International portfolios: A comparison of solution methods

• 成果类型: Article
• 署名作者: Rabitsch, Katrin; Stepanchuk, Serhiy; Tsyrennikov, Viktor
• 署名单位: Vienna University of Economics & Business; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.08.001
• 发表日期: 2015
• 页码: 404-422
• 关键词: country portfolios; solution methods; Portfolio allocation

摘要

We compare the performance of the perturbation-based (local) portfolio solution method of Devereux & Sutherland (2010a, 2011) with a global solution method. As a test suite we use model specifications that broadly capture features of international financial trade, between advanced economies, and between advanced and emerging economies. We consider both symmetric country setups and asymmetric setups, that capture important empirical facts such as differences in macroeconomic volatility, differences in portfolio composition, and high equity premia. We find that the local method performs well at business cycle frequencies, both in the symmetric and asymmetric settings, while significant differences arise at long horizons in asymmetric settings. (C) 2015 Elsevier B.V. All rights reserved.