International capital flows

• 成果类型: Article
• 署名作者: Tille, Cedric; van Wincoop, Eric
• 署名单位: 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.2009.11.003
• 发表日期: 2010
• 页码: 157-175
• 关键词: International Capital Flows; Portfolio allocation; HOME BIAS

摘要

The surge in international asset trade since the early 1990s has lead to renewed interest in models with international portfolio choice We develop the implications of portfolio choice for both gross and net international capital flows in the context of a simple two-country dynamic stochastic general equilibrium (DSGE) model. We focus on the time-variation in portfolio allocation following shocks, and resulting capital flows Endogenous time-variation in expected returns and risk, which are the key determinants of portfolio choice, affect capital flows in often subtle ways The model is consistent with a broad range of empirical evidence An additional contribution of the paper is to overcome the technical difficulty of solving DSGE models with portfolio choice by developing a broadly applicable solution method (C) 2009 Elsevier B.V All rights reserved