NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

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NBER Working Papers and Publications

January 2009International Portfolios with Supply, Demand and Redistributive Shocks
with Nicolas Coeurdacier, Philippe Martin
in NBER International Seminar on Macroeconomics 2007, Richard Clarida and Francesco Giavazzi, organizers
September 2007International Portfolios with Supply, Demand and Redistributive Shocks
with Nicolas Coeurdacier, Philippe Martin: w13424
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.

Published: 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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