International portfolios with supply, demand and redistributive shocks by Nicolas Coeurdacier

Cover of: International portfolios with supply, demand and redistributive shocks | Nicolas Coeurdacier

Published by National Bureau of Economic Research in Cambridge, Mass .

Written in English

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Subjects:

  • Portfolio management -- Developed countries -- Mathematical models

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This paper explains three key stylized facts observed in industrialized countries: 1) portfolio holdings are biased towards local equity; 2) international portfolios are long in foreign currency assets and short in domestic currency; 3) the depreciation of a country"s exchange rate is associated with a net external capital gain, i.e. with a positive wealth transfer from the rest of the world. We present a two-country, two-good model with trade in stocks and bonds, and three types of disturbances: shocks to endowments, to the relative demand for home vs. foreign goods, and to the distribution of income between labor and capital. With these shocks, optimal international portfolios are shown to be consistent with the stylized facts.

Edition Notes

Book details

StatementNicolas Coeurdacier, Robert Kollmann, Philippe Martin.
SeriesNBER working paper series -- no. 13424., Working paper series (National Bureau of Economic Research) -- working paper no. 13424.
ContributionsKollmann, Robert Miguel W. K., 1963-, Martin, Philippe J., National Bureau of Economic Research.
The Physical Object
Pagination34 p. ;
Number of Pages34
ID Numbers
Open LibraryOL17635383M
OCLC/WorldCa174557301

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International Portfolios with Supply, Demand and Redistributive Shocks Nicolas Coeurdacier, Robert Kollmann, and Philippe Martin NBER Working Paper No. September JEL No. F30,F41,G11 ABSTRACT This paper explains three key stylized facts observed in industrialized countries: 1) portfolio holdings.

International Portfolios with Supply, Demand, and Redistributive Shocks ences that set our paper apart from the existing theoretical literature on the role of labor income in international portfolio choice.

First, as al-ready mentioned, we allow for two differentiated (tradable) goods and. Published: International Portfolios with Supply, Demand and Redistributive Shocks, Nicolas Coeurdacier, Robert Kollmann, Philippe Martin.

in NBER International Seminar on MacroeconomicsClarida and Giavazzi. Users who downloaded this paper also downloaded* these. International Portfolios with supply, demand and redistributive shocks Nicolas Coeurdacier ESSEC Business School Robert Kollmann ECARES, Université Libre de Bruxelles, Université Paris 12 and CEPR Phillippe Martin Université Paris 1 Panthéon Sorbonne, Paris School of Economics, and CEPR.

International Portfolios with Supply, Demand and Redistributive Shocks Nicolas Coeurdacier, Robert Kollmann, Philippe Martin Discussion by Fabio Ghironi NBER International Seminar on Macroeconomics Istanbul, June  With these shocks, optimal international portfolios are shown to be consistent with the stylized facts.

Suggested Citation: Suggested Citation Coeurdacier, Nicolas and Kollmann, Robert and Martin, Philippe, International Portfolios with Supply, Demand and Redistributive Shocks (September ). International Portfolios with Supply, Demand and Redistributive Shocks Nicolas Coeurdacier, Robert Kollmann, Philippe Martin.

Chapter in NBER book NBER International Seminar on Macroeconomics (), Richard Clarida and Francesco Giavazzi, organizers (p. - ) Conference held JuneCited by: "International Portfolios with Supply, Demand and Redistributive Shocks," CEPR Discussion PapersC.E.P.R.

Discussion Papers. Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, "International portfolios with supply, demand and redistributive shocks. Download PDF: Sorry, we are unable to provide the full text but you may find it at the following location(s): (external link).

International portfolios with supply, demand and. Request PDF | International Portfolios with Supply, Demand and Redistributive Shocks | This paper explains three key stylized facts observed in industrialized countries: 1) portfolio holdings are.

Comment on "International Portfolios with Supply, Demand and Redistributive Shocks" Refet S. Gürkaynak. Chapter in NBER book NBER International Seminar on Macroeconomics (), Richard Clarida and Francesco Giavazzi, organizers (p. - ) Conference held JunePublished in January by University of Chicago PressAuthor: Refet S Gürkaynak.

