The risk premium and long-run global imbalances

• 成果类型: Article
• 署名作者: Chien, YiLi; Naknoi, Kanda
• 署名单位: Federal Reserve System - USA; University of Connecticut
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2015.04.001
• 发表日期: 2015
• 页码: 299-315
• 关键词: global imbalances; current account; Risk premium; asset pricing; Limited participation

摘要

This study proposes that heterogeneous household portfolio choices within a country and across countries offer an explanation for global imbalances. We construct a stochastic growth multi-country model in which heterogeneous agents face the following restrictions on asset trade. First, the degree of US equity market participation is higher than that of the rest of the world. Second, a fraction of households in each country maintains a fixed share of equity in its portfolios. In our calibrated model, which matches the US net foreign asset position and the equity premium, the average US household loads up more aggregate risk than the average foreign household by investing in risky assets abroad and issuing risk-free assets. As a result, the US is compensated by a high risk premium and runs trade deficits even as a debtor country. The long-run average trade deficit in our model accounts for 50% of the observed US trade deficit. (C) 2015 Elsevier BV. All rights reserved.