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15 juin 2007
- handle: 10670/1.ex0utk
- hal: hal-01053624
- SCIENCESPO: 2441/c8dmi8nm4pdjkuc9g7485ckbm
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Mots-clés
International risk sharing International portfolios Home equity bias Valuation e¤ects F - International Economics/F.F3 - International Finance/F.F3.F30 - General F - International Economics/F.F4 - Macroeconomic Aspects of International Trade and Finance/F.F4.F41 - Open Economy Macroeconomics G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment DecisionsSujets proches
Scrip Investment securities Securities law Capitalization (Finance) Blue sky laws Securities--Law and legislation Portfolio Underwriting Investing Investment management Portfolio Equity--Law and legislation ChanceryCiter ce document
Nicolas Coeurdacier et al., « International portfolios with supply, demand and redistributive shocks », HAL-SHS : économie et finance, ID : 10670/1.ex0utk
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Résumé
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.