Get this from a library. International portfolios with supply, demand and redistributive shocks. [Nicolas Coeurdacier; Robert Kollmann; Philippe J Martin; National Bureau of Economic Research.] -- This paper explains three key stylized facts observed in industrialized countries: 1) portfolio holdings are biased towards local equity; 2) international portfolios are long in foreign currency.

International Portfolios with Supply, Demand and Redistributive Shocks September - Working Paper Author(s): Nicolas Coeurdacier, Robert Kollmann & Philippe Martin. Refet S. Gürkaynak, "Comment on "International Portfolios with Supply, Demand and Redistributive Shocks"," NBER Chapters, in: NBER International Seminar on MacroeconomicspagesNational Bureau of Economic Research, Inc.

Handle: RePEc:nbr:nberch We present a two-country, two-good model with trade in stocks and bonds, and three types of disturbances: shocks to endowments, to the relative demand for home vs. foreign goods, and to the distribution of income between labor and capital.

With these shocks, optimal international portfolios are shown to be consistent with the stylized facts. BibTeX @MISC{Clarida_internationalportfolios, author = {Richard Clarida and Francesco Giavazzi and Nicolas Coeurdaciei and London Business School and Robert Kollmann and Universite Libre De Bruxelles}, title = {International Portfolios with Supply, Demand, and Redistributive Shocks}, year = {}}.

NK model is then solved to provide estimates of identi ed supply, demand and monetary pol-icy shocks. Following the literature, we assume that the within country supply, demand and monetary policy shocks are orthogonal, though shocks of the same type (e.g.

supply shocks in. allow us to distinguish between demand and supply sources of output movement and investigate the effects of these two distinct shocks on real stock prices as well as the effect of portfolio shocks on output, unemployment and the stock market.

In order to assess the relative importance of the various sources of stock price fluctuations over. Comments on ‘International Portfolios with Supply, Demand and Redistributive Shocks,’ by Nicolas Coeurdacier, Robert Kollmann, and Philippe Martin Fabio Ghironi∗ Boston College, NBER, and EABCN Septem 1Introduction This is a very interesting paper.

It sets out to explain three stylized facts of international portfolios for. to investigate the effects of oil supply, aggregate demand, and other oil demand shocks on real GDP growth, inflation, and stock returns (see, e.g., Kilian b, Kilian and ParkGuntner a).

We contribute to the existing literature by¨ providing empirical evidence on the effects of oil supply and demand shocks on. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Research on international portfolio holdings and flows have been reenergized with the introduction of data on gross portfolio holdings and analytical methods to solve for financial holdings in models with incomplete markets.

This paper adds to that literature by addressing two of the most interesting stylized facts. Discussion of ‘International Portfolios with Supply, Demand and Redistributive Shocks,’ by Nicolas Coeurdacier, Robert Kollmann, and Philippe Martin, NBER International Seminar on Macroeconomics, Istanbul, JuneInternational Portfolios with Supply, Demand and Redistributive Shocks, with Nicolas Coeurdacier (London Business School) and Philippe Martin (Sciences Po, Paris), NBER International Seminar on Macroeconomicspp.

(University of Chicago Press). International portfolios, capital accumulation and foreign assets dynamics by Nicolas Coeurdacier & Robert Kollmann & Philippe Martin; Public support to clusters.

A firm level study of french 'local productive systems' by Philippe Martin & Thierry Mayer & Florian Mayneris; International Portfolios with Supply, Demand, and Redistributive Shocks. “International Portfolios with Supply, Demand and Redistributive Shocks” (ISOM ) Refet S.

Gürkaynak Bilkent University and CEPR Department of Economics Bilkent Ankara [email protected] 22 September of shocks through the price mechanism, and in particular the transmission of international shocks such as exchange rate movements across borders.1 A long-standing classical question in international macroeconomics, dating back at least toDornbusch() andKrugman(), is how international shocks a˛ect domestic prices.

