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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP17334 |
DP17334 International Capital Markets and Wealth Transfers | |
Magnus Dahlquist; Christian Heyerdahl-Larsen; Anna Pavlova; Julien Penasse | |
发表日期 | 2022-05-29 |
出版年 | 2022 |
语种 | 英语 |
摘要 | In periods of global stress, there are large movements in exchange rates and asset prices. Currencies of developed economies appreciate, with the US dollar appreciating the most. Global stock markets fall, but the US market falls by less. While the external balance sheet of the US is riskier and its net foreign assets fall, this effect is overturned by the dollar appreciation, resulting in a wealth transfer to the US. To rationalize these facts, we build a general equilibrium model with time-varying risk appetites that produces asymmetric portfolios. Richer countries have more appetite for risk, levering up their external portfolios by borrowing from poorer countries. Consequently, their net foreign assets fall in periods of stress, yet there is a wealth transfer from poor to rich countries due to currency appreciations. The model delivers time-varying currency risk premia, matches key asset pricing moments, and produces realistic external portfolios. |
主题 | Financial Economics ; International Macroeconomics and Finance |
关键词 | Currency risk premium Habit formation Net foreign assets Wealth transfers |
URL | https://cepr.org/publications/dp17334 |
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/546376 |
推荐引用方式 GB/T 7714 | Magnus Dahlquist,Christian Heyerdahl-Larsen,Anna Pavlova,et al. DP17334 International Capital Markets and Wealth Transfers. 2022. |
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