| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11983 |
| DP11983 Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns | |
| Philippe Bacchetta; Eric van Wincoop | |
| 发表日期 | 2017-04-22 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Modern open economy macro models assume the continuous adjustment of international portfolio allocation. We introduce gradual portfolio adjustment into a global equity market model. Our approach differs from related literature in two key dimensions. First, the time interval between portfolio decisions is stochastic rather than fixed, leading to a smoother response to shocks. Second, rather than only considering asset returns, we also use data on portfolio shares to confront the model to the data. Conditional on reasonable risk aversion, we find that the data is consistent with infrequent portfolio decisions, with a frequency of at most once in 15 months on average. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Gradual portfolio adjustment International portfolio allocation Predictable excess returns |
| URL | https://cepr.org/publications/dp11983 |
| 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/540795 |
| 推荐引用方式 GB/T 7714 | Philippe Bacchetta,Eric van Wincoop. DP11983 Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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