Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5058293 | Economics Letters | 2016 | 9 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Eylem Ersal-Kiziler,