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23 octobre 2023
- handle: 10670/1.o36mpd
- hal: hal-04525007
- doi: 10.1016/j.euroecorev.2023.104623
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.euroecorev.2023.104623
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Mots-clés
Financial Accelerator Uncertainty Shocks Portfolio frictions E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary Policy E - Macroeconomics and Monetary Economics/E.E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook/E.E6.E62 - Fiscal PolicySujets proches
Scrip Investment securities Securities law Capitalization (Finance) Blue sky laws Securities--Law and legislation Portfolio Underwriting Investing Investment management PortfolioCiter ce document
Aurélien Eyquem et al., « On Portfolio Frictions, Asset Returns and Volatility * », HAL-SHS : économie et finance, ID : 10.1016/j.euroecorev.2023.104623
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Résumé
We rationalize the observed short-run differences in corporate and long-term government bond yields in an financial-accelerator model with frictions that restrict changes in portfolio shares. We estimate the model on quarterly data for the Euro Area from 1999 to 2019, and show that the portfolio friction parameter is positive and significant. Portfolio frictions not only generate a time-varying wedge between the two returns that fits the data, but also raisethe volatility of return differentials, and the precautionary motive of savers. As a result, the macroeconomic effects of uncertainty shocks are amplified by portfolio frictions.