International portfolio flows with growth shocks

Eylem Ersal-Kiziler
Authors registered in the RePEc Author Service: Eylem Ersal-Kiziler

Economics Letters, 2016, vol. 141, issue C, 84-86

Abstract: This paper investigates the impacts of level and growth rate productivity shocks on the cyclical dynamics of gross portfolio flows between two economies using an endogenous portfolio choice problem within a DSGE framework. We find that the level shocks yield procyclical gross equity flows, while the growth rate shocks produce countercyclical flows. These dynamics cannot be replicated by only employing persistent shocks to the level of productivity.

Keywords: Capital flows; Productivity; Portfolio choice; Growth shocks; DSGE models (search for similar items in EconPapers)
JEL-codes: F2 F3 G1 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:141:y:2016:i:c:p:84-86

DOI: 10.1016/j.econlet.2016.02.008

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