| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP3291
|
| DP3291 Currency Attacks with Multiple Equilibria and Imperfect Information: The Role of Wage-setters |
| Gianluca Femminis
|
| 发表日期 | 2002-04-20
|
| 出版年 | 2002
|
| 语种 | 英语
|
| 摘要 | Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk .In this Paper, we evaluate whether systemic risk reduces substantially the gains from international diversification. First, in order to capture these stylized facts, we develop a model of international equity returns using a multivariate system of jump-diffusion processes where the arrival of jumps is simultaneous across assets. Second, we determine an investor ?s optimal portfolio for this model of returns. Third, we show how one can estimate the model using the method of moments. Finally, we illustrate our portfolio optimization and estimation procedure by analysing portfolio choice across a riskless asset, the US equity index, and five international indexes. Our main finding is that, while systemic risk affects the allocation of wealth between the riskless and risky assets, it has a small effect on the composition of the portfolio of only-risky assets, and reduces marginally the gains to a US investor from international diversification ? for an investor with a relative risk aversion of 3 and a horizon of one year, the certainty-equivalent cost of ignoring systemic risk is of the order $1 for every $1000 of initial investment. These results are robust to whether the international indexes are for developed or emerging countries, to constraints on borrowing and shortselling, and to reasonable deviations in the value of the parameters around their joint estimates; the cost increases with the investment horizon and decreases with risk aversion. |
| 主题 | Financial Economics
; International Macroeconomics
|
| 关键词 | Asset allocation
Contagion
Emerging markets
Skewness
Jump-diffusion processes
|
| URL | https://cepr.org/publications/dp3291
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532320
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推荐引用方式
GB/T 7714 |
Gianluca Femminis. DP3291 Currency Attacks with Multiple Equilibria and Imperfect Information: The Role of Wage-setters. 2002.
|
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