| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7019 |
| DP7019 Comparison of Solutions to the Incomplete Markets Model with Aggregate Uncertainty | |
| Wouter Den Haan | |
| 发表日期 | 2008-10-24 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | In simple one-good international macro models, the presence of non-diversifiable labor income risk means that country portfolios should be heavily biased toward foreign assets. The fact that the opposite pattern of diversification is observed empirically constitutes the international diversification puzzle. We embed a portfolio choice decision in a frictionless two-country, two-good version of the stochastic growth model. In this environment, which is a workhorse for international business cycle research, we fully characterize equilibrium country portfolios. These are biased towards domestic assets, as in the data. Home bias arises because endogenous international relative price fluctuations make domestic assets a good hedge against non-diversifiable labor income risk. We then use our theory to link openness to trade to the level of diversification, and find that it offers a quantitatively compelling account for the patterns of international diversification observed across developed economies in recent years. |
| 主题 | International Macroeconomics |
| 关键词 | Country portfolios Home bias International business cycles |
| URL | https://cepr.org/publications/dp7019 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535856 |
| 推荐引用方式 GB/T 7714 | Wouter Den Haan. DP7019 Comparison of Solutions to the Incomplete Markets Model with Aggregate Uncertainty. 2008. |
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