Infrequent Random Portfolio Decisions in an Open Economy Model
在一个两国DSGE模型中引入投资组合摩擦，假设投资者以恒定概率做出新决策，导致投资组合调整更渐进、对预期超额收益反应更弱。模型应用于美国和世界其他地区的月度股票数据，能解释投资组合惯性、超额收益可预测性等证据。
Abstract We introduce a portfolio friction in a two-country DSGE model where investors face a constant probability to make new portfolio decisions. The friction leads to a more gradual portfolio adjustment to shocks and a weaker portfolio response to changes in expected excess returns. We apply the model to monthly data for the US and the rest of the world for equity portfolios. We show that the model is consistent with a broad set of evidence related to portfolios, equity prices, and excess returns for an intermediate level of friction. The evidence includes portfolio inertia, limited sensitivity to expected excess returns, a significant impact of financial shocks, excess return predictability, and asset price momentum and reversal.