A Dynamic Equilibrium Model of International Portfolio Holdings

By Á. Serrat. 2001

84 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1713df35fbe6322111431769a0c340124f26898b

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In Economics and Econometrics

Citations in the corpus

Asset Prices and Exchange Rates (2007, unknown): “See Wright (1928) for the original contribution, and Sentana (1992), Sentana and Fiorentini (2001) and Rigobon (2003) for recent developments.”
The geography of trade in goods and asset holdings (2007, unknown): “45 In a dynamic set-up, Serrat (2001) also provides theoretical evidence that frictions in goods market lead to home bias in portfolios: frictions are captured by the existence of non-traded goods but this delivers the same kind of predictions for portfolios. with many countries (and bilateral…”
A method for solving general equilibrium models with incomplete markets and many financial assets (2012, unknown): “2 Solutions to portfolio problems with complete markets are developed in Heathcote and Perri (2008), Serrat (2001), Kollmann (2006), Baxter et al. (1998), Uppal (1993), and Engel and Matsumoto (2009).”
International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences (2005, background): “…demand for stocks that have lower correlations with domestic state variables such as inflation risk or non-traded assets (Adler and Dumas (1983), Serrat (2001)); information asymmetries and higher estimation uncertainty for foreign than domestic stocks (Gehrig (1993), Brennan and Cao (1997))…”
Home bias in open economy financial macroeconomics (2013, unknown): “19Typical values used for the elasticity of substitution between tradable and non-tradable goods are: 0.44 (Stockman and Tesar (1995)), 0.74 (Mendoza (1995)), from 0.6 to 0.8 (Serrat (2001)).”
The Role of Portfolio Constraints in the International Propagation of Shocks (2008, background): “For other recent attempts to break the financial market structure irrelevancy result, see Engel and Matsumoto (2006), Ghironi, Lee, and Rebucci (2005), Pavlova and Rigobon (2007), Serrat (2001), and Soumare and Wang (2007).”