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.
BibTeX
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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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 (Former researcher)
- Punzi, Maria Teresa (Former researcher)
- Organization
- Department of Economics (Crespo Cuaresma) (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 1145 Time series analysis (Details)
- 5300 Economics (Details)
- 5323 Econometrics (Details)
- 5371 Macroeconomics (Details)