Quotation Rabitsch, Katrin, Stepanchuk, Serhiy, Tsyrennikov, Viktor. 2015. International Portfolios: A Comparison of Solution Methods. Journal of International Economics 97, 404-422.


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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.

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Publication'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)
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