Replication data for: BKK the EZ Way: International Long-Run Growth News and Capital Flows

Principal Investigator(s):  View help for Principal Investigator(s) Ric Colacito; Max Croce; Steven Ho; Philip Howard

Version:  View help for Version V1

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Project Citation: 

Colacito, Ric, Croce, Max, Ho, Steven, and Howard, Philip. Replication data for: BKK the EZ Way: International Long-Run Growth News and Capital Flows. Nashville, TN: American Economic Association [publisher], 2018. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113001V1

Project Description

Summary:  View help for Summary We study the response of international investment flows to short- and long-run growth news. Among developed G7 countries, positive long-run news for domestic productivity induces a net outflow of investments, in contrast to the effects of short-run growth shocks. We document that a standard Backus, Keho, and Kydland (1994) (BKK) model fails to reproduce this novel empirical evidence. We augment this model with Epstein and Zin (1989) preferences (EZ-BKK) and characterize the resulting recursive risk-sharing scheme. The response of international capital flows in the EZ-BKK model is consistent with the data.

Scope of Project

JEL Classification:  View help for JEL Classification
      F14 Empirical Studies of Trade
      F32 Current Account Adjustment; Short-term Capital Movements
      F43 Economic Growth of Open Economies
      G12 Asset Pricing; Trading Volume; Bond Interest Rates


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V1 [2019-10-12]

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