TY  - JOUR
AU  - Coeurdacier, Nicolas
AU  - Kollmann, Robert
AU  - Martin, Philippe
TI  - International Portfolios with Supply, Demand and Redistributive Shocks
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13424
PY  - 2007
Y2  - September 2007
DO  - 10.3386/w13424
UR  - http://www.nber.org/papers/w13424
L1  - http://www.nber.org/papers/w13424.pdf
N1  - Author contact info:
Nicolas Coeurdacier
SciencesPo
Department of Economics
28 rue des Saint Pères 75006 Paris, France
France
E-Mail: ncoeurdacier@gmail.com

Robert Kollmann
ECARES, CP 114, 
Universite Libre de Bruxelles
50, Avenue Franklin D. Roosevelt
B-1050 Brussels
Belgium
E-Mail: robert_kollmann@yahoo.com

Philippe Martin
SciencesPo
28, rue des Saints-Peres
75007 Paris
E-Mail: philippe.martin@sciencespo.fr
M1  - published as Nicolas Coeurdacier, Robert Kollmann, Philippe Martin. "International Portfolios with Supply, Demand and Redistributive Shocks," in Richard Clarida and Francesco Giavazzi, organizers, "NBER International Seminar on Macroeconomics 2007" University of Chicago Press (2008)

M3  - presented at "ISOM", June 15-16, 2007
AB  - 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.
ER  -