| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14734 |
| 来源ID | Working Paper 14734 |
| International Portfolio Allocation under Model Uncertainty | |
| Pierpaolo Benigno; Salvatore Nisticò | |
| 发表日期 | 2009-02-19 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper proposes an explanation of the international home bias in equity based on ambiguity aversion. Doubts imply an additional hedging motif driven by the interaction between real exchange rate risk and ambiguity aversion. What matters is the long-run as opposed to the short-run risk. Domestic equity is a good hedge with respect to long-run real exchange rate risk even when bonds are traded. The higher is the degree of ambiguity aversion, the stronger is the home bias. We identify the degree of ambiguity aversion with detection error probabilities and show that our framework is able to explain a large share of the observed US home bias, as well as other stylized facts on US cross-border asset holdings. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w14734 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572410 |
| 推荐引用方式 GB/T 7714 | Pierpaolo Benigno,Salvatore Nisticò. International Portfolio Allocation under Model Uncertainty. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14734.pdf（669KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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