| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8649 |
| DP8649 When Bonds Matter: Home Bias in Goods and Assets | |
| Pierre-Olivier Gourinchas; Nicolas Coeurdacier | |
| 发表日期 | 2011-11-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper presents a model of international portfolios with real exchange rate and non financial risks that accounts for observed levels of equity home bias. A key feature is that investors can trade equities as well as domestic and foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from the co-movements between relative stock returns and real exchange rates, but from the hedging properties of stock returns against other sources of risk, conditionally on bond returns. We estimate the optimal equity and bond portfolios implied by the model for G-7 countries and find strong empirical support for the theory. We are able to account for a significant share of the equity home bias and obtain a currency exposure of bond portfolios comparable to the data. |
| 主题 | International Macroeconomics |
| 关键词 | Equity home bias International portfolios international risk sharing |
| URL | https://cepr.org/publications/dp8649 |
| 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/537486 |
| 推荐引用方式 GB/T 7714 | Pierre-Olivier Gourinchas,Nicolas Coeurdacier. DP8649 When Bonds Matter: Home Bias in Goods and Assets. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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