International Portfolios with Supply, Demand and Redistributive Shocks
Robert Kollmann () and
Philippe Martin ()
No 13424, NBER Working Papers from National Bureau of Economic Research, Inc
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 labor and capital. With these shocks, optimal international portfolios are shown to be consistent with the stylized facts.
JEL-codes: F30 F41 G11 (search for similar items in EconPapers)
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Published as International Portfolios with Supply, Demand and Redistributive Shocks , Nicolas Coeurdacier, Robert Kollmann, Philippe Martin. in NBER International Seminar on Macroeconomics 2007 , Clarida and Giavazzi. 2008
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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)
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