| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6507 |
| DP6507 The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Energy Price Shocks | |
| Lutz Kilian; Paul Edelstein | |
| 发表日期 | 2007-10-05 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | This paper explains three key stylized facts observed in industrialized countries: 1) portfolio holdings are biased towards local equity; 2) international portfolios are long in foreign currency assets and short in domestic currency; 3) the depreciation of a country?s exchange rate is associated with a net external capital gain, i.e. with a positive wealth transfer from the rest of the world. We present a two-country, two-good model with trade in stocks and bonds, and three types of disturbances: shocks to endowments, to the relative demand for home vs. foreign goods, and to the distribution of income between labour and capital. With these shocks, optimal international portfolios are shown to be consistent with the stylized facts. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Equity home bias International portfolios international risk sharing Valuation effects |
| URL | https://cepr.org/publications/dp6507 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535345 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Paul Edelstein. DP6507 The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Energy Price Shocks. 2007. |
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