofthemodelinteractwithfinancialintegration.Keywords:foreignassets,valuationeffect,exchangerate,interdependenceTille:FederalReserveBankofNewYork(e-mail:cedric.tille@ny.frb.org).TheauthorthanksRobertoChang,Pierre-OlivierGourinchas,PhilipLane,MichaelMoore,Paolo
8、Pesenti,RichardPortes,HeleneRey,andFrancisWarnockforhelpfulfeedback.Theauthoralsothanksseminarau
