TY  - JOUR
AU  - Branson,William H.
AU  - Jaffee,Dwight M.
TI  - The Globalization of Information and Capital Mobility
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3496
PY  - 1992
Y2  - February 1992
UR  - http://www.nber.org/papers/w3496
L1  - http://www.nber.org/papers/w3496.pdf
N1  - Author contact info:
William H. Branson
Economics Department
341 Wallace Hall
Princeton University
Princeton, NJ  08544-1013
Tel: 609/258-6918
Fax: 609/258-6419
E-Mail: N/A user is deceased

Dwight Jaffee
Haas School of Business
University of California
Berkeley, CA  94720-1900
Tel: 510/642-1273
Fax: 510/643-7441
E-Mail: jaffee@haas.berkeley.edu
AB  - This paper provides a framework for analyzing the effects of symmetric and asymmetric changes in information about risk on equilibrium real interest rate spreads across countries. Following the literature on parameter uncertainty, improvements in information are modeled as reductions in estimated variances. The equilibrium interest differential is determined in a two country setting. The effects of changes in information on the differential are shown in cases where (a) all investors have the same information, (b) home investors have superior information about home assets, and (c) all investors experience an improvement in information about one asset. An improvement in information on European assets in "Europe 1992" will raise the interest differential on U.S. assets relative to European as investors shift toward European assets.
ER  -