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Research Papers
Published
Papers “International Portfolios, Capital Accumulation and Foreign Assets
Dynamics”, with
Philippe Martin and Robert Kollmann, Journal of International Economics, forthcoming, revised version May
2009 [pdf]. Technical Appendix Prepared for the Conference on
International Macro-Finance, IMF (Washington), April 24-25, 2008. “Do
trade costs in goods market lead to home bias in equities?”, February 2009, Journal of International Economics, 77,
p86-100 [link] CEPR Discussion Paper 6991 [pdf] “The
Geography of Trade in Goods and Asset Holdings”, with Antonin Aviat, March
2007, Journal of International
Economics, 71, p22-51. [link] “International Portfolio
Diversification Is Better Than You Think”, with Stéphane Guibaud, revised
version June 2009, Journal of International Money and Finance, forthcoming. [pdf] “International portfolios
with supply, demand and redistributive shocks”,
with Philippe Martin and Robert Kollmann, 2007 CEPR Discussion Paper 6482 [pdf] NBER International Seminar on
Macroeconomics (ISOM) 2007. “Cross-Border Mergers and
Acquisitions and European Integration”, with Roberto de Santis and Antonin
Aviat, January 2009 Economic Policy, 57,
p55-89 [link] Prepared for the
Economic Policy Panel, “The Geography of Asset Trade and the Euro: Insiders and
Outsiders”, with Philippe Martin, 2009 Prepared for the NBER-TCER-CEPR, TRIO Conference, Journal of the Japanese and International Economies, Volume 23, Issue 2, p90-113 [pdf] Completed Working
Papers “A Dynamic Equilibrium of Imperfectly Integrated Financial Markets”,
with Stéphane Guibaud, revised version October 2008 [pdf]. Submitted. This paper analyzes the determination of
equity portfolios and country stock returns in the context of imperfectly
integrated stock markets. We consider a continuous-time model of a
two-country endowment economy in which the level of financial integration is
captured by a proportional tax on foreign dividends. Despite the
heterogeneity among investors induced by this tax, we obtain approximate
closed-form expressions for asset prices and we characterize equity holdings
and the joint process followed by country stock returns in equilibrium. Our
model is consistent with a broad range of empirical findings on international
financial integration. When the (endogenous) cross-country return correlation
is high, small frictions in equity markets can generate a substantial home
bias in portfolios. In the baseline version of our model, the cross-country
return correlation is driven by fundamental correlation and portfolio
rebalancing. In a two-good extension of the model, the adjustment of relative
good prices can generate high stock return correlation even for a low level
of fundamental correlation, thus magnifying the impact of the financial
friction on portfolios. Work in progress “When Bonds Matter: Home
Bias in Goods and Assets”,
with Pierre-Olivier Gourinchas, revised version October 2009 [pdf] “The International Taxation of
Capital”, with Elisa Faraglia “Home bias and Open Financial
Macroeconomics”, with Helene Rey “Solving for international
portfolios and asset prices with expected returns differentials” (with Helene
Rey and Pablo Winant). “A Theory of Nominal and
Indexed Debt”, with François Legrand. Notes and Comments Comment on
"External balance in Low Income Countries" by L. Christiansen, A. Prati,
L. A. Ricci, and T. Tressel,
NBER
International Seminar on Macroeconomics (ISOM) 2009, “Theoretical Perspectives on Financial
Globalization: Trade Costs and Home Bias”, November 2009, prepared for The
Encyclopedia of Financial Globalization [pdf] |