Quotation Huber, Florian, Punzi, Maria Teresa. 2017. The shortage of safe assets in the US investment portfolio: Some international evidence. Journal of International Money and Finance 74, 318-336.


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Abstract

This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynamics of two stylized shocks, namely a supply and demand shock to US-based safe assets. Our main findings can be summarized as follows. First, we find that (positive) supply-sided shocks lead to pronounced increases in economic activity which spills over to foreign countries. The impact of supply-sided shocks can also be seen for other quantities of interest, most notably equity prices and exchange rates in Europe. Second, a demand-sided shock leads to an appreciation of the US dollar and generally lower yields on US securities, forcing investors to shift their portfolios towards foreign fixed income securities. This yields sizable positive effects on US output, equity prices and a general decrease in financial market volatility.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of International Money and Finance
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-B, WH-B
Language English
Title The shortage of safe assets in the US investment portfolio: Some international evidence
Volume 74
Year 2017
Page from 318
Page to 336
DOI http://dx.doi.org/10.1016/j.jimonfin.2017.02.023
JEL C32 E23, E32

Associations

People
Huber, Florian (Details)
Punzi, Maria Teresa (Former researcher)
Organization
Institute for Macroeconomics IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
1145 Time series analysis (Details)
5300 Economics (Details)
5323 Econometrics (Details)
5371 Macroeconomics (Details)
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