The results show that oil prices and GDP—which can be viewed mainly as demand-side shocks—have a stronger impact than market shocks (speculative volumes and financial crisis), and supply-side shocks in explaining food price volatility when they are significant.

This is because the marginal effect of oil price and GDP growth on food price. An international portfolio is a selection of stocks and other assets that focuses on foreign markets rather than domestic ones. If well designed, an international portfolio gives the investor.

Demand and supply sources of output movement are distinguished and the effects of shocks on stock prices are analysed. The real economy has a more pronounced effect on the stock market than vice versa and the influence from the real economy to the stock market is less important than shocks that are peculiar to the market itself.

Supply and Demand: Selected full-text books and articles The Power of Supply and Demand: Thinking Tools and Case Studies for Students and Professionals By Lawrence W.C.

Lai; Ben T. Yu Hong Kong University Press,   This note studies a parsimonious dynamic stochastic general equilibrium model driven by demand shocks to explain two central puzzles in open-economy macroeconomics: the comovement puzzle (Backus et al., ) and the Backus–Smith puzzle (Backus and Smith, ), while matching a large set of domestic and international business cycle properties observed in the industrialized.

The papers in the volume discuss interest-setting and central bank transparency; expectations, monetary policy, and traded good prices; public investment and the golden rule; the role of institutions, confidence, and trust in financial integration within EU countries; international portfolios with supply, demand, and redistributive shocks Format: Hardcover.

In order to quantify the redistributive effects of inflation, I proceed as follows. First, I set the values of the preference parameters (η, β, b, A) equal to the values calibrated for the representative-agentI fix the average trading friction to the value σ from the representative-agent model and then consider mean preserving spreads such that ρ σ H + (1 − ρ) σ L = σ.

price, supply and demand. The supply and demand curves which are used in most economics textbooks show the dependence of supply and demand on price, but do not provide adequate information on how equilibrium is reached, or the time scale involved.

Classical economics has been unable to simplify the explanation of the dynamics involved. A demand shock is a sudden change of the pattern of private expenditure, especially of consumption spending by consumers or of investment spending by businesses.

A monetary policy shock occurs when a central bank changes, without sufficient advance warning, its pattern of interest rate or money supply control.

A fiscal policy shock is an unexpected change of government spending or taxation. The demand shock we have analysed here is quite similar to the example of an increase in demand for books shown in Figure from the text, reproduced as Figure 1 below. The supply and demand functions for books are linear, and the diagram shows that if the number of books increases at each price, the demand curve shifts to the right and the.

Downloadable. This paper investigates how the University of Michigan's Index of Consumer Sentiment responds to oil price shocks. While oil supply shocks play only a limited role, the effect of aggregate demand shocks is positive for the first few months and negative thereafter.

A typical other oil demand shock has a significant negative impact for up to 2 years. Oil supply and demand shocks affect household disposable income available for other expenditures through gasoline and energy prices (see, e.g., Edelstein and KilianBaumeister and KilianBaumeister, Kilian, and Zhou ).

Yet much of the existing literature focuses on the effect of oil price shocks on real GDP, inflation, or stock. The supply or demand area now becomes the "price cap". The FTR CS is the CS with the shadow that is the closest to the supply or demand zone but has not penetrated it.

Confirmation of a valid FTR is that, the down trending price breaks the initial supply or demand area and forms a new supply or demand zone (zone 1 in the diagram). Demand for consumption of home good in the rest of the world, C H, t ∗, is a decreasing function of the terms of trade: (21) C H, t ∗ = x t − θ ∗ D where θ ∗ is the elasticity of demand of residents of the rest of the world, and D is a demand shifter that captures the magnitude of .P9.

The U.S. dollar exchange rate increased from $ Canadian in June to $ Canadian in Juneand it decreased from 81 Japanese yenJapanese yen in June to Japanese yen in.

During periods of turmoil such as the Covid pandemic, firms with more resilient business models tend to survive and expand more than others. This column presents evidence that firms with higher global connectedness and market power are more resilient to domestic pandemic shocks. While global production and export networks expose firms to foreign pandemic shocks, they.

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