Portfolio and welfare consequences of debt market dominance

• 成果类型: Article
• 署名作者: Stepanchuk, Serhiy; Tsyrennikov, Viktor
• 署名单位: Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; International Monetary Fund
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2015.06.005
• 发表日期: 2015
• 页码: 89-101
• 关键词: International portfolio choice; Global imbalances; incomplete markets; Bond market

摘要

The ability to issue debt that pays in units of the domestic good leads a country to accumulate a large and negative net foreign asset position while maintaining a positive position in equity. This debt market advantage also helps to explain the weak relationship between the real exchange rate and relative consumption. Our stylized model matches the key facts about the U.S. international portfolio, the U.S. real exchange rate, and explains nearly 50% of the observed variation in the valuation effects. We find that taxing bond market transactions increases the volatility of the exchange rate, capital flows and allocations. In contrast, taxing equity positions stabilizes the exchange rate and capital flows while having little impact on the allocation. Lastly, the paper describes a global solution method for portfolio problems under incomplete markets. (C) 2015 Elsevier B.V. All rights reserved.