TY  - JOUR
AU  - Coeurdacier,Nicolas
AU  - Kollmann,Robert
AU  - Martin,Philippe
TI  - International Portfolios with Supply, Demand and Redistributive Shocks
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13424
PY  - 2007
Y2  - September 2007
UR  - http://www.nber.org/papers/w13424
L1  - http://www.nber.org/papers/w13424.pdf
N1  - Author contact info:
Nicolas Coeurdacier
SciencesPo 
Department of Economics 
28 rue des Saint Pères 75006 Paris, France
E-Mail: ncoeurdacier@london.edu

Robert Kollmann
European Centre for Advanced Research in Economics
Université Libre de Bruxelles
50, Avenue Franklin D. Roosevelt
CP 114
B-1050 Brussels
Belgium
Tel: 32 478 318838
E-Mail: robert_kollmann@yahoo.com

Philippe Martin
Sciences Po
27, rue Saint-Guillaume
75007 Paris
France
E-Mail: philippe.martin@sciences-po.fr
M1  - published as Nicolas Coeurdacier, Robert Kollmann, Philippe Martin. "International Portfolios with Supply, Demand and Redistributive Shocks," in Richard Clarida and Francesco Giavazzi, organizers, "NBER International Seminar on Macroeconomics 2007" University of Chicago Press (2008)

M3  - presented at "ISOM", June 15-16, 2007
AB  - 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.
ER  -