International portfolios, capital accumulation and foreign assets dynamics

Journal of International Economics

Volumn 80, Issue 1, 2010, Pages 100-112

  Coeurdacier, Nicolas ^a,e   Kollmann, Robert ^b,c,e   Martin, Philippe ^d,e  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^c UNIVERSITÉ PARIS EST CRÉTEIL   (France)

^d SCIENCES PO   (France)

^e CEPR   (United Kingdom)

Author keywords

Capital accumulation; Capital flows; Current account; International equity and bond portfolios; Terms of trade; Valuation effects

Indexed keywords

CAPITAL FLOW; INCENTIVE; INTERNATIONAL TRADE; LIBERALIZATION; MODELING; OECD; TERMS OF TRADE; TRANSACTION COST; VALUATION;

EID: 72149095710     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jinteco.2009.05.006     Document Type: Article

References (78)

1. Acemoglu D., and Ventura J. The world income distribution. Quarterly Journal of Economics 117 (2002) 659-694
2. Adler M., and Dumas B. International portfolio choice and corporation finance: a synthesis. Journal of Finance 38 (1983) 925-984
3. Backus D., and Smith G.W. Consumption and real exchange rates in dynamic economies with non-traded goods. Journal of International Economics 35 (1993) 297-316
4. Backus D., Kehoe P., and Kydland F. Dynamics of the trade balance and the terms of trade: the J-curve?. American Economic Review 84 (1994) 84-103
5. Baxter M., and Jermann U. The international portfolio diversification is worse than you think. American Economic Review 87 (1997) 170-180
6. Bottazzi L., Pesenti P., and van Wincoop E. Wages, profits and the international portfolio puzzle. European Economic Review 40 (1996) 219-254
7. Cantor R., and Mark N. The international transmission of real business cycles. International Economic Review 29 (1988) 493-507
8. Castello M. A new open economy macroeconomic model with endogenous portfolio diversification and firm entry. Working Paper, European University Institute (2007)
9. Coeurdacier N. Do trade costs in goods markets lead to home bias in equities?. Journal of International Economics 77 (2009) 86-100
10. Coeurdacier N., and Guibaud S. A dynamic equilibrium model of imperfectly integrated financial markets. Working Paper, London Business School (2008)
11. Coeurdacier N., and Gourinchas P.-O. When Bonds Matter: Home Bias in Goods and Assets. Working Paper, University of California, Berkeley (2009)
12. Coeurdacier N., Kollmann R., and Martin P. International portfolios with supply, demand and redistributive shocks. NBER International Seminar on Macroeconomics 2007 (2007) 231-263
13. Cole H., and Obstfeld M. Commodity trade and international risk sharing: how much do financial markets matter?. Journal of Monetary Economics 28 (1991) 3-24
14. Collard F., Dellas H., Diba B., and Stockman A. Home bias in goods and assets. Mimeo, Working Paper, IDEI-University of Toulouse (2007)
15. Corsetti G., Dedola L., and Leduc S. International risk-sharing and the transmission of productivity shocks. Review of Economic Studies 75 (2007) 443-473
16. Devereux M., and Saito M. A portfolio theory of international capital flows. Working Paper, University of British Columbia (2005)
17. Devereux M., and Sutherland A. Solving for country portfolios in open economy macro models. Working Paper, University of British Columbia and St. Andrews University (2006)
18. Devereux M., and Sutherland A. Country portfolio dynamics. Working Paper, University of British Columbia and St. Andrews University (2006)
19. Engel C., and Matsumoto A. Portfolio Choice in a monetary open-economy DSGE model. Working Paper 12214, National Bureau of Economic Research (2006)
20. Evans M., and Hnatkovska V. International capital flows returns and world financial integration. Working Paper 11701, National Bureau of Economic Research (2005)
21. Evans M., and Hnatkovska V. Solving General equilibrium models with incomplete markets and many financial assets. Working Paper, Georgetown University (2007)
22. Faruqee H., and Lee J. Global dispersion of current accounts: is the universe expanding?. Working Paper, IMF (2007)
23. Fisher J. Technology shocks matter. Working Paper, Federal Reserve Bank of Chicago (2002)
24. Fisher J. The dynamic effects of neutral and investment-specific technology shocks. Journal of Political Economy 114 (2006) 413-452
25. French K., and Poterba J. Investor diversification and international equity markets. American Economic Review 81 (1991) 222-226
26. Ghironi F., Lee J., and Rebucci A. The valuation channel of external adjustment. NBER Working Paper No. 12937 (2007)
27. Gourinchas P.-O., and Rey H. International financial adjustment. Journal of Political Economy 115 (2007) 665-703
28. Greenwood J., Hercowitz Z., and Huffman G. Investment, capacity utilization and the real business cycle. American Economic Review 78 (1988) 402-417
29. Greenwood J., Hercowitz Z., and Krusell P. Long-run implications of investment-specific technological change. American Economic Review, American Economic Association 87 (1997) 342-362
30. Greenwood J., Hercowitz Z., and Krusell P. The role of investment-specific technological change in the business cycle. European Economic Review 44 (2000) 91-115
31. Hau H., and Rey H. Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows and Exchange Rates?. American Economic Review vol. 94 (2004), P&P 126-133
32. Heathcote J., and Perri F. Financial autarky and international business cycles. Journal of Monetary Economics 49 (2002) 601-627
33. Heathcote J., and Perri F. Financial globalization and real regionalization. Journal of Economic Theory 119 (2004) 207-243
34. Heathcote J., and Perri F. The international diversification is not as bad as you think. Working Paper 13483, National Bureau of Economic Research (2007)
35. Helpman E., and Razin A. A Theory of International Trade Under Uncertainty (1978), Academic Press, New York
