La transmission internationale des chocs sur les marchés d’actifs en situation de trappe à liquidité

Note: In the top panels, equilibrium in each country, Home and Foreign, is defined as the intersection between two schedules in the (i, x*−x) and (i*,x*−x) planes, where i (i*) is the nominal interest rate in Home (Foreign) and x (x*) the share of Home (Foreign) bonds invested abroad. The relative share x*-x is an indicator of the Foreign net asset position. The IS (IS*) schedule derives from the market clearing for bonds in Home (Foreign). The (PF) schedule derives from portfolio choices of both Home and Foreign private agents. The IS and IS* schedules are also represented on the bottom panels where nominal GDP is plotted on the vertical (downward) axis. A negative bond liquidity shock on Foreign bonds shifts the PF schedule eastward in both countries, as agents reallocate their portfolios towards Home bonds. This leads to a higher interest rate in Foreign but a lower one in Home. If Home hits the zero lower bound, adjustment comes from nominal GDP instead.