International Portfolios with Supply, Demand and Redistributive Shocks
Robert Kollmann () and
Philippe Martin ()
No 6482, CEPR Discussion Papers from C.E.P.R. Discussion Papers
This paper explains three key stylized facts observed in industrialized countries: 1) portfolio holdings are biased towards local equity; 2) international portfolios are long in foreign currency assets and short in domestic currency; 3) the depreciation of a country‘s exchange rate is associated with a net external capital gain, i.e. with a positive wealth transfer from the rest of the world. We present a two-country, two-good model with trade in stocks and bonds, and three types of disturbances: shocks to endowments, to the relative demand for home vs. foreign goods, and to the distribution of income between labour and capital. With these shocks, optimal international portfolios are shown to be consistent with the stylized facts.
Keywords: Equity home bias; International portfolios; International risk sharing; Valuation effects (search for similar items in EconPapers)
JEL-codes: F30 F41 G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (43) Track citations by RSS feed
Downloads: (external link)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at firstname.lastname@example.org
Chapter: International Portfolios with Supply, Demand and Redistributive Shocks (2009)
Working Paper: International portfolios with supply, demand and redistributive shocks (2009)
Working Paper: International Portfolios with Supply, Demand, and Redistributive Shocks (2008)
Working Paper: International portfolios with supply, demand and redistributive shocks (2007)
Working Paper: International Portfolios with Supply, Demand and Redistributive Shocks (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:6482
Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=6482
Access Statistics for this paper
More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ..
Series data maintained by (). This e-mail address is bad, please contact .