A MODEL OF GROSS CAPITAL FLOWS: RISK SHARING AND FINANCIAL FRICTIONS

• 成果类型: Article
• 署名作者: Lee, Hyunju
• 署名单位: University of Houston System; University of Houston; University of Houston System; University of Houston
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12707
• 发表日期: 2024
• 页码: 1941-1984
• 关键词: trade; integration; portfolio; MARKETS

摘要

This article builds a two-country model of gross capital flows where agents share tradable output risk using two bonds, subject to stochastic collateral constraints. Equilibrium portfolios are short in domestic bonds and long in foreign bonds because the endogenous movements of the real exchange rate provide a hedge against domestic output shocks. Under negative domestic shocks, these external positions transfer wealth from home to abroad. During the Great Recession, the model shows that such wealth transfer from the United States mitigated the consumption drop abroad. Quantitatively, financial frictions account for about half of the collapse in U.S. gross flows in 2008.