Can sticky portfolios explain international capital flows and asset prices?

• 成果类型: Article; Proceedings Paper
• 署名作者: Bacchetta, Philippe; Davenport, Margaret; van Wincoop, Eric
• 署名单位: Swiss Finance Institute (SFI); University of Lausanne; University of Lausanne; University of Virginia; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2022.103583
• 发表日期: 2022
• 关键词: Internationalcapitalflows; Portfoliofrictions; Gradualportfolioadjustment; Priceimpact; Excessreturnmomentum

摘要

Recently portfolio choice has become an important element of many DSGE open economy models. Yet, a substantial body of evidence is inconsistent with standard frictionless portfolio choice models. In this paper we introduce a quadratic cost of changes in portfolio allocation into a two -country DSGE model. We investigate the level of portfolio frictions most consistent with the data and the impact of portfolio frictions on asset prices and net capital flows. We find the portfolio fric-tion accounts for (i) micro evidence of portfolio inertia by households, (ii) macro evidence of the price impact of financial shocks and related disconnect of asset prices from fundamentals, (iii) a broad set of moments related to the time series behavior of saving, investment and net capital flows, and (iv) other phenomena relating to excess return dynamics. Financial and saving shocks each account for close to half of the variance of net capital flows. (c) 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).