36. Hnatkovska V. Home bias and high turnover: dynamic portfolio choice with incomplete markets. Working Paper, Georgetown University (2005)
37. Imbs J., and Méjean I. Elasticity optimism. Working Paper, University of Lausanne (2008)
38. Jaimovich, Nir, Rebelo Sergio, forthcoming. Can news about the future drive the business cycle?, forthcoming, American Economic Review.
39. Julliard C. International portfolio diversification is not worse than you think. Working Paper, Princeton University (2002)
40. Julliard C. Human capital and international portfolio choice. Working Paper, Princeton University (2004)
41. Justiniano A., and Primiceri G. The time varying volatility of macroeconomic fluctuations. Working Paper 12022, National Bureau of Economic Research (2006)
42. Justiniano A., Primiceri G., and Tambalotti A. Investment shocks and business cycles. Working Paper, Northwestern University (2007)
43. Kollmann, R., 1991. Essays on International Business Cycles, PhD Dissertation, Economics Department, University of Chicago.
44. Kollmann R. Consumption, real exchange rates and the structure of international asset markets. Journal of International Money and Finance 14 (1995) 191-211
45. Kollmann R. Incomplete asset markets and the cross-country consumption correlation puzzle. Journal of Economic Dynamics and Control 20 (1996) 945-962
46. Kollmann R. US trade balance dynamics: the role of fiscal policy and productivity shocks and of financial market linkages. Journal of International Money and Finance 17 (1998) 637-669
47. Kollmann R. A dynamic general equilibrium model of international portfolio holdings: comment. Econometrica 74 (2006) 269-273
48. Kollmann R. International portfolio equilibrium and the current account. Working Paper 5512, Centre for Economic Policy Research (2006)
49. Kollmann R. Comment on 'International prices and productivity: an empirical analysis of the transmission among OECD countries'. NBER International Seminar on Macroeconomics 2006 (2006) 186-194
50. Kraay A., Loayza N., Serven L., and Ventura J. Country portfolios. Journal of the European Economic Association 3 (2005) 914-945
51. Lane P., and Milesi-Feretti G.M. International financial integration. IMF Staff Papers 50 (2003) 82-113
52. Lane P., and Milesi-Ferretti G.M. A global perspective on external positions. IIIS Discussion Paper 79, Trinity College Dublin (2005)
53. Lane P., and Milesi-Ferretti G.M. The external wealth of nations mark II. IMF Working Paper 06-69 (2006)
54. Lane P., and Shambaugh J.C. Financial exchange rates and international currency exposures. NBER Working Papers 13433, National Bureau of Economic Research (2007)
55. Lane P., and Shambaugh J.C. The long and short of it: determinants of foreign currency exposure in external balance sheets. Working Paper, Dartmouth College (2008)
56. Lewis K. Explaining home bias in equities and consumption. Journal of Economic Literature 37 (1999) 571-608
57. Martin P., and Rey H. Financial super-markets: size matters for asset trade. Journal of International Economics 64 (2004) 335-361
58. Matsumoto A. The role of nonseparable utility and nontradeables in international business cycle and portfolio choice. Working Paper 7163, IMF (2007)
59. McElroy T. Exact formulas for the Hodrick-Prescott filter. Econometrics Journal 11 (2008) 209-217
60. Mendoza E. The terms of trade, the real exchange rate and economic fluctuations. International Economic Review 36 (1995) 101-137
61. Obstfeld M. International Risk Sharing and the Costs of Trade. Ohlin Lecture (2006), Stockholm School of Economics
62. Obstfeld M., and Rogoff K. Foundations of International Macroeconomics (1996), MIT Press, Cambridge, MA
63. Obstfeld M., and Rogoff K. New directions for stochastic open economy models. Journal of International Economics 50 (2000) 117-153
64. Palacios-Huerta I. The human capital of stockholders and the international diversification puzzle. Journal of International Economics 54 (2001) 309-331 (August)
65. Pavlova A., and Rigobon R. Asset prices and exchange rates. Review of Financial Studies 20 (2007) 1139-1181
66. Pavlova A., and Rigobon R. An asset-pricing view of external adjustment. Working Paper, London Business School (2007)
67. Raffo A. Technology shocks: novel implications for international business cycles. Working Paper, Federal Reserve Board (2008)
68. Sachs J. The current account and macroeconomic adjustment in the 1970s. Brookings Papers on Economic Activity 1981 (1981) 201-268
69. Sercu P., and Vanpée R. Home bias in international equity portfolios: a review. Working Paper, Leuven School of Business and Economics (2007)
70. Sims C. Second order accurate solution of discrete time dynamic equilibrium models. Working Paper, Princeton University (2000)
71. Siourounis G. Capital flows and exchange rates: an empirical analysis. Working Paper, London Business School (2004)
72. Tesar L., and Werner I. Home bias and high turnover. Journal of International Money and Finance 14 (1995) 467-492
73. Tille C. Financial integration and the wealth effect of exchange rate fluctuations. Staff Report 226 (2005), Federal Reserve Bank of New York
74. Tille C., and van Wincoop E. International capital flows. Working Paper 12856, National Bureau of Economic Research (2007)
75. Uppal R. A general equilibrium model of international portfolio choice. Journal of Finance 48 (1993) 529-553
76. Warnock F. Home bias and high turnover reconsidered. Journal of International Money and Finance 21 (2002) 795-805
77. Van Nieuwerburgh S., and Veldkamp L. information immobility and the home bias puzzle. Working Paper, New York University (2007)
78. van Wincoop E., and Warnock F. Is home bias in assets related to home bias in goods?. Working Paper 12728, National Bureau of Economic Research (2006)