Article ID Journal Published Year Pages File Type
5058293 Economics Letters 2016 9 Pages PDF
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
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