| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15777 |
| DP15777 Portfolio rebalancing in times of stress | |
| Andreas Fischer; Rafael P. Greminger; Christian Grisse; Sylvia Kaufmann | |
| 发表日期 | 2021-02-07 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | This paper investigates time variation in the dynamics of international portfolio equity flows. We extend the empirical model of Hau and Rey (2004) by embedding a Markov regime-switching model into the structural VAR. The model is estimated using monthly data from 1995 to 2018, on equity returns, exchange rate returns, and equity flows between the United States and advanced and emerging market economies. We find that the data favor a two-state model where coefficients and shock volatilities switch jointly. In the VAR for flows between the United States and emerging market economies, the estimated states match periods of low and high financial stress, both in terms of the timing of regime switching and in terms of their volatility characteristics. Our main result is that for equity flows between the United States and emerging markets rebalancing dynamics differ between episodes of high and low levels of financial stress. A switch from the low- to the high-stress regime is associated with capital outflows from emerging markets. Once in the high-stress regime, the response of capital flows to exchange rates and stock prices is smaller than in normal (low-stress) periods. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Portfolio rebalancing Equity flows Exchange rates Financial stress Structural var Sign restrictions Regime switching |
| URL | https://cepr.org/publications/dp15777 |
| 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/544778 |
| 推荐引用方式 GB/T 7714 | Andreas Fischer,Rafael P. Greminger,Christian Grisse,et al. DP15777 Portfolio rebalancing in times of stress. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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