Faithin Omaha eBook Collection

Download or read book Essays on Asset Pricing, Portfolio Choice, and International Finance written by Maxime Sauzet and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates a number of topics in international finance and macroeconomics, with a particular emphasis on using and adapting tools from asset pricing to this context. Chapter 1, co-authored with Pierre-Olivier Gourinchas and Helene Rey, starts by providing an overview of the structure of the international monetary and financial system. Chapter 2 zooms in on a specific and long-standing open issue that has received a lot of attention in the international finance literature: the international portfolio choice problem, which is concerned with how investors allocate their portfolio internationally. Despite this attention, the literature has only provided limited answers to this problem in terms of resolution methods and the generality of preferences, an issue that I aim to alleviate in this Chapter. Because of its generality, the framework of Chapter 2 lends itself to several applications and extensions. Chapter 3 focuses on one main application, in which I show that the model can reproduce a number of stylized facts about the structure and dynamics of the international financial system, and in particular the role of the United States, and of asset returns in this context. Finally, Chapter 4, co-authored with Pierre-Olivier Gourinchas and Helene Rey, focuses on the secular decline in global real interest rates, another key theme in international finance and macroeconomics. We suggest that the world real rate of interest is likely to remain low or negative for an extended period of time, and discuss a number of possible explanations, an important one being the process of deleveraging of the balance sheets of investors.