Rabitsch, Katrin, Stepanchuk, Serhiy, Tsyrennikov, Viktor. 2015. International Portfolios: A Comparison of Solution Methods. Journal of International Economics 97, 404-422.
BibTeX
Abstract
We compare the performance of the perturbation-based (local) portfolio solution method of Devereux & Sutherland (2010a, 2011) with a global solution method. As a test suite we use model specifications that broadly capture features of international financial trade, between advanced economies, and between advanced and emerging economies. We consider both symmetric country setups and asymmetric setups, that capture important empirical facts such as differences in macroeconomic volatility, differences in portfolio composition, and high equity premia. We find that the local method performs well at business cycle frequencies, both in the symmetric and asymmetric settings, while significant differences arise at long horizons in asymmetric settings.
Tags
Press 'enter' for creating the tagPublication's profile
Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Journal of International Economics |
Citation Index | SSCI |
WU Journalrating 2009 | A |
WU-Journal-Rating new | FIN-A, VW-A, WH-A |
Language | English |
Title | International Portfolios: A Comparison of Solution Methods |
Volume | 97 |
Year | 2015 |
Page from | 404 |
Page to | 422 |
Reviewed? | Y |
URL | http://dx.doi.org/10.1016/j.jinteco.2015.08.001 |
DOI | http://dx.doi.org/10.1016/j.jinteco.2015.08.001 |
Associations
- Projects
- FinMaP: Financial Distortions and Macroeconomic Performance
- People
- Rabitsch-Schilcher, Katrin (Details)
- External
- Stepanchuk, Serhiy
- Tsyrennikov, Viktor
- Organization
- Department of Economics DP (Details)
- Department of Economics (Kubin) (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 5300 Economics (Details)