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International portfolio flows with growth shocks

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  • Ersal-Kiziler, Eylem

Abstract

This paper investigates the impacts of level and growth rate productivity shocks on the cyclical dynamics of gross portfolio flows between two economies using an endogenous portfolio choice problem within a DSGE framework. We find that the level shocks yield procyclical gross equity flows, while the growth rate shocks produce countercyclical flows. These dynamics cannot be replicated by only employing persistent shocks to the level of productivity.

Suggested Citation

  • Ersal-Kiziler, Eylem, 2016. "International portfolio flows with growth shocks," Economics Letters, Elsevier, vol. 141(C), pages 84-86.
    • Handle: RePEc:eee:ecolet:v:141:y:2016:i:c:p:84-86
    DOI: 10.1016/j.econlet.2016.02.008
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    References listed on IDEAS

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    1. Schmitt-Grohe, Stephanie & Uribe, Martin, 2003. "Closing small open economy models," Journal of International Economics, Elsevier, vol. 61(1), pages 163-185, October.
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    7. Nguyen, Ha, 2011. "Valuation effects with transitory and trend productivity shocks," Journal of International Economics, Elsevier, vol. 85(2), pages 245-255.
    8. David Amdur & Eylem Ersal Kiziler, 2014. "Trend shocks and the countercyclical U.S. current account," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(2), pages 494-516, May.
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    More about this item

    Keywords

    Capital flows; Productivity; Portfolio choice; Growth shocks; DSGE models;
    All these keywords.

    JEL classification:

    • F2 - International Economics - - International Factor Movements and International Business
    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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