000			02585cam a22003497 4500
001			w21445
003			NBER
005			20211020105531.0
006			m o d
007			cr cnu||||||||
008			210910s2015 mau fo 000 0 eng d
100	1		_aHassan, Tarek Alexander.
245	1	0	_aNot so Disconnected: _bExchange Rates and the Capital Stock / _cTarek Alexander Hassan, Thomas Mertens, Tony Zhang.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2015.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w21445
500			_aAugust 2015.
520	3		_aWe investigate the link between stochastic properties of exchange rates and differences in capital-output ratios across industrialized countries. To this end, we endogenize capital accumulation within a standard model of exchange rate determination with nontraded goods. The model predicts that currencies of countries that are more systemic for the world economy (countries that face particularly volatile shocks or account for a large share of world GDP) appreciate when the price of traded goods in word markets is high. These currencies are better hedges against consumption risk faced by international investors because they appreciate in "bad" states of the world. As a consequence, more systemic countries face a lower cost of capital and accumulate more capital per worker. We estimate our model using data from seven industrialized countries with freely floating exchange rate regimes between 1984-2010 and show that cross-country variation in the stochastic properties of exchange rates accounts for 72% of the cross-country variation in capital-output ratios. In this sense, the stochastic properties of exchange rates map to fundamentals in the way predicted by the model.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aF3 - International Finance _2Journal of Economic Literature class.
690		7	_aG0 - General _2Journal of Economic Literature class.
700	1		_aMertens, Thomas.
700	1		_aZhang, Tony.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w21445.
856	4	0	_uhttps://www.nber.org/papers/w21445
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w21445
942			_2ddc _cW-PAPER
999			_c326677 _d285239