全球智库信息集成服务系统(G2TT): DP16772 Can Sticky Portfolios Explain International Capital Flows and Asset Prices?

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP16772
	DP16772 Can Sticky Portfolios Explain International Capital Flows and Asset Prices?
	Philippe Bacchetta; Margaret Davenport; Eric van Wincoop
发表日期	2021-12-04
出版年	2021
语种	英语
摘要	Recently portfolio choice has become an important element of many DSGE open economy models. Yet, a substantial body of evidence is inconsistent with standard frictionless portfolio choice models. In this paper we introduce a quadratic cost of changes in portfolio allocation into a two-country DSGE model. We investigate the level of portfolio frictions most consistent with the data and the impact of portfolio frictions on asset prices and net capital flows. We find the portfolio friction accounts for (i) micro evidence of portfolio inertia by households, (ii) macro evidence of the price impact of financial shocks and related disconnect of asset prices from fundamentals, (iii) a broad set of moments related to the time series behavior of saving, investment and net capital flows, and (iv) other phenomena relating to excess return dynamics. Financial and saving shocks each account for close to half of the variance of net capital flows.
主题	International Macroeconomics and Finance
URL	https://cepr.org/publications/dp16772-0
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/545707
推荐引用方式 GB/T 7714	Philippe Bacchetta,Margaret Davenport,Eric van Wincoop. DP16772 Can Sticky Portfolios Explain International Capital Flows and Asset Prices?. 2021.