G2TT
来源类型Discussion paper
规范类型论文
来源IDDP17334
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
URLhttps://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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