G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16772
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
URLhttps://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.
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